Market Delta by bolter

Please, if you're going to expand on your simpler approach make it a different thread rather than polluting this one with an unnecessary argument. Lumberjack, HM does talk about what he does in some of his earlier posts:
http://www.elitetrader.com/vb/showthread.php?s=&postid=678846#post678846

Trading is about many forms of satisfaction and profit is only one of them. The great thing about trading is that there are so many ways to make (or lose) money in the markets so everyone can find one that suits them.

I dont use MP or MD but I'm happy that I could do one day if I wanted too do that instead. Keep up the thread guys.

 

Hi Pitbull,
Absolutely discussion about T&S is relevant for this thread. I'll post some thoughts on this subject next week. But if you have some specific question be my guest.

All the best.

 

Discussion about pivots however belongs elsewhere. Thanks to kiwi for wading in with his usual aplomb.

 

The Pivot Point was dicussed in relation to the MD & MP & T&S... read the my first post to you about it... about how the 'play' around the pivot was seen in the MD & MP & T&S...

i EVEN mentioned that Pivots were not important... its about public S/R points and MD & MP & T*S

It WAS ABOUT your comment of PRICE not moving up even though it looked it should from the MD readings... at that time...

and Kiwi was commenting to the Houston Mark post...

cj...

 

I will respect you comment about pivots going forward but I have long been of the conclusion that they are just a shorthand MP that work when the market is trading 'normal' days and go out of line when the market trades other profiles eg trend day, but they can be made more accurate by substituting POC for close - think about it, on anormal day the market usually closes around the POC...............

 

Please on with the Delta

 

Hi Bolter,

You mentioned MD might not work as well on some index futures such as (Dow), what about ES? Thanks.

Regards,
William

 

Let me explain my workspace layout that appears on page 2 of this thread. Starting from the top left hand corner and going clockwise, I have the following charts:

1. Standard 60 minute candle chart.
2. Volume candle chart.
3. 5 min candle chart – this is my main chart.
4. 100 tick footprint.
5. 1 min footprint.
6. Market Profile (minimised).
7. Daily candle chart (minimised).

60 min chart
I usually have a regression line with a 2 standard deviation channel on this chart. Helps me identify the primary trend and where we are in proceedings. The black indicator is the TSI(20,5) – used for OB/OS and momentum divergences. You can see a good long signal on Tue with price outside the channel and TSO oversold.

Volume candles
I like volume bars a lot - a lot less noise then time based charts. I use this chart for assessing which side of the market is better facilitating trade. The relative length of the candle body is all important. I also have zig zag labels on this chart. I set the min price according to my standard pullback entry plus stop distance (5+5=10 in this case). I like to trade pullbacks in trending markets. If the market is trending and I’m not getting zig zag labels then I should be trading pullbacks.

The blue connected line below is a volume breakdown (accum all value, trades > 25 lots). Essentially it is running total of the delta for large lot trades. This is extremely useful and I will talk at length about this in another post.

5 min chart
On my main chart I have all my important levels. Yesterdays VA, the developing VA (called the TPO indicator), the composite POC (if applicable), the Initial Balance, yesterdays HOD/LOD, plus levels from my volume profile. This chart can get a bit busy but my levels are crucial to how I trade. I have a TSI beneath that – again I’m looking for O/OS conditions and especially divergences.

And below the TSI is 3 VB’s. The top one is a straight forward delta bars, without any filter. The second is a three period least squared average of trades > 10 lots. The third is the same for trades < 11 lots. I use the same filter sizes on all markets – after much experimenting. I use these 3 VB’s extensively. This particular day is not a good example but I will discuss how I use them in some detail in a later post.

100 tick and 1 min footprint
I like to keep my footprint charts real simple. Just the volume histogram and delta footprints. I spend a lot of time monitoring the tick footprint – it gives me a good feel for the action. The #trades (ticks) varies from market to market – but I set it so I get a max of 4-5 prices per bar. I also use manual shading of the footprints. In this case I have them set to 100, 500 and 800. I use the 1 min footprint to time entries and exits. I’ve been experimenting with using the little histograms lately. MidKnight pointed out some interesting properties that I’ll ask him explain. We’ll talk more about using the footprints.

You’ll also notice little clocks on three of the charts. These are countdown timers. Very useful for assessing how long before the bar completes.

The next few posts I'll go into some detail about the VBs and the footprints.

bolter

 

william,
The ES is as good as any market i've seen with Market Delta. Despite the fact that is has an associated pit traded contract, and a cash market, MD provides a very accurate view of the action.

Not that I've tried it, but I imagine you could probably scalp the ES just with MD and a decent front-end (X-Trader, Button Trader). That would be the ultimate litmus test for a product like MD. I wonder if anybody has experience scalping with MD that they can share??

Good luck,
bolter

 

mokwit,
Excellent point about using the POC in the pivots formula (not that I want to talk about them anymore). It makes alot of sense.

bolter