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CISCO Futures
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Profile Game Example
emini SP (UU) June 20, 2007
Copyright CISCO 2007
Tutorial Profile Game Sample
Throughout the profile arena you keep hearing that profile analysis can give you
an edge. Also, the Game is based on your getting a measure of the potential (opportunity) of a
trade (after the fact) and scoring your strategy's return against the potential. This works
for the standard one opportunity case, where you have a breakout and trade the trend or
in the congestion case where you sell the highs and buy the lows.
There are times when a compound opportunity occurs. These are often quite profitable,
but hard to score (who cares?). We ran into such a case during the
beta test for Value Analytics. You can read the evening emails and the following day's
analyses at: Profile Game Example: UU June 20, 2007.
If you understand your market (and you certainly can), you can take advantage of special
opportunities because you do have the edge from your market knowledge.
End of day data comes in three elements:
Appendix 1. Report Table covers about 30 reference points for each of the last 3 days
Appendixs 2. and 3. Report Overlays have the Three Day and 2 day Overlays
Appendix 4. Profile 1 Day: Report Profiles are the profiles for the last day
This example is for the emini SP (UU) with data for June 19, 2006 and trading on June 20.
Our email said that a balance was growing, the three day Overlay looked very bell shaped.
An upside breakout would be at 155150 and a downside breakout at 154200. There was no
five day balance, this market had been roaring (up), but the ten day balance had limits
of 155100 (about the same as the three day) and 150500.
Risk for a breakout trade is typically around one octant (1/8 th of the high - low range),
about 125. On the basis of the ten day Overlay an octant is 575. This is a big difference.
Another estimate of risk is the volatility. Report Table (Appendix 1) gives 300, so we have
three votes for risk. The average is about 325, so we will think in those terms, although in a real
life case, our expeience would have us risking about 200. If we are trading a specific element,
like the three day Overlay, we will use 125 for demonstration, although a somewhat larger risk
would probably be better. We just do not want to guess or estimate for the demonstration because
it makes the example harder to follow.
We see the market as in a proto balance on the basis of market condition alone.
What the balance means: The market is not directional. Price is rotating up
and down, forming upper and lower limits (resistance and support). A
directional move up or down will cause a breakout from the balance, starting
a trend.
If we are working with a balance we know where value is (in the area between
the upper and lower limits). We know the market is congesting, a place for
the 'responsive' trader (selling near the upper limit, buying near the
lower limit). We also know where the balance gives way to trend (price
moving above the upper limit is an alert for the start of an upward trend,
price below the lower limit alerts for the start of a down trend). We know
that the market (all participants) have agreed on value.
As traders we need to find out:
what the market is doing up to this point. This is EOD information. The Value Reports.
If it is in balance we know a good bit about it.
If it is not in balance we know much less (we will not take this path here).
At end-of-day is the market flow in a particular direction?
Where is the close in the balance range (higher, lower, mid)?
What do the profile variables tell?
What is our strategy for tomorrow's market, our decision points?
For tomorrow:
The nearest balance is the three day so we will trade on the basis of it's
parameters. This is a short timeframe trade. The uncertainty of this three
day balance argues for limited risk trading. As such, we have an octant risk
of about 125.
we have the following possibilities:
Breakout: Upper Limit 155150: Go long at 155175, stop at 155050.
Breakout: Lower Limit 154200: Go short at 154050, stop at 15175.
Responsive: Upper: Go short at 155000, target 154675 (middle) stop of 125 trailing
Responsive: Lower: Go long at 154050, target 154675 (middle) stop of 125 trailing
Congestion 4 Change 10 Change up 1 change down 6
Breakout: Upper Limit 155150: Go long at 155175, stop at 155050.
Breakout: Lower Limit 154200: Go short at 154050, stop at 15175.
Responsive: Upper: Go short at 155000, target 154675 (middle) stop of 125 trailing
Responsive: Lower: Go long at 145050, target 154675 (middle) stop of 125 trailing
Imagine you are trading, tracking profiles as the day progresses. The CMaPS history
program for inter-day profiles is part of the Tutorial. The tracking information is in
Appendix 5.
Report Table
Value-Analytics Market Condition Report: Copyright CISCO 2007
Value Trading, A Page of Clues
UU 07 09 08:30 15:15
20070615 20070618 20070619
1. MARKET CONDITION: Balances...............
1a. Overlay Limits......... 2 Days 3 Days
Lim3 Upr - Lwr 0 0 154975 154200 155150 154200
#Dist & Clos %R 1 83 1 67
1b. Overlay Limits: 5 Days.........
Lim5 Upr - Lwr 0 0 0 0 0 0
1c. Overlay Limits: 10 Days.........
Lim10 Upr - Lwr 0 0 0 0 155100 150500
2. META-PROFILE ANALYSES.....
2a.General...........
Price: Hi - Lo 155350 154650 155100 154375 155075 154050
Pri: Fst - Lst 154975 154750 155050 154575 154350 154925
# Distributions 1 1 1
# Price Lines 29 30 42
# TPOs - Total 141 157 182
# TICKS 7676 7633 8331
Td Facil Factor 4.86 5.23 4.33
VTY: 30 Min Bar 246 255 300
HI/LO % of High 70 70 70
2b. Initial Balance...........
IB Pri: Hi - Lo 155150 154875 155100 154375 154450 154050
IB Loc: Hi - Lo 9 20 1 30 26 42
IB Range 12 30 17
IB Rng % of Day 41 100 40
IB TPO Total 83 157 59
IB TPOs Abv/Blo 13 45 0 0 123 0
2c. Meta-Profile...........
Price VAU - VAL 155050 154750 154850 154600 154875 154350
P-Loc VAU - VAL 13 25 11 21 9 30
VA Range 13 11 22
VA POC 154925 154700 154650
VA POC TPO-SYM BFGHIJKLMN CDEFGHIJKLMN GJKM
VA TPOs Upper 63 75 71
VA TPOs Lower 64 60 102
2d. Tails..........
Tail Upper #Pri 1 6 4
Tail Lower #Pri 1 4 1
Tail Up Comment InCompl Compl Compl
Tail Dn Comment InCompl Compl InCompl
2e. Range Extension.........
Rg Extension Up 155175 155175 0 0 154975 154475
Rg Extension Dn 154850 154675 0 0 0 0
2f. Attempted Direction (Balanced Market).........
AD: POC -- DN DN
AD: Rotn Fac -5 -6 3
2g. Profile Information: No Double Distributions, last 3 days
Appendix 2.
Table Overlay 3 Day
I,DATENPASS(I),HI(I),LO(I) 1 20070615 155350 154650
I,DATENPASS(I),HI(I),LO(I) 2 20070618 155100 154375
I,DATENPASS(I),HI(I),LO(I) 3 20070619 155075 154050
Out of Meta-Profile for 3 Day Overlay
POC 154800 23
Value Area 155000 154550
1 155350 1 +
2 155325 2 ++
3 155300 2 ++
4 155275 2 ++
5 155250 2 ++
6 155225 1 +
7 155200 1 +
8 155175 2 ++
9 155150 3 +++
10 155125 4 ++++
11 155100 5 +++++
12 155075 7 +++++++
13 155050 7 +++++++
14 155025 7 +++++++
15 155000 10 ++++++++++
16 154975 13 +++++++++++++
17 154950 16 ++++++++++++++++
18 154925 18 ++++++++++++++++++
19 154900 20 ++++++++++++++++++++
20 154875 20 ++++++++++++++++++++
21 154850 23 +++++++++++++++++++++++
22 154825 24 ++++++++++++++++++++++++
23 154800 25 +++++++++++++++++++++++++
24 154775 24 ++++++++++++++++++++++++
25 154750 22 ++++++++++++++++++++++
26 154725 21 +++++++++++++++++++++
27 154700 20 ++++++++++++++++++++
28 154675 16 ++++++++++++++++
29 154650 16 ++++++++++++++++
30 154625 15 +++++++++++++++
31 154600 15 +++++++++++++++
32 154575 13 +++++++++++++
33 154550 12 ++++++++++++
34 154525 10 ++++++++++
35 154500 9 +++++++++
36 154475 9 +++++++++
37 154450 8 ++++++++
38 154425 6 ++++++
39 154400 7 +++++++
40 154375 7 +++++++
41 154350 4 ++++
42 154325 4 ++++
43 154300 4 ++++
44 154275 3 +++
45 154250 3 +++
46 154225 3 +++
47 154200 3 +++
48 154175 2 ++
49 154150 2 ++
50 154125 2 ++
51 154100 2 ++
52 154075 2 ++
53 154050 1 +
Appendix 3.
Table Overlay 2 Day
Value-Analytics Market Condition Report: Copyright CISCO 2007 #Ticks/Iertk 16683 0
UU 07 09 08:30 15:15
Completed Overlay PART 1: #lines, #Days 43 2
NPASS (# Days in Overlay) = 2
I,DATENPASS(I),HI(I),LO(I) 1 20070618 155100 154375
I,DATENPASS(I),HI(I),LO(I) 2 20070619 155075 154050
Completed Meta-Profile for 2 Day Overlay
POC 154800 13
Value Region 154900 154500
1 155100 1 +
2 155075 2 ++
3 155050 2 ++
4 155025 2 ++
5 155000 2 ++
6 154975 3 +++
7 154950 7 +++++++
8 154925 8 ++++++++
9 154900 10 ++++++++++
10 154875 10 ++++++++++
11 154850 15 +++++++++++++++
12 154825 17 +++++++++++++++++
13 154800 18 ++++++++++++++++++
14 154775 17 +++++++++++++++++
15 154750 17 +++++++++++++++++
16 154725 16 ++++++++++++++++
17 154700 17 +++++++++++++++++
18 154675 14 ++++++++++++++
19 154650 15 +++++++++++++++
20 154625 15 +++++++++++++++
21 154600 15 +++++++++++++++
22 154575 13 +++++++++++++
23 154550 12 ++++++++++++
24 154525 10 ++++++++++
25 154500 9 +++++++++
26 154475 9 +++++++++
27 154450 8 ++++++++
28 154425 6 ++++++
29 154400 7 +++++++
30 154375 7 +++++++
31 154350 4 ++++
32 154325 4 ++++
33 154300 4 ++++
34 154275 3 +++
35 154250 3 +++
36 154225 3 +++
37 154200 3 +++
38 154175 2 ++
39 154150 2 ++
40 154125 2 ++
41 154100 2 ++
42 154075 2 ++
43 154050 1 +
Appendix 4.
Table Profiles 1 Day
Value-Analytics Market Condition Report: Copyright CISCO 2007 #Ticks/Iertk 16683 0
Value Trading, A Page of Clues
UU 07 09 08:30 15:15
Trade Date 20070619
Number of Prices: 42
1 155075 1 I I
2 155050 1 I I
3 155025 1 I I
4 155000 1 I I
5 154975 2 IN I N
6 154950 5 GHINO GHI NO
7 154925 5 GHINO GHI NO
8 154900 5 GHINO GHI NO
9 154875 5 GHINO GHI NO
10 154850 7 GHIJMNO GHIJ MNO
11 154825 7 GHIJMNO GHIJ MNO
12 154800 7 GHIJMNO GHIJ MNO
13 154775 7 GHIJMNO GHIJ MNO
14 154750 7 GHIJMNO GHIJ MNO
15 154725 5 GHJMN GH J MN
16 154700 5 GJKMN G JK MN
17 154675 4 GJKM G JK M
18 154650 4 GJKM G JK M
19 154625 6 DGJKLM D G JKLM
20 154600 6 DGJKLM D G JKLM
21 154575 6 DEGKLM DE G KLM
22 154550 6 DEGKLM DE G KLM
23 154525 6 DEGKLM DE G KLM
24 154500 7 DEFGKLM DEFG KLM
25 154475 7 DEFGKLM DEFG KLM
26 154450 7 CDEFGLM CDEFG LM
27 154425 5 CDEFL CDEF L
28 154400 6 BCDEFL BCDEF L
29 154375 6 BCDEFL BCDEF L
30 154350 4 BCEF BC EF
31 154325 4 BCEF BC EF
32 154300 4 BCEF BC EF
33 154275 3 BCF BC F
34 154250 3 BCF BC F
35 154225 3 BCF BC F
36 154200 3 BCF BC F
37 154175 2 BC BC
38 154150 2 BC BC
39 154125 2 BC BC
40 154100 2 BC BC
41 154075 2 BC BC
42 154050 1 B B
Appendix 5.
Market Action, June 20
June 20 CMaPS Profile Display at Key Points During the Day
Commodity: UUU - Mini S&P 500 (CME-IOM)
Trading Date: 20070620
Start Time: 00:00
Stop Time: 02:00
Profile Type: 30 minute
CISCO Meta-Profile
--------------------------------------------
V Tick 30 minute
Price TPOs A Count Tick Bars
--------------------------------------------
155100 l 1 l
155075 lm > 12 lm F
155050 lm* | 22 lm L
155025 lm | 18 lm
155000 lm | 11 lm
154975 lm | 4 lm
154950 jl | 4 j l
154925 jk | 8 jk
154900 *jk 6 jk
Totals: 86 Ticks in 9 prices.
Warning: Not enough data to calculate a valid Value Area!
Commodity: UUU - Mini S&P 500 (CME-IOM)
Trading Date: 20070620
Start Time: 00:00
Stop Time: 05:00
Profile Type: 30 minute
CISCO Meta-Profile
------------------------------------------------
V Tick 30 minute
Price TPOs A Count Tick Bars
------------------------------------------------
155250 t 3 t
155225 t* 8 t L
155200 rst | 23 rst
155175 nqrst | 46 n qrst F
155150 nqrst | 72 n qrst
155125 nqrst | 68 n qrst
155100 lnqrst > 45 l n qrst
155075 lmnpqr | 55 lmnpqr
155050 lmnpqr | 62 lmnpqr
155025 lmnpq | 49 lmnpq
155000 lmnpq | 31 lmnpq
154975 lmpq 8 lm pq
154950 jl 4 j l
154925 jk 8 jk
154900 *jk 6 jk
Commodity: UUU - Mini S&P 500 (CME-IOM)
Trading Date: 20070620
Start Time: 00:00
Stop Time: 08:30
Profile Type: 30 minute
CISCO Meta-Profile
----------------------------------------------------
V Tick 30 minute
Price TPOs A Count Tick Bars
----------------------------------------------------
155425 Z 4 Z
155400 Z 28 Z
155375 Z$ 68 Z$
155350 Z$A 85 Z$A
155325 Z$A 65 Z$A
155300 uxZ$A 46 u xZ$A
155275 uvxZ$A | 93 uv xZ$A
155250 tuvwxZA | 146 tuvwxZ A
155225 tuvwxAB | 138 tuvwx AB F
155200 rstuvwxAB | 97 rstuvwx AB
155175 nqrstuvwAB* > 68 n qrstuvw AB L
155150 nqrstw | 78 n qrst w
155125 nqrst | 68 n qrst
155100 lnqrst | 45 l n qrst
155075 lmnpqr | 55 lmnpqr
155050 lmnpqr | 62 lmnpqr
155025 lmnpq | 49 lmnpq
155000 lmnpq 31 lmnpq
154975 lmpq 8 lm pq
154950 jl 4 j l
154925 jk 8 jk
154900 *jk 6 jk
Commodity: UUU - Mini S&P 500 (CME-IOM)
Trading Date: 20070620
Start Time: 08:30
Stop Time: 12:00
Profile Type: 30 minute
CISCO Meta-Profile
-----------------------------------------------
V Tick 30 minute
Price TPOs A Count Tick Bars
-----------------------------------------------
155225 *B 1 B
155200 B 6 B
155175 B 26 B
155150 B 48 B
155125 B 55 B
155100 B 97 B
155075 B 123 B
155050 BD 113 B D
155025 BD 101 B D
155000 BD 106 B D
154975 BD 123 B D
154950 BD 77 B D
154925 BDE | 70 B DE
154900 BDE | 111 B DE
154875 BDE | 115 B DE
154850 BDE | 96 B DE
154825 BDE | 119 B DE
154800 BDEF | 151 B DEF
154775 BDEF | 166 B DEF
154750 BDEF | 177 B DEF
154725 BDEF | 141 B DEF
154700 BDEF | 120 B DEF
154675 BCDEF > 132 BCDEF
154650 BCDEF | 138 BCDEF
154625 BCEF | 143 BC EF
154600 BCEFH | 134 BC EF H
154575 BCEFH | 153 BC EF H
154550 CFGH | 215 C FGH
154525 CFGH | 277 C FGH
154500 CFGH | 298 C FGH F
154475 CFGH | 302 C FGH
154450 CFGH* | 257 C FGH L
154425 CFGH | 170 C FGH
154400 CFG 137 C FG
154375 CFG 104 C FG
154350 CFG 88 C FG
154325 CFG 81 C FG
154300 CG 67 C G
154275 G 66 G
154250 G 48 G
154225 G 27 G
154200 G 9 G
154175 G 2 G
Commodity: UUU - Mini S&P 500 (CME-IOM)
Trading Date: 20070620
Start Time: 08:30
Stop Time: 15:15
Profile Type: 30 minute
CISCO Meta-Profile
-----------------------------------------------
V Tick 30 minute
Price TPOs A Count Tick Bars
-----------------------------------------------
155225 *B 1 B
155200 B 6 B
155175 B 26 B
155150 B 48 B <== Upper Limit
155125 B 55 B
155100 B 97 B
155075 B 123 B
155050 BD 113 B D
155025 BD 101 B D
155000 BD 106 B D <== Responsive Short
154975 BD 123 B D
154950 BD 77 B D
154925 BDE | 70 B DE
154900 BDE | 111 B DE
154875 BDE | 115 B DE
154850 BDE | 96 B DE
154825 BDE | 119 B DE
154800 BDEF | 151 B DEF
154775 BDEF | 166 B DEF
154750 BDEF | 177 B DEF
154725 BDEF | 141 B DEF
154700 BDEF | 120 B DEF
154675 BCDEF > 132 BCDEF <== Middle
154650 BCDEF | 138 BCDEF
154625 BCEF | 143 BC EF
154600 BCEFH | 134 BC EF H
154575 BCEFH | 153 BC EF H
154550 CFGH | 215 C FGH
154525 CFGH | 277 C FGH
154500 CFGH | 298 C FGH
154475 CFGH | 302 C FGH
154450 CFGH | 257 C FGH
154425 CFGH | 170 C FGH
154400 CFG | 137 C FG
154375 CFG | 104 C FG
154350 CFG | 88 C FG
154325 CFGK | 90 C FG K <== Responsive long
154300 CGK | 84 C G K
154275 GK | 94 G K
154250 GK | 77 G K
154225 GK | 73 G K
154200 GK | 80 G K
154175 GK | 62 G K <== Lower Limit
154150 JK | 41 JK
154125 JK | 54 JK
154100 JK | 87 JK
154075 JK | 128 JK
154050 JK | 137 JK
154025 JK | 115 JK
154000 JK | 89 JK
153975 JK | 62 JK
153950 JK | 41 JK
153925 JKL | 79 JKL
153900 KL | 100 KL
153875 KL | 99 KL
153850 KL | 127 KL
153825 KLM | 155 KLM
153800 KLM | 179 KLM
153775 KLM | 147 KLM
153750 KLM | 103 KLM
153725 KLM | 89 KLM
153700 KLM | 100 KLM
153675 KLM | 115 KLM
153650 LM | 115 LM
153625 LM | 118 LM
153600 LM | 127 LM
153575 LM | 124 LM
153550 LM | 133 LM
153525 M | 131 M
153500 M 142 M
153475 M 145 M
153450 M 110 M
153425 M 75 M
153400 MN 72 MN
153375 MN 99 MN
153350 MN 92 MN
153325 MN 59 MN
153300 MN 38 MN
153275 N 38 N
153250 N 42 N
153225 N 83 N
153200 N 105 N
153175 N 58 N
153150 N 20 N
153125 N 9 N
153100 N 25 N
153075 N 63 N
153050 N 77 N
153025 N 111 N
153000 N 96 N
152975 N 82 N
152950 N 167 N
152925 N 190 N
152900 N 117 N
152875 N 65 N
152850 N 64 N
152825 N 55 N
152800 N 68 N
152775 N 65 N
152750 NO 33 NO
152725 NO* 94 NO L
152700 NO 212 NO
152675 NO 302 NO
152650 NO 328 NO
152625 NO 252 NO
152600 NO 117 NO
152575 NO 31 NO
152550 NO 8 NO F
152525 N 2 N