Monday, 14 December 2009

Sweet and Sour Markets

I think I have transitioned to MarketDelta now although I am still working on enhancements. The change I made to the MD CVD setting to bring it into line with my MultiCharts indicator was to keep accumulating volume information rather than e-setting it to zero at the beginning of each day. I keep the volume information cumulative for the last 9 days or more. With so many traders in so many timezones there is no longer a start and a finish to a day so  I want to follow the volume on a 24 hour basis. If you look at the last DowEuro chart on the blog which was Friday, you will see the cumulative volume at the close on Thursday was buying volume, and seeing Friday's open continue that buying volume, was important for us.

Then I look at the Market Profile, I start by splitting the Profile into RTH and Globex, but then re-split and merge the Profiles into the real distributions as I see them. This reveals the real VAHs, VALs and POCs.

We have started work on preparation for the webinar. It will be a combination of slides and working with the charts. I'll post an agenda when we are closer to the time.

After this mornings early missed trade, maybe my wife and I will have to move to Hong Kong to trade for awhile :-P. But all kidding aside, there seems to have been a move of activity to the European and Asian time zones lately. Whether this is permanent or not, time will tell but it certainly gives us traders here in Europe the ability to be there when markets move.

Click Chart to Enlarge


  1. Splitting the profile into RTH and Globex. Is Globex relevant, I mean because of the low volume compared to RTH?

  2. Daniel, if you look back over the last few months you will see that a lot of moves either bign are take place outside of RTH. The volume traded during Globex pre-RTH has been increasing and in my opinionm we are seeing a shift away from the U.S. in terms of activity. MP and Range Bars have a common feature - they work in this type of distributed environment better than any other form of charting. As you can seem from the trades posted, I don't have to work the U.S. afternoons any more.

  3. Tom, I have to say that I'm pretty proud to have been able to set up most of the tool you use in Ensign - without any real knowledge of coding :-)

    But the cummulative volume indicator still causes headaches. as far as I understand until now it accumulates bid and ask volume over a period of 9 days and gets smoothed out but a 9 moving average?

    One question in terms of MP. How many days do you look back? Or do you only use the splitted profiles from the last day? No virgin POCs or low volume areas from days ago?


  4. CVD is a total of all the bid/ask for the loaded data, not 9 days. The 9 days is the smoothing of the CVD.