Value Areas - dValueArea

[paulg]

Weekly Value Areas/POCs

Which indicators do you know that are able to plot the weekly Value Area and the POC (week by week) using intraday data?

I can't find one and I'm looking for such an indicator in order to use the weekly POC together to the weekly iVWAP by hegh2000 .

[fafura]

Volume values

Hi, is it possible to print volume values (how many contracts traded ) on each bar?Also would it be possible to merge bars together?(like 4 ticks together, so each bar would represent 1 point on ES) ThinkorSwim has this function(Trade/ActiveTrader tab), however it cannot be plotted on the chart TIA Great work!

[DeanV]

Printing values for each slot is beyond the scope of this program. Think their are comercial ones out there that can do such. The ticks are/may already be combined to compress all ticks to fit screen. Adjusting the number of slots does this, but it's not specific (you don't really know how many ticks each slot could have each day, depends on the total ticks per day vs. number of slots asked for). Adding another layer of specific compression is probably not going to happen with this app. It is an interesting idea though (I'll put that concideration on a back burner).

A weekly version is on my todo list. It won't be real soon though. At least weeks, perhaps not for a month or more. There probably are comercial versions available, but I havn't looked for them.

Thanks for the feedback.

[Eagle]

Hello Dean

Thank you for this excellent indicator. I've tested it with marketdelta and it is quite similar, sometimes differences of about 1 or two ticks, still pretty darn good.

Question: You have indicated different methodologies for calculating the indicator, and in most cases if I play around with it , similar results are obtained. Do you have a very brief definition of how you are describing your methods.

Is there a a way to switch off the actual histogram, I tried several options but none is related to the histogram itself so that only the lines display?

Best regards

[DeanV]

There are only a few things that will effect the POC and VA lines.

1. Time Frames. Pick a time frame for the chart. Make sure the "open" hours at least are displayed, and match those for open time and length of open session. 30min and 5 min. charts are common, but I've used it on all kinds. A faster chart will collect more detail, but only seldom will that move the POC much (i.e. a "double hump" chart that is really close may cause one chart to pick the upper hump, and the other to pick the lower).

2. PctofVolinVA is usually left at 70%, but would effect the VA lines, not the POC.

3. Profile Type. They are either price based or volume based. The volume ones vary only in how that bar's volume is placed on price for display... either VOC - all of it at the close, VTPO - evenly distributed across that bar's price, or VWTPO - volume is "weighted" across price (taller bars = less vol per tick than smaller bars, for a given amount of volume). The only one I never use is VOC.

4. Total Slots. Usually, only small values (30 or less area) will influence the POC much. That's because a lot of ticks will get combined into one "mid-price" represented by the middle of the thick horz. slot bar. The next click (i.e. Slot) up could be 10 or 30 ticks away, so that becomes the minimum resolution of the display and the POC calc. How many ticks are in each slot can vary depending on how many ticks a day has. Think I coded an artifical max of 500 for this, but I havn't seen much useful difference above 100 or so on the charts I run.

The rest of the stuf is most all just display stuff. To get rid of the slot histogram stuff just set PresentMethod to zero. You will be left with just the 3 plot lines, and a lot of code will be skipped over (run faster). An alternative would be to set the color to Transparent, but the underlying code will still be running and eating machine resources.

Hope that helps.

[Eagle]

Dean

thank you for your comments and input, will be looking at that a little bit more closely

all the best

[paulg]

Thanks for this further feedback, DeanV.

[cclsys]

Thanks Dean for an excellent indicator. I try to have only 1-2 max on a chart and yours is finding itself there nearly every time.

I too would be interested to see the lines change over time on the chart vs. only being horizontal basis the current bar but doubt I have the coding capabilities to go into this and muck around.

Also, being able to have, say, the 30 minute histograms stay there on the chart once a new period forms would be quite nice. But as it is already, it is very good and much appreciated.

[superarrow]

intraday profile

Hi DeanV,
Thanks for the profile. Is there a way to show the intraday profile for the past few days, and not just today's?

EDIT:
Ignore the above. Realized I could change the number of days! Thanks clcsys.

Cheers,
SA

[cclsys]

Hi DeanV,
Thanks for the profile. Is there a way to show the intraday profile for the past few days, and not just today's?

Cheers,
SA

superarrow: did you try loading, say, a 30 minute chart going back 21 days and seeing how it looks? You get the daily profiles that way, although they are not as accurate as when you use shorter time-frame bars. Perhaps you meant something else. I didn't try it, but probably you can load with 1-5 min bars, then make them invisible and squash the charts to the max leaving only the profiles on the screen.

I have been using this one more and more. Today I practiced using only the Dvalue and the 'JStats' volume indicator. I did not show the price bars on the chart and found it much easier to see support and resistance. It was quite interesting.

The strange thing too is that I was following Gold which made large moves up (usual of late) but made twice as much profits on the short side as the long side, probably because the way I was reading the profiles was good for scalping in consolidation areas, and I was/am not yet good enough at using it for breakouts into large moves. But I found it very relaxing following the market without price bars, something I have never done before, nor even considered. Am seriously considering trading this way for real. Today was just a test to see if it would improve my understanding/feel of using profile. I had no idea I would find it so easy to keep picking trades with tight stops and quick wins.

By 2 pm was up over 10 full pts in Gold ($1000) trading single lots with occasional doubles scaled in and out. And about $800 from the short side on this big up day. Then another $500 in one hour trading single lots in TF. I think there is something to this approach even though it is always easy to make money in SIM and not so easy when live!

Re Picture: the MFT indicator shows a multiple of the main chart timeframe so that way I did have some reference to price in there. The little triangles are volume patterns formed by the BetterVolume2 indicator which I coded yesterday and some of which are quite good. No indicators involved (moving averages, oscillators etc.), just volume and range information in certain combinations.

RPM show the speed in Range per Minute (in ticks), so when things speed up it sounds an alert and paints the volume panel with a backcolour. Simple and handy.

[superarrow]

superarrow: did you try loading, say, a 30 minute chart going back 21 days and seeing how it looks? You get the daily profiles that way,

Hi cclsys,
Thanks for the reply. I have tried all profile variations afforded by deanV's work. However, what you pointed out is a composite profile of the total number of days in the 'lookback' parameter. I use this for the big picture.

What I am interested in is the intraday profile, so have 'intraday = true' but instead of showing just today's action, I would like it to illustrate the past few days for the cash sessions only. This way I can work out the areas of battle. Currently, I print out the intraday action of each day to use in my day's trading. Still, the big picture, like you have described it is useful.

Interesting how you apply 'jStats' in your trading. I tried it when it first came out but found it to be resource hungry - on top of NT's demands, that was too much to have. I only use the volume profile and S/R lines in my trading. Gauging the speed of the prints is also useful, but have no indicator for that per say. DOM is good. Again, preservation of resources lest Vista crashes. Not that Vista needs any excuse to crash .

Cheers,
SA

[cclsys]

LT Dval-RPM

Superarrow: probably I am misunderstanding so attach pic showing what I meant. If you are talking about something different, well, never mind!

I attach my little RPM indicator. The Paintbar option actually paints back color. I just didn't change the word. I usually put it in with my Volume indicator to reduce screen clutter.

RPM has an alert built in whose sound file you might not have.
It also knows with tick and volume bars only not to sound an alert too early on in the bar. If it sounds too often but you like having it, might want to change it to Calc on Bar Close.

System Resources: I had an interesting experience today with Jstat etc. Because I was running less than usual elsewhere and on the chart, I had no problem keeping up at all though often I do.

I follow thin markets because I am on rather poor rural dialup but I had almost no lag today with Gold which was busy, nor the last hour of TF. It is possible that Jstat is too much if you have too many other things going tick by tick as well. But also, I suspect it is because I was using minute bars for the Dval versus my usual tick bars since I had decided not to look at bars as an experiment. Probably calculating time bars is much less intensive - certainly they load much faster. My point here is that although Jstats definitely does process a lot of stuff, it might also be that there are many other things being processed as well that with Jstat makes it unworkable. Not that I am pushing Jstat per se, but the main reason I have rarely used it even though I liked it was the same as you: everything seemed to get bogged down.

But not today. I was surprised.

[superarrow]

Hi cclsys,
Thanks for the info and good chart. I had a similar setting but failed to extend the number of days in the Data series. I realized my mistake when I saw your chart. Thank you.

I did try jStats, and even though its a great piece of software, I could not justify its presence on my chart. As what it provides is essentially the same info you get from the DOM, albeit more colorful. Not meaning to downplay its usefulness, for one it is more informative than the standard NT DOM because it provides ladder info that is twice the depth of the DOM!

I only trade two instruments, and thats enough. With the exception of dValue, I run no other indicators. I find it better with less. I may try out your RPM over the weekend.

Happy trading in gold. Never thought that thing moved beyond a few points! Out of interest, how long you been trading with a dial up? I never thought it possible to trade using a dial up connection. I have issues with my broadband!

Cheers,
SA

[cclsys]

Hi cclsys,
Thanks for the info and good chart. I had a similar setting but failed to extend the number of days in the Data series. I realized my mistake when I saw your chart. Thank you.

I did try jStats, and even though its a great piece of software, I could not justify its presence on my chart. As what it provides is essentially the same info you get from the DOM, albeit more colorful. Not meaning to downplay its usefulness, for one it is more informative than the standard NT DOM because it provides ladder info that is twice the depth of the DOM!

I only trade two instruments, and thats enough. With the exception of dValue, I run no other indicators. I find it better with less. I may try out your RPM over the weekend.

Happy trading in gold. Never thought that thing moved beyond a few points! Out of interest, how long you been trading with a dial up? I never thought it possible to trade using a dial up connection. I have issues with my broadband!

Cheers,
SA

Glad that picture helped. It's the sort of information that years ago they would charge you $400 a month to have. I suspect many professional systems still use MP more than price bars for position calculation, especially since those boys are scaling in and out all the time. At one point yesterday for fun I just placed a bunch of orders all over the place at nice looking spots with 2-1 RR ratio and many of them worked and those that didn't were covered by the ratio of profit to loss. I changed them a little as the MP changed, but not much.

I find the extra value of Jstats to the DOM is that intuitively the histograph on the chart relates better with the dValue histograph. That's all. Sometimes you see clear zones where they are 'lined up' and other times not, both being meaningful.

The RPM is a very small but practical utility when using non-time bars, but it also works with them. I don't use it for signals/entries/exits etc. but you can see on a chart that a very high percentage of the time that the speed picks up, a move is either starting or climaxing so in terms of increasing chances of having a quick win (or loss) it is handy. When you have the prices displayed on, the number in the bottom right shows the ticks-per-minute rate so when it is really down there, like 1-3 TPM, it is not very good time to enter if you are scalping.

Good luck with it all!

[cclsys]

re dialup: 20 years ago that's all there was and it was fine.
Then I had broadband.
Now where I live satellites don't work well so dialup is it since the privatized phone company (Aliant) won't connect the fiber optic cable that we the taxpayers paid to have laid down over 10 years ago. 50 yards from the house!

Dialup is faster than broadband but it can only handle so much info/bandwidth at a time. I can't follow the ES on dialup, although 2 years ago I could.

As to the speed: the latency on a dedicated phone line or even a poor rural line like I have with 26 kps (!!!) is about 200 ms. Broadband is about 3-500 ms (or so I have been told). Satellite is usually 400-1000 ms which is quite slow (up to one second each way).

But of course with dialup you can only track one market at a time and handling complex code with tick charts makes it a little hard, but the latter - assuming you are only following one market - has more to do with Ninja working on the NET framework as anything else.