CISCO Volume Graphic:
Prices $30 for all commoditites per for 1 month Exchanges covered: CBOT, CME, IMM, CSCE, NYMEX, COMEX, NYFE Futures: Int. Rates: U2, T2, TB, ED, F2 Indexes: SP, TE, QA, TX, MB Currencies: JY, DM, SF, BP, CD Metals: GC, PL, SV, PA, GI Grains: S, BO, SM, W, C, O Oils: CL, HO, QL, NO Softs: CC, OJ, NY, CO, LB, SU Meats: LC, LH, PB, FC Click here to get explanation of commodity symbols Click here to sign up to get paid-for graphics
Brief Background The CISCO Visual Graphic is a pictorial of a particular future's behavior based on the last 5, 10 and 20 days of trading data. Designed for a quick study and rapid analysis, the CISCO Visual Graphic shows the end-of-day market condition at a glance, the last 10 days of commercial activity and the most recent day's 30 minute bars. The CISCO Visual Graphic lists the future's reference points. These are used for theevaluation of low-risk trades for the next day. This report first lists and briefly describes the elements of the Visual Graphic, including a comparison with the Trader Control Package text data, which is the source of the VG. Following that is a brief example is using the Visual Graphic in a real-world trend-breakout situation. An Index for the Visual Graphic
The first line of the graphic gives the contract and the date of the data.
For example U206 05/19/98 is the June (06) T-bonds (day) (U2) contract
for the trading date May 19th 1998 (05/19/98).
The Visual Graphic is in two parts: UPPER graphics and LOWER tables.
The upper part of the VG consists of 6 graphics with a common price strip on the
extreme left.
From left to right, the 6 graphics are:
(U1) Last 20 day Rotation profile 'Rotprof'
symbols a thru t represent the prices traded during each day
a=20 days ago; k=10 days ago; p=5 days ago; t=current day
this is like a market profile with each period equal to one day
(U2) '20 day Overlay'
the histogram represents the # of TPOS's at each price
dashes enclose a distribution/bracket
RotProf symbols: a = 20 days back, t = latest day
a b c d e f g h i j k l m n o p q r s t
(U3) '10 day Overlay'
the histogram represents the # of TPOS's at each price
dashes enclose a distribution/bracket
RotProf symbols: k = 10 days back, t = latest day
k l m n o p q r s t
(U4) '5 day Overlay'
the histogram represents the # of TPOS's at each price
horizontal dashes pairs enclose a distribution/bracket
RotProf symbols: p = 5 days back, t = latest day
p q r s t
All three Overlay histograms have the same horizontal scale.
Note: (Balance defn: Single distribution, close inside dist.)
A balance starts in some day as a congestion. It grows day-by-day. We
only list 5, 10, 15 and 20 day Overlays on the TCP (5, 10 and 20 on
the VG). Clearly there can be a 6 day balance or a 19 day balance, etc.
A rule: If the latest 6 days are in balance, a 10 day Overlay will
report a balance, ignoring the old four days of the previous
distribution. 15 day Overlays must have at least the latest 11 days
in balance, 20 day Overlays must have at least the latest 16 days
in balance. 5 day Overlays must have 5 days in balance. However,
you can eyeball the 5 day display to find shorter balances.
Using RotProf, you can tell exactly how many days are in balance.
(U5) Last 10 day Commercial Analysis 'cti2' for CBOT and CME only
high-low dashed vertical line bars cover the last 10 days
latest day is on right
* indicates commercial action at high and/or low
the single horizontal dashes on the vertical bars are the closes
(U6) 30 minute high-low bars for latest day '30m bars'
last period on right
(U7) Also, between the Rotation Profile and the 20 day Overlay:
Current day close 'cl'
Commercial action at current day high (if any) 'uc' for CBOT and CME only
Commercial action at current day low (if any) 'lc' for CBOT and CME only
(U8) Trading Units:
Markets are initiated by exchanges to serve a particular 'trade' or
area of commerce. Trading units selected are those in use by that trade.
While many units are decimal fractions, some are not, such as grains
which are traded in pennies and eighths per bushel. A price of 2406 for
corn means 240 and 6/8 cents for a bushel. Other exceptions are the
30 year bond in the Visual Graphic display, which trades in 32nds, 10
year notes and 5 year notes, in 64ths, and 2 year notes in 128ths.
Any questions can be resolved by visiting the exchange's Contract
Specifications.
Example: The 5 day Overlay limits are 12020 to 11930. Range in 32nds
is: 11930 - 11931 - 11200 - 11201 - 11202 ....... 112020 or 23 32nds.
Rounding off to 24 32nds, an octant is 3 32nds.
The LOWER (tabular) PART consists of 5 tables of data.
From left to right, these 5 tables are:
(L1) Below the Rotation Profile:
(L1.1 )'O' is the Open for latest and previous trading day*
(L1.2 )'H' is the High for latest and previous trading day*
(L1.3 )'L' is the Low for latest and previous trading day*
(L1.4 )'C' is the Close for latest and previous trading day*
(L1.5 )'Tf' is the Trade Facilitation Factor for latest and previous trading day*
Smaller TF implies better trade.
(L1.6 )'Vo' is the Price Tick Volatility for latest and previous trading day*
Very Low Volatility implies lack of interest
Very High Volatility implies overheating
(L1.7 )'Sf' is the Shape Factor for latest and previous trading day*
Smaller is better.
(L1.8 )'HL' for the two front months, gives the % of the current close from the 60 day low
also gives the days (in last 10 days) when new highs ('NH') or new lows ('NL')were established
* is a separator
e.g. 81* NH 3 4 means there was a new 60 day high established 3 (and 4 days) back
and close today is 81% of 60 day range (from 60 day low)
(L1.9 )'Tv' is the Total Contract Volume for latest and previous trading day*
(L1.10)'Cv' is the Commercial Contract Volume for latest and previous trading day*
(L1.11)'Pv' is the Public Contract Volume for latest and previous trading day*
(L1.12)'CUL' is the Commercial Action and Type for latest/previous trading day
First is the action at the current days high for each measure
Separating the high and low actions is a ':'
Second is the action at the current days low for each measure
Separating the current day from the previous day is a '/'
Third is the action at the previous days high for each measure
Separating the high and low actions is a ':'
Fourth is the action at the previous days low for each measure
Types: Q=quadrant measure, A=value-area measure, V=volume/price measure
For example: Q--:-A-/QAV:--- means:
Q-- commercial activity at latest days high with Q measure
: seperates activity at high from low
-A- commercial activity at latest days low with A measure
/ separates current from previous day
QAV commercial activity at previous days high with QAV measures
: seperates activity at high from low
--- NO commercial activity at previous day low
The Commercial, Public and Total Contract Volume and the Commercial Action
analysis is derived from the Liquidity Data Bank which is released
by the CBOT and CME exchanges only. It is same day cleared trading volume
and excludes spreads.
(L2) Below the 20 day Overlay is bracket/distribution info for this Overlay
(L3) " " 10 day
(L4) " " 5 day
If the Overlay IS bracketing:
'U ' is the upper limit
'UO' is the upper octant price; the number to the right is the $ gain for
a responsive short going from the octant to the center M
'UQ' is the upper quadrant price; the number to the right is the $ gain for
a responsive short going from the quadrant to the center M
'M ' is the bracket center
'LQ' is the lower quadrant price; the number to the right is the $ gain for
a responsive long going from the qudrant to the center M
'LO' is the lower octant price; the number to the right is the $ gain for
a responsive long going from the octant to the center M
'L ' is the lower limit
Below the U-UO-UQ-M-LQ-LO-L lines are the responsive trade gains (again) and
the $ risk of the responsive trades. The risk/reward ratio is 1 to 3
for the octant. The $ risk on the responsive trade is the same as the
$ risk for a breakout trade (octant is the stop).
Below is the $ gain and $ loss for the quadrant (The risk/reward ratio is 1 to 1.)
If the Overlay does NOT show bracketing:
The number of distributions is listed ('distr'; max 4 shown), with:
The Upper ('U') and Lower ('L') Prices for each distribution
(L5) Below the commercial analysis vertical dashed (if any) and 30 minute solid bars
(L5.1 )'VA U' is the Value Area high price for current and previous day*
(L5.2 )'VA C' is the Value Area center price for current and previous day (POC)*
(L5.3 )'VA L' is the Value Area low price for current and previous day*
(L5.4 )'VA R' is the Value Area range for current and previous day*
(L5.5 )'TPOT' is the # of TPO's total for current and previous day*
(L5.6 )'TPOA' is the # of TPO's above maximum TPO line for current/previous day*
(L5.7 )'TPOB' is the # of TPO's below maximum TPO line for current/previous day*
In a totally balanced market TPOA will equal TPOB
The TPO counts in a perfectly balanced market would be symmetrical, a perfect
bell shaped curve. There would be as many TPOs above the center as below.
If the market is just coming into balance the symmetry will not yet be there.
So long as the market stays in balance you would expect the TPO counts to
approach symmetry. If TPOA is greater than TPOB you would expect more trading
in the lower region to add TPOs.
For non-balanced markets, the TPO counts add little information.
(L5.8 )'Att Dir' is the attempted direction for current and previous day*
The possible values are: n for none, U for Up or D for Down. A rule of thumb for
Att Dir, after the close, measures F% (the close - POC distance) as a fraction of the day's
range. If F% is 20% or more above POC Att Dir = U, 20% below POC and Att Dir = D.
(L5.9 )'IB' is the high and low price of the Initial Balance for current day
The Initial Balance is the first two 30 minute trading periods
(L5.10)'IBR%C' is for the current trading day. It consists of:
'IBR' is the Initial Balance range
'%' is the Initial Balance range as a % of total range
'C' is Location of close relative to Initial Balance: ABV, BLO, INS
ABV when the close is above the Initial Balance
BLO when the close is below the Initial Balance
INS when the close is inside the Initial Balance
(L5.11)'RiQc' is todays Rotation Index/Quadrant of Close using last 4 and 8 days
For example: 0.67/1 .7/4 means Rotation Index for last 4 days is .67
Quadrant of Close for last 4 days is 1
Rotation Index for last 8 days is .7
Quadrant of Close for last 8 days is 4
(L5.12)'VADir' is the Value Area Direction for current day vs the previous day
The possible values are H, A, Z, L or n
'H '= higher
'A' = overlapping higher
'Z' = overlapping lower
'L' = lower
'n' = none (inside or outside)
Preferred direction is up if close above Overlay midpoint, down if below.
(L5.13)'ITDir' is the Internal Trend Direction based on RiQC for last 4 & 8 days.
The possible values are n for none, U for Up or D for Down
This is not in the text version of the TCP data- only on Visual Graphic
* The previous day data value is to the right of the '/'
Advantages of Visual Graphic over Text data
1) Condensed: in half a page versus 10 pages
2) All graphs/data have a common price strip
3) Overlays all have same horizontal scale for TPO's
4) IT direction only in graphic
5) Graphical, easy scan format
Disadvantages of Visual Graphic over Text data
1) The common price strip means the latest day price can be over-condensed
2) In order to fit in 6 graphs, Overlay's #TPO's scale may be too compressed
3) Text gives actual prices and number of TPO's in Overlay
4) The 15 day Overlay is omitted in Visual Graphic
5) Other data is omitted (see below)
What is in the text data but not in the visual graphics:
(1) Price/TPO/tick detail in the Overlays, Rotation Profile & 30 minute bars.
Overlays
(2) 15 day Overlay and Analysis
(3) For each Overlay: # days at each price directly (can get from 'Rotprof')
# TPO's at each price directly
# prices
# total TPO's
TPO control price
TPO's above and below control
(4) For each distribution: price with max number of TPO's
peak # TPO's
(5) For each bracketing Overlay: quadrant as a price range
direction 'D' (down) or 'U' (up)
sextant upper/lower price and $ profit/$risk
if a breakout was tested 'T'
if an intermediate Overlay was used
(6) Ten day average range and Maximum range
(7) Rotation Index and Quadrant of Close for days 2-5 for 8 & 4day calc.
Commercial Analysis
(8) Type of commercial action(if any) in days 3-10
(9) Numerical value of last 3-10 days high/low/closes
(10) Data parameters used in commercial analysis for last 10 days
Day Review
(11) Posting of higher/lower/even current value versus previous day in Day Review
(12) Commentary on Market Direction for latest day
(13) Accumulation/Distribution by Period for latest day
(14) Number of ticks at each price in the 30 minute bars
A Breakout Trading Example
Before analyzing the trade we will review the ground rules and market logic:
The Overlay is a plot of total trading volume at each traded price
over the last 5, 10, 20 days.
The basic model caught the breakout at 12021 and a stop of 12018 was not
touched. Imagine that you are the swing trader who made the entry. The
speed and force of the initial movement certainly got your attention. (Look at
the second 30 minute bar on the upper right.) This could be the start of
something big. However, by noon it is clear that the movement has stalled.
Is it a 'pause' in the trend while the market gathers strength for the next
strong upthrust? (If so, hold!) Or is the move over? (In which case the
smart trader exits gracefully with a nice day profit.) Wouldn't it be
great to be able to tell?
CISCO has a tool that helps you do just that. Using proprietary analysis,
the CISCO Congestion Report monitors congesting regions and identifies those
whose move is likely over. In this instance, an exit when the congestion is
measured gets one out at 12100. That is a profit of 11 ticks ($343). Waiting too
long can be costly: the close on May 20 was slightly lower at 12030, but waiting
until the next day close, at 12015, would turn a profitable daytrade into a losing
swing trade. You can see May 21, 1998 T-bonds in the VG below. After some initial
strength, the market sold off steadily.
As a swing trader, you did not start out to daytrade. But if your stop is
hit quickly, you have daytraded for a loss. Why not be prepared to daytrade
for a profit, if the market tells you to?
For more information on the Congestion Report, go to CISCO Futures Data line
on the homepage, then scroll down to 'Intra-day Background' and click on 'Background
on CISCO Futures Intra-day data', or click on the link below. Call us for a trial
password.
Background on CISCO Futures Intra-day data
Click here to sign up to get paid-for graphics
For info: 800-800-7227 or 303-306-1521; Email:<dljones@cisco-futures.com>
Address: 14571 E. Mississippi Ave., #202, Aurora, CO 80012 USA
The CISCO home page is at http://www.cisco-futures.com/