I am a long time fan of Peter Steidlmayer and during the 80's I spent several weeks at Peter's ranch at what he called the Butte on the Feather River in California learning Market Profile from the man himself. Tim Mathers of CQG was there with some of his programmers as it was the profile that gave CQG its start. During that same period I also met Jim Dalton and attended at least one of his seminars. While Jim's book was very good, I asked for my money back at the end of his seminar. For at least a decade my trading was based almost exclusively on the profile and during that time I found several useful variations on the concept. Here is a shot of a volume profile with structures that last only 30 minues and boxes that represent the trade of 100 contracts - the red and blue dots represent net buying and selling in each of the 30 minute structures and is read on the left index. Since then with the availability of online volume and certain intelligent agents I have found/developed certain other indicators, also demonstrated below, that better and more locally define that which the profile was originally designed to reveal. Now, with more available data and faster, smarter processing available some developers have produced sets of profile based indicators that offer a precision never possible with the profile. For at least a decade my trading was based almost exclusively on the profile and during that time I found several useful variations on the concept. Here is a shot of a volume profile with structures that last only 30 minues and boxes that represent the trade of 100 contracts - the red and blue dots represent net buying and selling in each of the 30 minute structures and is read on the left index. Since then with the availability of online volume and certain intelligent agents certain early followers of the profile have found/developed certain other indicators, also demonstrated below, that better and more presicely define that which the profile was originally designed to reveal. One of the points Peter always stressed was the importance of locating the participation of commercial traders. In those days the only way you could do that was via a LDB report from the Board of Trade - the issue was that this report didn't come out until after the session was over so you could only see the location of commercial trade in the days after it occurred. Today we have developed indicators such as the intensity if commercial trade which I have described eleswhere on this board. This indicator detects trade that is of such characteristics that it can only be done by commercial traders and is demonstrated below and further demonstrated in this thread. A constant topic with Peter in those days was what he called the balance of trade of the balance of order flow. The problem was that when price was in "value area" the profile had trouble showing the state of buy/sell balance/imbalance. To better discover this state of balance/imbalance we developed what we call a harmonic of buying and selling volumes as demonstrated below: The profiles demonstrated earlier show one way for the profile to present data from different timeframes. Timeframes have always posed a problem for the profile and in those days it was dealt with by either breaking profiles or combining them. Today we take and combine information from higher time frames, post/map it to global variables and then retrieve it in lower time frames for information and execution. Here is a shot of one of our indicators of a weighted index of multi-time frame biases. This thread is not about dumping on Market Profile Theory but rather to deomonstrate how students of Peter's theories can use today's technologies to advance his work. The weakness of the Market Profile's graphic is that it lacks the precision, data and processing to compete with more up-to-date technologies and methods.
"To better discover this state of balance/imbalance we developed what we call a harmonic of buying and selling volumes as demonstrated below" Who is we, do you sell these indicators?
We are a small trading and technology startup that consists of traders, poker players, writers and programmers and no we do not sell these indicators - but thanks for asking. What is posted here are some of the indicators we use to train our in-house traders. cheers
I wish you the best of luck with your endeavour, but to me indicators from Market Profile measures are a step backwards rather than forwards. With the proliferation of informaton that is now available - and in real time - there are a thousand and one different things you can do with Time / Volume at Price - for example Market Delta, various SQL applications, tick charts, VWAP, etc... The more information is available, the more analysis and interpretation of said information will occur - that is to be expected. However, one of the key messages (in my view) of the Dalton books is that simple information, in the correct context, can be a powerful interpretation of market structure. That is key for me about MP - it isn't about Valua Areas, TPO counts or "3i" days - it's about understanding the structure of the market. End of.
UrmaBlume, can you post some side by side images of market profiles of small traders and large traders? I am interested in seeing what they look like. Thanks.
Urmablume, I see a lot of these posts, and i love the technical stuff around it. What i generally miss is some statistical insights. e.g. how did the newly developed tools improve the existing system (based on market profile) in terms of % wins, profit factor, and other metrics? Did it make your system more robust? thanks