CISCO Futures
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Congestion Measurement for Exits*
Figure C1 is the five day Overlay for Oct 10. It is in balance as seen by
the single bell shaped distribution, with the close inside the distribution.
Balance limits, Max TPO and Close are as marked.
A downside breakout occurred on Oct 11 at 11221. There were two pauses in
the downard thrust that day, both just two TPOs wide. The close at 11210
gave the breakout trader a profit of eleven points ($343).
Now the focus is on congestion, i.e. the trend seeker has become a congestion
seeker. Experience with the balances of Oct 7 - 10 with their average range
of 64 ticks and average width of 22 TPOs will now be used to judge when
a defining congestion has occurred. Table C2 is a summary of the next few
days of trading.
Internet http//www.cisco-futures.com
Email dljones@cisco-futures.com
Copyright CISCO Futures October 17, 2004
Throughout both CISCO's Short and the Long Courses our students
are repeatedly reminded to enter on breakouts and exit on congestion.
They have little problem with breakouts. Crossing a price barrier from
balance to trend is easy to recognize. If the breakout is accompanied
by directional price movement, a trend has begun. The breakout is an
event that anyone can recognize.
Students (and traders!) have much more difficulty with congestion.
Congestions are a matter of degree, ranging from a slight market consolidation
to a longer term interruption of the directional movement. Also, a trend
generally ends with a whimper, not a bang. End of trend begins with some
congestion that reflects trader's doubts about whether value will continue
to change. As more doubts accrue, the end game becomes more clouded.
Finally, directional movement ceases and all price movement turns into
fluctuation about a central price. Balance has returned.
The overall picture of day-to-day market evolution is a movement from balance
to testing (is a trend starting?), to trend, to testing (is consolidation
beginning to dominate?) and back to balance. Within a trend the directional
movement is
combined with pauses as the market takes time to digest the new value levels.
There is no set rule for the number of pauses or their dimensions (price
range and time in pause mode). Many trends end at the first pause, others
have many run - pause phases before the trend is over. (For a long run -
pause sequence look at the soybean 80+ day run in the text (pg 21 - 22)).
Value Based Power Trading Text
In the material below an understanding of the basic Market Profile/Meta-Profile and
Overlay Demand Curve is assumed. Explanatory information on these
two data types is available on the CISCO website.
Market Profiles
Overlay Demand Curve Intro
Congestion and the Swing Trader
Congestions are an integral part
of trends. A normal trend will run and then pause. It may run
again and pause again. This procedure is followed until the last
pause takes the market into a congestion (balance) phase. Oftimes the pauses
grow in continued importance until they dominate the market phase, as is the
case for the T-bonds example below. There a swing trader would have seen four
balance days followed by a breakout on Oct 11 shortly after 11 AM.
The next trading day, Oct 15, had three pauses, Oct 16 had one as did
Oct 17, with two on Oct 18, one on Oct 21, one on Oct 22 and finally
back to balance on Oct 23. All in all the swing trader had plenty of
time to figure out where congestion is beginning to dominate the trend.
Congestion and the Day Trader
Day traders do not have the luxury of the unlimited time that swing traders often do.
They must evaluate the congestion picture within minutes of entry. Two
ways to measure short timeframe congestion are shown in the SP emini
example below. One way is a simple TPO count. If a market moves and comes
back, the price where there are several TPOs lined up indicates that
many traders accepted that price over a fairly long time (it is a mini-balance
area). Another, more
dynamic way is to calculate a continuous sum of market acceptance for
each price (TPO). Volume traded would be the preferred measure, but
we use tick count, which is available in real time, as a surrogate.
Practical Problems
The pause/congestion can take many forms. A trade typically starts from a
balance. The balance phase of the market can equally be described
as a fundamental congestion. Characteristics of this phase are
restricted trading range, low volatility and low volume. A balance is
defined by an Overlay Demand Curve that forms a quasi-bell shaped
price - volume distribution with the close inside the distribution.
Overlay Demand Curve Intro
The balanced distribution is characterized by an upper and lower limit
(resistance and support). As value changes, price exceeds the limit (breakout),
signaling the start of a trend. The price - volume distribution
changes from a bell shape to distributing curve, i.e., and upward or
downward moving price line. At some point the movement halts and
price chops around, fluctuating around a price center called a pause. Such
a pause is a congestion. The pause may be short lived with a narrow
trading range or longer (several days) with a wider range. If value
is still changing the trend will emerge from the pause and continue
it's directional movement.
The task for the trader is to differentiate between a pause that is
just marking time until the trend reemerges and one that is signalling
the end of the trend. Although different in scale, the job is the
same for the daytrader and the longer term swing trader. In both cases
the trader requires market understanding.
Auction Market Analysis has tools for congestion recognition for both
longer and shorter timeframe trading. Both cases use price and time.
Time for longer timeframe, swing trading can be several days. For
daytrading the time is of the order of a half-hour to an hour or two.
Rarely does the market turn on a dime, so the trader must have patience
to avoid exiting too early.
Case 1. Day Trading Congestion: SP emini Feb 27, 2003
Congestion measurement in a daytrade is based on the time it takes
information to flow into the market. Work on volatility indicates the minimum
market response time is about one-half hour.
Volatility
In the daytrader timeframe, congestion is typically a very short term
phenomena. It is usually found within in just a few half hour periods.
When a run or trend is distributing it spends little time at each price
it moves through. As it slows, it spends more and more time at each price.
In the upside breakout in the example, price moved up rapidly the first
hour and then retreated. Rule of thumb: in daytrading, four TPOs alerts
to congestion. Another method is to sum volume or a volume surrogate like
ticks to find congestion. We use both TPO count and ticks here.
In the example discussed, we start with the Value Area of the Market Profile/Meta-Profile
from the previous day to locate today's breakout point.
Breakout occurred within the opening half-hour period and the market made
the day's high in the next half-hour period.
Both TPOs and ticks associated with each TPO are posted in figure C1.
Entrance on the upside breakout at 83525 in D period was followed by a
strong run-up to peak out at 84275 in E period. At this point the trader
is naturally bullish, only hindsight shows this to be the top.
As price relaxed back, four TPOs, DEFG appeared at 84000. This is an alert
to potential congestion and the trader should be seriously considering
an exit.
A second piece of evidence is in the tick sums ('Sum Ticks' column). At
83975 (on the way back down) the tick count jumps and stays high all the way
on down to 83775. This is also clearly
a congestion alert. Since the tick jump comes on the heels of the four
TPOs one tick above, one's decision to exit is reinforced.
CISCO CMaPS Meta-Profile methodology is designed to aid the trader in examining
congestion. CMaPS has two controls that help locate congestion. CMaPS is first
a profile generator from real-time ticks (a Tick-TPO or Meta-Profile). It offers
two primary time frames, the normal 30 minutes and a double-density 15 minute
profile. It is the 15 minute time that you will switch to when you examine
for congestion. Also, with CMaPS you can set your timeframe, e.g. in figure 1,
you might first think you detect a hint of congestion at 83975 in F period
(10:30 to 11 AM). CMaPS lets you select a timeframe, say from
9:45 to 10:45 and use a 15 minute profile to enlarge the area you want to
examine.
CMaPS.
LENGTH OF FIRST PERIOD = 30 MINS
META-PROFILE REPORT FOR 02 27 03
AND SEGMENTED AUCTION
COMMODITY -- Mini S&P 500 (CME-IOM)MAR 03
Partial Day: from Breakout in D period to Congestion in G period
Price Brackets Segmented Auction Sum Ticks
TK TK TK TK
84275 E 4 E 4
84250 E 7 E 7
84225 E 19 E 19
84200 E 64 E 64
84175 E 81 E 81
84150 E 57 E 57
84125 E 60 E 60
84100 E 56 E 56
84075 DEH 30 D 41 E 71
84050 DEH 34 D 58 E 92
84000 DEFGHJ 18 D 69 E 10 F 33 G 61
83975 DEFGHJ 33 D 107 E 30 F 51 G 114 <== Congest region U
83950 DEFGHIJ 76 D 67 E 54 F 31 G 151
83925 DEFGHIJ 87 D 41 E 69 F 22 G 219
83900 DEFGHIJ 74 D 36 E 69 F 25 G 204
83875 DEFGHIJK 89 D 15 E 64 F 27 G 195
83850 DFGHIJKP 91 D 47 F 23 G 161
83825 DFGHIJKP 102 D 56 F 15 G 173
83800 DFGHIJKP 117 D 52 F 33 G 202
83775 DFGIJKNP 52 D 29 F 30 G 111 <== Congest region L
83750 DFGIJKNP 5 D 12 F 20 G 37
83725 DGIJKNP 7 D 41 G 48
83700 DGIJKNP 3 D 59 G 62
83675 DGIJKNP 10 D 48 G 58
83650 DGJKNP 16 D 20 G 36
83625 DGJKN 21 D 2 G 23
83600 DKN 36 D 36
83575 DKN 49 D 49
83550 DKLN 52 D 52
83525 DKLN Breakout Up 63 D 63
U 83500 DKLN 106 D 106
83475 DKLMN 105 D 105
83450 DKLMN 54 D 54
83425 DKLMN 36 D 36
Figure C1. Two hours 0930 - 11:30), SP emini Feb 27, 2003
Entire Day's Trading
Price Brackets Segmented Auction
84275 E E | | | |
84250 E E | | | |
84225 E E | | | |
84200 E E | | | |
84175 E E | | | |
84150 E E | | | |
84125 E E | | | |
84100 E E | | | |
84075 DEH D E | |H | | | | | | |
84050 DEH D E | |H | | | | | | |
84025 DEGH D E |G |H | | | | | | |
84000 DEFGHJ D E F |G |H | |J | | | | |
83975 DEFGHJ D E F |G |H | |J | | | | |
83950 DEFGHIJ D E F |G |H |I |J | | | | |
83925 DEFGHIJ D E F |G |H |I |J | | | | |
83900 DEFGHIJ D E F |G |H |I |J | | | | |
83875 DEFGHIJK D E F >G >H >I >J >K > > > |
83850 DFGHIJKP D F |G |H |I |J |K | | | |P
83825 DFGHIJKP D |F |G |H |I |J |K | | | |P
83800 DFGHIJKP D |F |G |H |I |J |K | | | |P
83775 DFGIJKNP D |F |G | |I |J |K | | |N |P
83750 DFGIJKNP D |F |G | |I |J |K | | |N >P
83725 DGIJKNP D | | |G | |I |J |K | | |N |P
83700 DGIJKNP D | | |G | |I |J |K | | |N |P
83675 DGIJKNP D | | |G | |I |J |K | | |N |P
83650 DGJKNP D | | |G | | |J |K | | |N |P
83625 DGJKN D | | |G | | |J |K | | |N |
83600 DKN D | | | | | | |K | | |N |
83575 DKN D | | | | | | |K | | |N |
83550 DKLN D | | | | | | |K |L | |N |
83525 DKLN |D | | | | | | |K |L | |N |
U 83500 DKLN |D | | | | | | |K |L | |N |
83475 DKLMN |D | | | | | | |K |L |M |N |
83450 DKLMN |D | | | | | | |K |L |M |N |
83425 DKLMN |D | | | | | | |K |L |M |N |
83400 CDKLMN C |D | | | | | | |K |L |M |N |
83375 BCDLM B C >D > > | | | | | |L |M | |
83350 BCDLM B C |D | | | | | | | |L |M | |
83325 BCDLM B C |D | | | | | | |L |M | |
83300 BCDLM |B |C |D | | | | |L |M |
83275 BCLM |B |C | | | | | L |M
83250 BCLM |B |C | | | | L M
83225 BCLM |B |C | | | | L M
83200 BCLM |B |C | | | L M
83175 BCLM |B |C | | | L M
83150 BCLM |B |C | | | L M
83125 BCLM >B |C | | | L M
83100 BCL |B |C | | | L
83075 BCL |B |C | | | L
83050 BCL |B |C | | | L
83025 BC |B >C | | |
83000 BC |B |C | | |
82975 BC |B |C | | |
82950 BC |B |C | | |
82925 BC B |C | | |
82900 BC B |C | | |
82875 BC B |C | | |
82850 BC B |C | | |
82825 C C | | |
82800 C C | | |
82775 C C | | |
82750 C C | | |
L 82725 C C | |
82700 C C | |
82675 C C | |
82650 C C | |
Figure C2. Entire day, SP emini Feb 27, 2003
The example concentrated on the initial breakout and followed the trade
into congestion. The entry trigger point was yesterday's upper Value Area.
Price above the value area suggested value was rising. Tracking the
market through G period indicates the change in value was not permanent.
Day traders may use signals other than Value Area for breakouts. Assume
another entry method was used to go short in J period. Again, the four
TPO rule would have suggested congestion at 83400, after price bottomed
out in L period. There were four TPOs at 83425, 83450 and 83475.
The four prices all traded within a few minutes of the 83050 low in
L period near the end of the day. Thus, there were at least two trading
opportunities for the day trader, both of which could have used the
four TPO measure for congestion (and probably tick sums as well).
Swing Trading Congestion: T-bonds Oct 7 - Oct 23, 2002
T-bonds show good communication between trader and market. Part
of the reason is that the yield curve is well understood and regular U.S.
Treasury auctions reinforce market knowledge. T-bonds are a good test-bed
for congestion studies (and trading).
The bonds were in balance Oct 7 through Oct 10. Trading range of the
balance averaged about 65 points (1 point = $31.25). The maximun number
of TPOs is about 22.
The actual data are in table C3.
The balanced market data will be useful in determining when a congestion
has gone beyond the pause stage. The pause is transitory. It will have
a range small compared to the balanced state. Trading range of a pause
will be substantially less than the 65 point average for the balance.
Also, the maximum TPO width of a pause will be quite a lot less than
the 22 TPOs width of a balance.
5 Day Overlays: Balanced Phase
ULIM LLIM Range (32nds) Max TPO (POC)
10/07/02 11410 - 11220 52 29
10/08/02 11429 - 11220 70 19
10/09/02 11429 - 11222 68 18
10/10/02 11429 - 11222 68 23
Table C3. Balance phase Oct 7 - Oct 10.
TPO VOLUME OVERLAY AND PRICE ROTATION PROFILE
DEC 02 T-BOND (CBOT) DAY
10 04 02 TO 10 10 02
PRICE DYS L/F ROT PROFILE * TPOS TPO VOL OVERLAY *
11504 1 S 1 X
11503 1 S 1 X
11502 1 S 1 X
11501 1 S 1 X
11500 1 S 1 X
11431 1 S 2 XX
11430 1 S 2 XX
11429 1 S 3 XXX <== Upper Balance Limit
11428 1 S 3 XXX
11427 1 S 3 XXX
11426 2 ST 4 XXXX
11425 2 ST 5 XXXXX
11424 2 ST 5 XXXXX
11423 2 ST 6 XXXXXX
11422 2 ST 10 XXXXXXXXXX
11421 2 ST 14 XXXXXXXXXXXXXX
11420 2 ST 16 XXXXXXXXXXXXXXXX
11419 2 ST 19 XXXXXXXXXXXXXXXXXXX
11418 3 U STU 19 XXXXXXXXXXXXXXXXXXX
11417 3 U STU 16 XXXXXXXXXXXXXXXX
11416 3 U STU 17 XXXXXXXXXXXXXXXXX
11415 3 U STU 18 XXXXXXXXXXXXXXXXXX
11414 4 U RSTU 21 XXXXXXXXXXXXXXXXXXXXX
11413 4 U RSTU 20 XXXXXXXXXXXXXXXXXXXX
11412 4 U RSTU 16 XXXXXXXXXXXXXXXX
11411 4 U RSTU 13 XXXXXXXXXXXXX
11410 4 U RSTU 14 XXXXXXXXXXXXXX
11409 4 U RSTU 16 XXXXXXXXXXXXXXXX
11408 5 QU QRSTU 17 XXXXXXXXXXXXXXXXX
11407 5 QU QRSTU 16 XXXXXXXXXXXXXXXX
11406 5 QU QRSTU 16 XXXXXXXXXXXXXXXX
11405 4 QU QRSU 15 XXXXXXXXXXXXXXX
11404 4 QU QRSU 15 XXXXXXXXXXXXXXX
11403 4 QU QRSU 13 XXXXXXXXXXXXX
11402 4 QU QRSU 15 XXXXXXXXXXXXXXX
11401 4 QU QRSU 16 XXXXXXXXXXXXXXXX
11400 4 QU QRSU 18 XXXXXXXXXXXXXXXXXX
11331 4 QU QRSU 21 XXXXXXXXXXXXXXXXXXXXX
11330 4 QU QRSU 22 XXXXXXXXXXXXXXXXXXXXXX
11329 4 QU QRSU 23 XXXXXXXXXXXXXXXXXXXXXXX <== Max TPO
11328 4 QU QRSU 23 XXXXXXXXXXXXXXXXXXXXXXX
11327 4 QU QRSU 22 XXXXXXXXXXXXXXXXXXXXXX
11326 4 QU QRSU 22 XXXXXXXXXXXXXXXXXXXXXX
11325 4 QU QRSU 19 XXXXXXXXXXXXXXXXXXX
11324 4 QU QRSU 18 XXXXXXXXXXXXXXXXXX <== Close
11323 4 QU QRSU 16 XXXXXXXXXXXXXXXX
11322 4 QU QRSU 13 XXXXXXXXXXXXX
11321 3 QU QSU 11 XXXXXXXXXXX
11320 3 QU QSU 9 XXXXXXXXX
11319 2 QU QU 7 XXXXXXX
11318 2 QU QU 6 XXXXXX
11317 2 QU QU 5 XXXXX
11316 2 QU QU 4 XXXX
11315 2 QU QU 5 XXXXX
11314 2 QU QU 4 XXXX
11313 1 Q Q 3 XXX
11312 1 Q Q 3 XXX
11311 1 Q Q 4 XXXX
11310 1 Q Q 4 XXXX
11309 1 Q Q 3 XXX
11308 1 Q Q 3 XXX
11307 1 Q Q 4 XXXX
11306 1 Q Q 6 XXXXXX
11305 1 Q Q 6 XXXXXX
11304 1 Q Q 6 XXXXXX
11303 1 Q Q 7 XXXXXXX
11302 1 Q Q 7 XXXXXXX
11301 1 Q Q 7 XXXXXXX
11300 1 Q Q 7 XXXXXXX
11231 1 Q Q 6 XXXXXX
11230 1 Q Q 6 XXXXXX
11229 1 Q Q 5 XXXXX
11228 1 Q Q 4 XXXX
11227 1 Q Q 4 XXXX
11226 1 Q Q 4 XXXX
11225 1 Q Q 4 XXXX
11224 1 Q Q 5 XXXXX
11223 1 Q Q 4 XXXX
11222 1 Q Q 3 XXX <== Lower Balance Limit
11221 1 Q Q 2 XX
11220 1 Q Q 2 XX
11219 1 Q Q 2 XX
11218 1 Q Q 2 XX
11217 1 Q Q 2 XX
11216 1 Q Q 2 XX
11215 1 Q Q 2 XX
11214 1 Q Q 2 XX
11213 1 Q Q 2 XX
11212 1 Q Q 1 X
11211 1 Q Q 1 X
11210 1 Q Q 1 X
11209 1 Q Q 1 X
11208 1 Q Q 1 X
Figure C3. Five day Overlay
This last balance day before the breakout on Oct 11 indicates a market
without apparent directional bias. The ROT PROFILE column identifies the
dates: Q is Oct 4, R is Oct 7, S is Oct 8, T is Oct 9 and U is Oct 10.
The low, 11208 in day Q, occurred on the 5th day back. The high, 11504
in day S is three days back. The latest day, U traded through the
middle of the distribution. Limits are set at a the furthest three
TPO prices (11429 - 11222). Trading outside the limits is considered
a breakout, an alert that a trend may be starting.
TPO VOLUME OVERLAY AND PRICE ROTATION PROFILE
DEC 02 T-BOND (CBOT) DAY
10 07 02 TO 10 11 02
PRICE DYS L/F ROT PROFILE * TPOS TPO VOL OVERLAY *
11504 1 S 1 X
11503 1 S 1 X
11502 1 S 1 X
11501 1 S 1 X
11500 1 S 1 X
11431 1 S 2 XX
11430 1 S 2 XX
11429 1 S 3 XXX
11428 1 S 3 XXX
11427 1 S 3 XXX
11426 2 ST 4 XXXX
11425 2 ST 5 XXXXX
11424 2 ST 5 XXXXX
11423 2 ST 6 XXXXXX
11422 2 ST 10 XXXXXXXXXX
11421 2 ST 14 XXXXXXXXXXXXXX
11420 2 ST 16 XXXXXXXXXXXXXXXX
11419 2 ST 19 XXXXXXXXXXXXXXXXXXX
11418 3 STU 19 XXXXXXXXXXXXXXXXXXX
11417 3 STU 16 XXXXXXXXXXXXXXXX
11416 3 STU 17 XXXXXXXXXXXXXXXXX
11415 3 STU 18 XXXXXXXXXXXXXXXXXX
11414 4 R RSTU 21 XXXXXXXXXXXXXXXXXXXXX
11413 4 R RSTU 20 XXXXXXXXXXXXXXXXXXXX
11412 4 R RSTU 16 XXXXXXXXXXXXXXXX
11411 4 R RSTU 13 XXXXXXXXXXXXX
11410 4 R RSTU 14 XXXXXXXXXXXXXX
11409 4 R RSTU 16 XXXXXXXXXXXXXXXX
11408 4 R RSTU 16 XXXXXXXXXXXXXXXX
11407 4 R RSTU 15 XXXXXXXXXXXXXXX
11406 4 R RSTU 15 XXXXXXXXXXXXXXX
11405 3 R RSU 14 XXXXXXXXXXXXXX
11404 3 R RSU 14 XXXXXXXXXXXXXX
11403 3 R RSU 11 XXXXXXXXXXX
11402 3 R RSU 12 XXXXXXXXXXXX
11401 3 R RSU 13 XXXXXXXXXXXXX
11400 3 R RSU 15 XXXXXXXXXXXXXXX
11331 3 R RSU 18 XXXXXXXXXXXXXXXXXX
11330 3 R RSU 19 XXXXXXXXXXXXXXXXXXX
11329 3 R RSU 20 XXXXXXXXXXXXXXXXXXXX
11328 3 R RSU 19 XXXXXXXXXXXXXXXXXXX
11327 3 R RSU 19 XXXXXXXXXXXXXXXXXXX
11326 3 R RSU 19 XXXXXXXXXXXXXXXXXXX
11325 3 R RSU 16 XXXXXXXXXXXXXXXX
11324 3 R RSU 15 XXXXXXXXXXXXXXX
11323 3 R RSU 13 XXXXXXXXXXXXX
11322 3 R RSU 10 XXXXXXXXXX
11321 2 SU 8 XXXXXXXX
11320 3 V SUV 7 XXXXXXX
11319 2 V UV 6 XXXXXX
11318 2 V UV 6 XXXXXX
11317 2 V UV 5 XXXXX
11316 2 V UV 5 XXXXX
11315 2 V UV 5 XXXXX
11314 2 V UV 4 XXXX
11313 1 V V 3 XXX
11312 1 V V 3 XXX
11311 1 V V 3 XXX
11310 1 V V 5 XXXXX
11309 1 V V 4 XXXX
11308 1 V V 4 XXXX
11307 1 V V 2 XX
11306 1 V V 2 XX
11305 1 V V 3 XXX
11304 1 V V 3 XXX
11303 1 V V 4 XXXX
11302 1 V V 4 XXXX
11301 1 V V 4 XXXX
11300 1 V V 5 XXXXX
11231 1 V V 5 XXXXX
11230 1 V V 3 XXX
11229 1 V V 3 XXX
11228 1 V V 3 XXX
11227 1 V V 2 XX
11226 1 V V 2 XX
11225 1 V V 2 XX
11224 1 V V 2 XX
11223 1 V V 1 X
11222 1 V V 1 X
11221 1 V V 1 X <== BREAKOUT DOWN
11220 1 V V 1 X
11219 1 V V 1 X
11218 1 V V 2 XX
11217 1 V V 2 XX
11216 1 V V 2 XX
11215 1 V V 2 XX
11214 1 V V 2 XX
11213 1 V V 1 X
11212 1 V V 1 X
11211 1 V V 2 XX
11210 1 V V 2 XX <== CLOSE
11209 1 V V 2 XX
11208 1 V V 2 XX
11207 1 V V 2 XX
11206 1 V V 1 X
11205 1 V V 1 X
11204 1 V V 1 X
11203 1 V V 1 X
Figure C4. Breakout day, Oct 11. After the breakout at 12221 and run
down to 11203 with a close at 11210, it is fair to assume that the
balanced distribution of Oct 10 has given way to a downward trend.
Accordingly, the old balanced distribution is now history and no longer
used in the trader's analyses.
We seek to find the first pause that is an appreciable fraction of the
balance situation. A rule of thumb can be about half of the balance,
or a range of 32 ticks or more and/or a width of 11 TPOs or more.
The first decision comes on Oct 15, where the initial pause is 7 TPOs and
15 ticks. While bigger than the two pauses of Oct 11, these are still
small compared to the 32 ticks/11 TPOs of our rule of thumb.
On Oct 16, that day's pause is 20 ticks and 9 TPOs. Still smaller than
our gauge of 32/11 but getting closer. We could guess that the market
is moving into congestion by the growth of both ticks and TPOs.
Oct 17 finds a pause with 19 ticks and 13 TPOs. The 19 ticks is less than
our test of 32, but the 13 TPOs is greater than our test. The growth toward
congestion seems to be steady. A careful trader would probably decide to
exit. This end-of-day information comes after the close, but it is possible
to close the trade in the after hours market. Assuming one exits at the
close, the trade grossed 124 points.
The number of points one makes or loses on a trade is less important than
having a strategy for exiting on congestion. Experience plays a role.
Judgment is involved. But the principles are clear. Markets move from
trend to congestion. Just how one interprets the data will differ from
trader to trader.
Trading Model Development
A postmortem on Table C2 might show that the exit, in this case was too
early. More could have been made by staying longer. A less risk averse
trader might use 3/4 of the average, 48 ticks/16 TPOs, which could keep
one in longer. We argue that if a trader sets a strategy and lives up
to it, not exiting at the optimum point is not a failure at all. Any
strategy will almost always exit too early or too late. The test is
whether the strategy is net successful.
Overlays for Oct 15 - 22 are posted below Table C2. Use these data to
verify Table C2.
Trend Phase
Close Pause Range Pause TPO (POC) Rng 32nds
10/11/02 Breakout 11221 11210 11218 - 11214 2 2
11211 - 11207 2 2
10/15/02 11005 11104 - 11022 7 15
11020 - 11014 4 7
11008 - 11004 2 2
10/16/02 10925 11008 - 10921 9 20
10/17/02 10825 10903 - 10817 13 19
10/18/02 10822 10903 - 10809 18 (10824) 27
10805 - 10800 4
10/21/02 10802 10905 - 10726 20 (10820) 44
10/22/02 10723 10905 - 10720 20 (10820) 50
Back to Balance Phase
ULIM LLIM Range (32nds) Max TPO (POC)
10/23/02 10905 10718 52 23
Table C2. A summary of market behavior after the breakout day Oct 11.
Pauses for each day are posted with their price ranges and maximum TPO count.
TPO VOLUME OVERLAY AND PRICE ROTATION PROFILE
DEC 02 T-BOND (CBOT) DAY
10 08 02 TO 10 15 02
PRICE DYS L/F ROT PROFILE * TPOS TPO VOL OVERLAY *
-------------- Old Distribution Prior to Breakout ----------
11320 3 S SUV 7 XXXXXXX
11319 2 UV 6 XXXXXX
11318 2 UV 6 XXXXXX
11317 2 UV 5 XXXXX
11316 2 UV 5 XXXXX
11315 2 UV 5 XXXXX
11314 2 UV 4 XXXX
11313 1 V 3 XXX
11312 1 V 3 XXX
11311 1 V 3 XXX
11310 1 V 5 XXXXX
11309 1 V 4 XXXX
11308 1 V 4 XXXX
11307 1 V 2 XX
11306 1 V 2 XX
11305 1 V 3 XXX
11304 1 V 3 XXX
11303 1 V 4 XXXX
11302 1 V 4 XXXX
11301 1 V 4 XXXX
11300 1 V 5 XXXXX
11231 1 V 5 XXXXX
11230 1 V 3 XXX
11229 1 V 3 XXX
11228 1 V 3 XXX
11227 1 V 2 XX
11226 1 V 2 XX
11225 1 V 2 XX
11224 1 V 2 XX
11223 1 V 1 X
11222 1 V 1 X
11221 1 V 1 X <== Yesterday breakout (10/11)
11220 1 V 1 X
11219 1 V 1 X
11218 1 V 2 XX
11217 1 V 2 XX
11216 1 V 2 XX
11215 1 V 2 XX
11214 1 V 2 XX
11213 1 V 1 X
11212 1 V 1 X
11211 1 V 2 XX
11210 1 V 2 XX
11209 1 V 2 XX
11208 1 V 2 XX
11207 1 V 2 XX
11206 1 V 1 X
11205 1 V 1 X
11204 1 V 1 X
11203 1 V 1 X
11108 1 W W 1 X
11107 1 W W 1 X
11106 1 W W 1 X
11105 1 W W 1 X
11104 1 W W 3 XXX
11103 1 W W 3 XXX
11102 1 W W 4 XXXX
11101 1 W W 5 XXXXX
11100 1 W W 4 XXXX
11031 1 W W 4 XXXX
11030 1 W W 6 XXXXXX
11029 1 W W 6 XXXXXX
11028 1 W W 7 XXXXXXX
11027 1 W W 7 XXXXXXX
11026 1 W W 7 XXXXXXX
11025 1 W W 6 XXXXXX
11024 1 W W 6 XXXXXX
11023 1 W W 5 XXXXX
11022 1 W W 3 XXX
11021 1 W W 1 X
11020 1 W W 4 XXXX
11019 1 W W 5 XXXXX
11018 1 W W 4 XXXX
11017 1 W W 4 XXXX
11016 1 W W 4 XXXX
11015 1 W W 4 XXXX
11014 1 W W 3 XXX
11013 1 W W 2 XX
11012 1 W W 2 XX
11011 1 W W 2 XX
11010 1 W W 1 X
11009 1 W W 1 X
11008 1 W W 2 XX
11007 1 W W 2 XX
11006 1 W W 2 XX
11005 1 W W 2 XX <== CLOSE
11004 1 W W 2 XX
11003 1 W W 1 X
TPO VOLUME OVERLAY AND PRICE ROTATION PROFILE
DEC 02 T-BOND (CBOT) DAY
10 09 02 TO 10 16 02
PRICE DYS L/F ROT PROFILE * TPOS TPO VOL OVERLAY *
-------------- Old Distribution Prior to Breakout ----------
11320 2 UV 5 XXXXX
11319 2 UV 6 XXXXXX
11318 2 UV 6 XXXXXX
11317 2 UV 5 XXXXX
11316 2 UV 5 XXXXX
11315 2 UV 5 XXXXX
11314 2 UV 4 XXXX
11313 1 V 3 XXX
11312 1 V 3 XXX
11311 1 V 3 XXX
11310 1 V 5 XXXXX
11309 1 V 4 XXXX
11308 1 V 4 XXXX
11307 1 V 2 XX
11306 1 V 2 XX
11305 1 V 3 XXX
11304 1 V 3 XXX
11303 1 V 4 XXXX
11302 1 V 4 XXXX
11301 1 V 4 XXXX
11300 1 V 5 XXXXX
11231 1 V 5 XXXXX
11230 1 V 3 XXX
11229 1 V 3 XXX
11228 1 V 3 XXX
11227 1 V 2 XX
11226 1 V 2 XX
11225 1 V 2 XX
11224 1 V 2 XX
11223 1 V 1 X
11222 1 V 1 X
11221 1 V 1 X <== Old breakout (10/11)
11220 1 V 1 X
11219 1 V 1 X
11218 1 V 2 XX
11217 1 V 2 XX
11216 1 V 2 XX
11215 1 V 2 XX
11214 1 V 2 XX
11213 1 V 1 X
11212 1 V 1 X
11211 1 V 2 XX
11210 1 V 2 XX
11209 1 V 2 XX
11208 1 V 2 XX
11207 1 V 2 XX
11206 1 V 1 X
11205 1 V 1 X
11204 1 V 1 X
11203 1 V 1 X
11108 1 W 1 X
11107 1 W 1 X
11106 1 W 1 X
11105 1 W 1 X
11104 1 W 3 XXX
11103 1 W 3 XXX
11102 1 W 4 XXXX
11101 1 W 5 XXXXX
11100 1 W 4 XXXX
11031 1 W 4 XXXX
11030 1 W 6 XXXXXX
11029 1 W 6 XXXXXX
11028 1 W 7 XXXXXXX
11027 1 W 7 XXXXXXX
11026 1 W 7 XXXXXXX
11025 1 W 6 XXXXXX
11024 1 W 6 XXXXXX
11023 1 W 5 XXXXX
11022 1 W 3 XXX
11021 1 W 1 X
11020 1 W 4 XXXX
11019 1 W 5 XXXXX
11018 1 W 4 XXXX
11017 1 W 4 XXXX
11016 1 W 4 XXXX
11015 1 W 4 XXXX
11014 1 W 3 XXX
11013 1 W 2 XX
11012 2 X WX 3 XXX
11011 2 X WX 3 XXX
11010 2 X WX 2 XX
11009 2 X WX 2 XX
11008 2 X WX 4 XXXX
11007 2 X WX 5 XXXXX
11006 2 X WX 7 XXXXXXX
11005 2 X WX 7 XXXXXXX
11004 2 X WX 9 XXXXXXXXX
11003 2 X WX 8 XXXXXXXX
11002 1 X X 8 XXXXXXXX
11001 1 X X 7 XXXXXXX
11000 1 X X 5 XXXXX
10931 1 X X 7 XXXXXXX
10930 1 X X 6 XXXXXX
10929 1 X X 7 XXXXXXX
10928 1 X X 7 XXXXXXX
10927 1 X X 8 XXXXXXXX
10926 1 X X 8 XXXXXXXX
10925 1 X X 8 XXXXXXXX <== CLOSE
10924 1 X X 8 XXXXXXXX
10923 1 X X 8 XXXXXXXX
10922 1 X X 5 XXXXX
10921 1 X X 3 XXX
10920 1 X X 2 XX
10919 1 X X 2 XX
10918 1 X X 2 XX
10917 1 X X 2 XX
10916 1 X X 2 XX
10915 1 X X 1 X
10914 1 X X 1 X
10913 1 X X 1 X
TPO VOLUME OVERLAY AND PRICE ROTATION PROFILE
DEC 02 T-BOND (CBOT) DAY
10 10 02 TO 10 17 02
PRICE DYS L/F ROT PROFILE * TPOS TPO VOL OVERLAY *
-------------- Old Distribution Prior to Breakout ----------
11320 2 U UV 5 XXXXX
11319 2 U UV 6 XXXXXX
11318 2 U UV 6 XXXXXX
11317 2 U UV 5 XXXXX
11316 2 U UV 5 XXXXX
11315 2 U UV 5 XXXXX
11314 2 U UV 4 XXXX
11313 1 V 3 XXX
11312 1 V 3 XXX
11311 1 V 3 XXX
11310 1 V 5 XXXXX
11309 1 V 4 XXXX
11308 1 V 4 XXXX
11307 1 V 2 XX
11306 1 V 2 XX
11305 1 V 3 XXX
11304 1 V 3 XXX
11303 1 V 4 XXXX
11302 1 V 4 XXXX
11301 1 V 4 XXXX
11300 1 V 5 XXXXX
11231 1 V 5 XXXXX
11230 1 V 3 XXX
11229 1 V 3 XXX
11228 1 V 3 XXX
11227 1 V 2 XX
11226 1 V 2 XX
11225 1 V 2 XX
11224 1 V 2 XX
11223 1 V 1 X
11222 1 V 1 X
11221 1 V 1 X <== Old breakout (10/11)
11220 1 V 1 X
11219 1 V 1 X
11218 1 V 2 XX
11217 1 V 2 XX
11216 1 V 2 XX
11215 1 V 2 XX
11214 1 V 2 XX
11213 1 V 1 X
11212 1 V 1 X
11211 1 V 2 XX
11210 1 V 2 XX
11209 1 V 2 XX
11208 1 V 2 XX
11207 1 V 2 XX
11206 1 V 1 X
11205 1 V 1 X
11204 1 V 1 X
11203 1 V 1 X
11108 1 W 1 X
11107 1 W 1 X
11106 1 W 1 X
11105 1 W 1 X
11104 1 W 3 XXX
11103 1 W 3 XXX
11102 1 W 4 XXXX
11101 1 W 5 XXXXX
11100 1 W 4 XXXX
11031 1 W 4 XXXX
11030 1 W 6 XXXXXX
11029 1 W 6 XXXXXX
11028 1 W 7 XXXXXXX
11027 1 W 7 XXXXXXX
11026 1 W 7 XXXXXXX
11025 1 W 6 XXXXXX
11024 1 W 6 XXXXXX
11023 1 W 5 XXXXX
11022 1 W 3 XXX
11021 1 W 1 X
11020 1 W 4 XXXX
11019 1 W 5 XXXXX
11018 1 W 4 XXXX
11017 1 W 4 XXXX
11016 1 W 4 XXXX
11015 1 W 4 XXXX
11014 1 W 3 XXX
11013 1 W 2 XX
11012 2 WX 3 XXX
11011 2 WX 3 XXX
11010 2 WX 2 XX
11009 2 WX 2 XX
11008 2 WX 4 XXXX
11007 2 WX 5 XXXXX
11006 2 WX 7 XXXXXXX
11005 2 WX 7 XXXXXXX
11004 2 WX 9 XXXXXXXXX
11003 2 WX 8 XXXXXXXX
11002 1 X 8 XXXXXXXX
11001 1 X 7 XXXXXXX
11000 1 X 5 XXXXX
10931 1 X 7 XXXXXXX
10930 1 X 6 XXXXXX
10929 1 X 7 XXXXXXX
10928 1 X 7 XXXXXXX
10927 1 X 8 XXXXXXXX
10926 1 X 8 XXXXXXXX
10925 1 X 8 XXXXXXXX
10924 1 X 8 XXXXXXXX
10923 1 X 8 XXXXXXXX
10922 1 X 5 XXXXX
10921 1 X 3 XXX
10920 1 X 2 XX
10919 1 X 2 XX
10918 1 X 2 XX
10917 1 X 2 XX
10916 1 X 2 XX
10915 1 X 1 X
10914 1 X 1 X
10913 1 X 1 X
10907 1 Y Y 1 X
10906 1 Y Y 1 X
10905 1 Y Y 1 X
10904 1 Y Y 2 XX
10903 1 Y Y 3 XXX
10902 1 Y Y 3 XXX
10901 1 Y Y 3 XXX
10900 1 Y Y 3 XXX
10831 1 Y Y 5 XXXXX
10830 1 Y Y 6 XXXXXX
10829 1 Y Y 10 XXXXXXXXXX
10828 1 Y Y 11 XXXXXXXXXXX
10827 1 Y Y 12 XXXXXXXXXXXX
10826 1 Y Y 13 XXXXXXXXXXXXX
10825 1 Y Y 12 XXXXXXXXXXXX <== CLOSE
10824 1 Y Y 13 XXXXXXXXXXXXX
10823 1 Y Y 11 XXXXXXXXXXX
10822 1 Y Y 11 XXXXXXXXXXX
10821 1 Y Y 9 XXXXXXXXX
10820 1 Y Y 9 XXXXXXXXX
10819 1 Y Y 8 XXXXXXXX
10818 1 Y Y 7 XXXXXXX
10817 1 Y Y 4 XXXX
10816 1 Y Y 2 XX
10815 1 Y Y 1 X
TPO VOLUME OVERLAY AND PRICE ROTATION PROFILE
DEC 02 T-BOND (CBOT) DAY
10 11 02 TO 10 18 02
PRICE DYS L/F ROT PROFILE * TPOS TPO VOL OVERLAY *
11320 1 V V 1 X
11319 1 V V 2 XX
11318 1 V V 3 XXX
11317 1 V V 3 XXX
11316 1 V V 3 XXX
11315 1 V V 3 XXX
11314 1 V V 3 XXX
11313 1 V V 3 XXX
11312 1 V V 3 XXX
11311 1 V V 3 XXX
11310 1 V V 5 XXXXX
11309 1 V V 4 XXXX
11308 1 V V 4 XXXX
11307 1 V V 2 XX
11306 1 V V 2 XX
11305 1 V V 3 XXX
11304 1 V V 3 XXX
11303 1 V V 4 XXXX
11302 1 V V 4 XXXX
11301 1 V V 4 XXXX
11300 1 V V 5 XXXXX
11231 1 V V 5 XXXXX
11230 1 V V 3 XXX
11229 1 V V 3 XXX
11228 1 V V 3 XXX
11227 1 V V 2 XX
11226 1 V V 2 XX
11225 1 V V 2 XX
11224 1 V V 2 XX
11223 1 V V 1 X
11222 1 V V 1 X
11221 1 V V 1 X <== Old breakout (10/11)
11220 1 V V 1 X
11219 1 V V 1 X
11218 1 V V 2 XX
11217 1 V V 2 XX
11216 1 V V 2 XX
11215 1 V V 2 XX
11214 1 V V 2 XX
11213 1 V V 1 X
11212 1 V V 1 X
11211 1 V V 2 XX
11210 1 V V 2 XX
11209 1 V V 2 XX
11208 1 V V 2 XX
11207 1 V V 2 XX
11206 1 V V 1 X
11205 1 V V 1 X
11204 1 V V 1 X
11203 1 V V 1 X
11108 1 W 1 X
11107 1 W 1 X
11106 1 W 1 X
11105 1 W 1 X
11104 1 W 3 XXX
11103 1 W 3 XXX
11102 1 W 4 XXXX
11101 1 W 5 XXXXX
11100 1 W 4 XXXX
11031 1 W 4 XXXX
11030 1 W 6 XXXXXX
11029 1 W 6 XXXXXX
11028 1 W 7 XXXXXXX
11027 1 W 7 XXXXXXX
11026 1 W 7 XXXXXXX
11025 1 W 6 XXXXXX
11024 1 W 6 XXXXXX
11023 1 W 5 XXXXX
11022 1 W 3 XXX
11021 1 W 1 X
11020 1 W 4 XXXX
11019 1 W 5 XXXXX
11018 1 W 4 XXXX
11017 1 W 4 XXXX
11016 1 W 4 XXXX
11015 1 W 4 XXXX
11014 1 W 3 XXX
11013 1 W 2 XX
11012 2 WX 3 XXX
11011 2 WX 3 XXX
11010 2 WX 2 XX
11009 2 WX 2 XX
11008 2 WX 4 XXXX
11007 2 WX 5 XXXXX
11006 2 WX 7 XXXXXXX
11005 2 WX 7 XXXXXXX
11004 2 WX 9 XXXXXXXXX
11003 2 WX 8 XXXXXXXX
11002 1 X 8 XXXXXXXX
11001 1 X 7 XXXXXXX
11000 1 X 5 XXXXX
10931 1 X 7 XXXXXXX
10930 1 X 6 XXXXXX
10929 1 X 7 XXXXXXX
10928 1 X 7 XXXXXXX
10927 1 X 8 XXXXXXXX
10926 1 X 8 XXXXXXXX
10925 1 X 8 XXXXXXXX
10924 1 X 8 XXXXXXXX
10923 1 X 8 XXXXXXXX
10922 1 X 5 XXXXX
10921 1 X 3 XXX
10920 1 X 2 XX
10919 1 X 2 XX
10918 1 X 2 XX
10917 1 X 2 XX
10916 1 X 2 XX
10915 1 X 1 X
10914 1 X 1 X
10913 1 X 1 X
10907 1 Y 1 X
10906 1 Y 1 X
10905 1 Y 1 X
10904 1 Y 2 XX
10903 1 Y 3 XXX
10902 1 Y 3 XXX
10901 1 Y 3 XXX
10900 2 Z YZ 4 XXXX
10831 2 Z YZ 7 XXXXXXX
10830 2 Z YZ 8 XXXXXXXX
10829 2 Z YZ 12 XXXXXXXXXXXX
10828 2 Z YZ 13 XXXXXXXXXXXXX
10827 2 Z YZ 14 XXXXXXXXXXXXXX
10826 2 Z YZ 15 XXXXXXXXXXXXXXX
10825 2 Z YZ 14 XXXXXXXXXXXXXX
10824 2 Z YZ 18 XXXXXXXXXXXXXXXXXX
10823 2 Z YZ 16 XXXXXXXXXXXXXXXX
10822 2 Z YZ 17 XXXXXXXXXXXXXXXXX <== CLOSE
10821 2 Z YZ 16 XXXXXXXXXXXXXXXX
10820 2 Z YZ 18 XXXXXXXXXXXXXXXXXX
10819 2 Z YZ 17 XXXXXXXXXXXXXXXXX
10818 2 Z YZ 16 XXXXXXXXXXXXXXXX
10817 2 Z YZ 13 XXXXXXXXXXXXX
10816 2 Z YZ 8 XXXXXXXX
10815 2 Z YZ 6 XXXXXX
10814 1 Z Z 5 XXXXX
10813 1 Z Z 4 XXXX
10812 1 Z Z 4 XXXX
10811 1 Z Z 4 XXXX
10810 1 Z Z 4 XXXX
10809 1 Z Z 4 XXXX
10808 1 Z Z 2 XX
10807 1 Z Z 2 XX
10806 1 Z Z 2 XX
10805 1 Z Z 3 XXX
10804 1 Z Z 4 XXXX
10803 1 Z Z 4 XXXX
10802 1 Z Z 4 XXXX
10801 1 Z Z 4 XXXX
10800 1 Z Z 3 XXX
10731 1 Z Z 2 XX
10730 1 Z Z 2 XX
10729 1 Z Z 2 XX
10728 1 Z Z 2 XX
10727 1 Z Z 2 XX
10726 1 Z Z 2 XX
10725 1 Z Z 1 X
10724 1 Z Z 1 X
10723 1 Z Z 1 X
10722 1 Z Z 1 X
10720 1 Z Z 1 X
10719 1 Z Z 1 X
10718 1 Z Z 1 X
10717 1 Z Z 1 X
10716 1 Z Z 1 X
TPO VOLUME OVERLAY AND PRICE ROTATION PROFILE
DEC 02 T-BOND (CBOT) DAY
10 15 02 TO 10 21 02
PRICE DYS L/F ROT PROFILE * TPOS TPO VOL OVERLAY *
11108 1 W W 1 X
11107 1 W W 1 X
11106 1 W W 1 X
11105 1 W W 1 X
11104 1 W W 3 XXX
11103 1 W W 3 XXX
11102 1 W W 4 XXXX
11101 1 W W 5 XXXXX
11100 1 W W 4 XXXX
11031 1 W W 4 XXXX
11030 1 W W 6 XXXXXX
11029 1 W W 6 XXXXXX
11028 1 W W 7 XXXXXXX
11027 1 W W 7 XXXXXXX
11026 1 W W 7 XXXXXXX
11025 1 W W 6 XXXXXX
11024 1 W W 6 XXXXXX
11023 1 W W 5 XXXXX
11022 1 W W 3 XXX
11021 1 W W 1 X
11020 1 W W 4 XXXX
11019 1 W W 5 XXXXX
11018 1 W W 4 XXXX
11017 1 W W 4 XXXX
11016 1 W W 4 XXXX
11015 1 W W 4 XXXX
11014 1 W W 3 XXX
11013 1 W W 2 XX
11012 2 W WX 3 XXX
11011 2 W WX 3 XXX
11010 2 W WX 2 XX
11009 2 W WX 2 XX
11008 2 W WX 4 XXXX
11007 2 W WX 5 XXXXX
11006 2 W WX 7 XXXXXXX
11005 2 W WX 7 XXXXXXX
11004 2 W WX 9 XXXXXXXXX
11003 2 W WX 8 XXXXXXXX
11002 1 X 8 XXXXXXXX
11001 1 X 7 XXXXXXX
11000 1 X 5 XXXXX
10931 1 X 7 XXXXXXX
10930 1 X 6 XXXXXX
10929 1 X 7 XXXXXXX
10928 1 X 7 XXXXXXX
10927 1 X 8 XXXXXXXX
10926 1 X 8 XXXXXXXX
10925 1 X 8 XXXXXXXX
10924 1 X 8 XXXXXXXX
10923 1 X 8 XXXXXXXX
10922 1 X 5 XXXXX
10921 1 X 3 XXX
10920 1 X 2 XX
10919 1 X 2 XX
10918 1 X 2 XX
10917 1 X 2 XX
10916 1 X 2 XX
10915 1 X 1 X
10914 1 X 1 X
10913 1 X 1 X
10907 2 1 Y1 2 XX
10906 2 1 Y1 2 XX
10905 2 1 Y1 3 XXX
10904 2 1 Y1 4 XXXX
10903 2 1 Y1 5 XXXXX
10902 2 1 Y1 6 XXXXXX
10901 2 1 Y1 6 XXXXXX
10900 3 1 YZ1 7 XXXXXXX
10831 3 1 YZ1 11 XXXXXXXXXXX
10830 3 1 YZ1 12 XXXXXXXXXXXX
10829 3 1 YZ1 15 XXXXXXXXXXXXXXX
10828 3 1 YZ1 17 XXXXXXXXXXXXXXXXX
10827 3 1 YZ1 17 XXXXXXXXXXXXXXXXX
10826 3 1 YZ1 18 XXXXXXXXXXXXXXXXXX
10825 3 1 YZ1 17 XXXXXXXXXXXXXXXXX
10824 3 1 YZ1 19 XXXXXXXXXXXXXXXXXXX
10823 3 1 YZ1 17 XXXXXXXXXXXXXXXXX
10822 3 1 YZ1 18 XXXXXXXXXXXXXXXXXX
10821 3 1 YZ1 17 XXXXXXXXXXXXXXXXX
10820 3 1 YZ1 20 XXXXXXXXXXXXXXXXXXXX
10819 3 1 YZ1 19 XXXXXXXXXXXXXXXXXXX
10818 3 1 YZ1 18 XXXXXXXXXXXXXXXXXX
10817 3 1 YZ1 15 XXXXXXXXXXXXXXX
10816 3 1 YZ1 9 XXXXXXXXX
10815 3 1 YZ1 8 XXXXXXXX
10814 2 1 Z1 7 XXXXXXX
10813 2 1 Z1 6 XXXXXX
10812 2 1 Z1 8 XXXXXXXX
10811 2 1 Z1 9 XXXXXXXXX
10810 2 1 Z1 9 XXXXXXXXX
10809 2 1 Z1 9 XXXXXXXXX
10808 2 1 Z1 8 XXXXXXXX
10807 2 1 Z1 8 XXXXXXXX
10806 2 1 Z1 10 XXXXXXXXXX
10805 2 1 Z1 10 XXXXXXXXXX
10804 2 1 Z1 11 XXXXXXXXXXX
10803 2 1 Z1 10 XXXXXXXXXX
10802 2 1 Z1 9 XXXXXXXXX <== CLOSE
10801 2 1 Z1 9 XXXXXXXXX
10800 2 1 Z1 7 XXXXXXX
10731 2 1 Z1 6 XXXXXX
10730 2 1 Z1 6 XXXXXX
10729 2 1 Z1 6 XXXXXX
10728 2 1 Z1 6 XXXXXX
10727 2 1 Z1 6 XXXXXX
10726 2 1 Z1 4 XXXX
10725 2 1 Z1 2 XX
10724 1 Z 1 X
10723 1 Z 1 X
10722 1 Z 1 X
10720 1 Z 1 X
10719 1 Z 1 X
10718 1 Z 1 X
10717 1 Z 1 X
10716 1 Z 1 X
TPO VOLUME OVERLAY AND PRICE ROTATION PROFILE
DEC 02 T-BOND (CBOT) DAY
10 16 02 TO 10 22 02
PRICE DYS L/F ROT PROFILE * TPOS TPO VOL OVERLAY *
11012 1 X X 1 X
11011 1 X X 1 X
11010 1 X X 1 X
11009 1 X X 1 X
11008 1 X X 2 XX
11007 1 X X 3 XXX
11006 1 X X 5 XXXXX
11005 1 X X 5 XXXXX
11004 1 X X 7 XXXXXXX
11003 1 X X 7 XXXXXXX
11002 1 X X 8 XXXXXXXX
11001 1 X X 7 XXXXXXX
11000 1 X X 5 XXXXX
10931 1 X X 7 XXXXXXX
10930 1 X X 6 XXXXXX
10929 1 X X 7 XXXXXXX
10928 1 X X 7 XXXXXXX
10927 1 X X 8 XXXXXXXX
10926 1 X X 8 XXXXXXXX
10925 1 X X 8 XXXXXXXX
10924 1 X X 8 XXXXXXXX
10923 1 X X 8 XXXXXXXX
10922 1 X X 5 XXXXX
10921 1 X X 3 XXX
10920 1 X X 2 XX
10919 1 X X 2 XX
10918 1 X X 2 XX
10917 1 X X 2 XX
10916 1 X X 2 XX
10915 1 X X 1 X
10914 1 X X 1 X
10913 1 X X 1 X
10907 2 Y1 2 XX
10906 2 Y1 2 XX
10905 2 Y1 3 XXX
10904 2 Y1 4 XXXX
10903 2 Y1 5 XXXXX
10902 2 Y1 6 XXXXXX
10901 2 Y1 6 XXXXXX
10900 3 YZ1 7 XXXXXXX
10831 3 YZ1 11 XXXXXXXXXXX
10830 3 YZ1 12 XXXXXXXXXXXX
10829 3 YZ1 15 XXXXXXXXXXXXXXX
10828 3 YZ1 17 XXXXXXXXXXXXXXXXX
10827 3 YZ1 17 XXXXXXXXXXXXXXXXX
10826 3 YZ1 18 XXXXXXXXXXXXXXXXXX
10825 3 YZ1 17 XXXXXXXXXXXXXXXXX
10824 3 YZ1 19 XXXXXXXXXXXXXXXXXXX
10823 3 YZ1 17 XXXXXXXXXXXXXXXXX
10822 3 YZ1 18 XXXXXXXXXXXXXXXXXX
10821 3 YZ1 17 XXXXXXXXXXXXXXXXX
10820 3 YZ1 20 XXXXXXXXXXXXXXXXXXXX
10819 3 YZ1 19 XXXXXXXXXXXXXXXXXXX
10818 3 YZ1 18 XXXXXXXXXXXXXXXXXX
10817 3 YZ1 15 XXXXXXXXXXXXXXX
10816 3 YZ1 9 XXXXXXXXX
10815 3 YZ1 8 XXXXXXXX
10814 2 Z1 7 XXXXXXX
10813 2 Z1 6 XXXXXX
10812 2 Z1 8 XXXXXXXX
10811 2 Z1 9 XXXXXXXXX
10810 3 2 Z12 10 XXXXXXXXXX
10809 3 2 Z12 11 XXXXXXXXXXX
10808 3 2 Z12 11 XXXXXXXXXXX
10807 3 2 Z12 12 XXXXXXXXXXXX
10806 3 2 Z12 15 XXXXXXXXXXXXXXX
10805 3 2 Z12 15 XXXXXXXXXXXXXXX
10804 3 2 Z12 16 XXXXXXXXXXXXXXXX
10803 3 2 Z12 15 XXXXXXXXXXXXXXX
10802 3 2 Z12 15 XXXXXXXXXXXXXXX
10801 3 2 Z12 16 XXXXXXXXXXXXXXXX
10800 3 2 Z12 14 XXXXXXXXXXXXXX
10731 3 2 Z12 14 XXXXXXXXXXXXXX
10730 3 2 Z12 14 XXXXXXXXXXXXXX
10729 3 2 Z12 16 XXXXXXXXXXXXXXXX
10728 3 2 Z12 16 XXXXXXXXXXXXXXXX
10727 3 2 Z12 14 XXXXXXXXXXXXXX
10726 3 2 Z12 10 XXXXXXXXXX
10725 3 2 Z12 7 XXXXXXX
10724 2 2 Z2 6 XXXXXX
10723 2 2 Z2 6 XXXXXX <== CLOSE
10722 2 2 Z2 6 XXXXXX
10721 1 2 2 4 XXXX
10720 2 2 Z2 4 XXXX
10719 2 2 Z2 2 XX
10718 2 2 Z2 2 XX
10717 1 Z 1 X
10716 1 Z 1 X
TPO VOLUME OVERLAY AND PRICE ROTATION PROFILE
DEC 02 T-BOND (CBOT) DAY
10 17 02 TO 10 23 02
PRICE DYS L/F ROT PROFILE * TPOS TPO VOL OVERLAY *
10907 2 Y Y1 2 XX
10906 2 Y Y1 2 XX
10905 2 Y Y1 3 XXX
10904 2 Y Y1 4 XXXX
10903 2 Y Y1 5 XXXXX
10902 2 Y Y1 6 XXXXXX
10901 2 Y Y1 6 XXXXXX
10900 3 Y YZ1 7 XXXXXXX
10831 3 Y YZ1 11 XXXXXXXXXXX
10830 3 Y YZ1 12 XXXXXXXXXXXX
10829 3 Y YZ1 15 XXXXXXXXXXXXXXX
10828 3 Y YZ1 17 XXXXXXXXXXXXXXXXX
10827 3 Y YZ1 17 XXXXXXXXXXXXXXXXX
10826 3 Y YZ1 18 XXXXXXXXXXXXXXXXXX
10825 3 Y YZ1 17 XXXXXXXXXXXXXXXXX
10824 3 Y YZ1 19 XXXXXXXXXXXXXXXXXXX
10823 4 Y3 YZ13 18 XXXXXXXXXXXXXXXXXX
10822 4 Y3 YZ13 19 XXXXXXXXXXXXXXXXXXX
10821 4 Y3 YZ13 18 XXXXXXXXXXXXXXXXXX
10820 4 Y3 YZ13 21 XXXXXXXXXXXXXXXXXXXXX
10819 4 Y3 YZ13 21 XXXXXXXXXXXXXXXXXXXXX
10818 4 Y3 YZ13 22 XXXXXXXXXXXXXXXXXXXXXX
10817 4 Y3 YZ13 20 XXXXXXXXXXXXXXXXXXXX
10816 4 Y3 YZ13 14 XXXXXXXXXXXXXX
10815 4 Y3 YZ13 14 XXXXXXXXXXXXXX
10814 3 3 Z13 12 XXXXXXXXXXXX
10813 3 3 Z13 11 XXXXXXXXXXX
10812 3 3 Z13 13 XXXXXXXXXXXXX
10811 3 3 Z13 14 XXXXXXXXXXXXXX
10810 4 3 Z123 14 XXXXXXXXXXXXXX
10809 4 3 Z123 16 XXXXXXXXXXXXXXXX
10808 4 3 Z123 15 XXXXXXXXXXXXXXX
10807 4 3 Z123 16 XXXXXXXXXXXXXXXX
10806 4 3 Z123 19 XXXXXXXXXXXXXXXXXXX
10805 4 3 Z123 21 XXXXXXXXXXXXXXXXXXXXX
10804 4 3 Z123 23 XXXXXXXXXXXXXXXXXXXXXXX
10803 4 3 Z123 23 XXXXXXXXXXXXXXXXXXXXXXX
10802 4 3 Z123 23 XXXXXXXXXXXXXXXXXXXXXXX
10801 4 3 Z123 23 XXXXXXXXXXXXXXXXXXXXXXX
10800 4 3 Z123 21 XXXXXXXXXXXXXXXXXXXXX
10731 4 3 Z123 20 XXXXXXXXXXXXXXXXXXXX
10730 4 3 Z123 19 XXXXXXXXXXXXXXXXXXX
10729 4 3 Z123 20 XXXXXXXXXXXXXXXXXXXX
10728 4 3 Z123 19 XXXXXXXXXXXXXXXXXXX
10727 4 3 Z123 17 XXXXXXXXXXXXXXXXX
10726 4 3 Z123 13 XXXXXXXXXXXXX
10725 4 3 Z123 10 XXXXXXXXXX
10724 3 3 Z23 9 XXXXXXXXX
10723 3 3 Z23 8 XXXXXXXX
10722 3 3 Z23 8 XXXXXXXX
10721 2 3 23 5 XXXXX
10720 3 3 Z23 5 XXXXX <== CLOSE
10719 3 3 Z23 3 XXX
10718 3 3 Z23 3 XXX
10717 2 3 Z3 2 XX
10716 2 3 Z3 2 XX
TPO VOLUME OVERLAY AND PRICE ROTATION PROFILE
DEC 02 T-BOND (CBOT) DAY
10 18 02 TO 10 24 02
PRICE DYS L/F ROT PROFILE * TPOS TPO VOL OVERLAY *
10907 1 1 1 X
10906 1 1 1 X
10905 1 1 2 XX
10904 1 1 2 XX
10903 1 1 2 XX
10902 1 1 3 XXX
10901 1 1 3 XXX
10900 2 Z Z1 4 XXXX
10831 2 Z Z1 6 XXXXXX
10830 2 Z Z1 6 XXXXXX
10829 2 Z Z1 5 XXXXX
10828 2 Z Z1 6 XXXXXX
10827 2 Z Z1 5 XXXXX
10826 2 Z Z1 5 XXXXX
10825 2 Z Z1 5 XXXXX
10824 2 Z Z1 6 XXXXXX
10823 3 Z Z13 7 XXXXXXX
10822 3 Z Z13 8 XXXXXXXX
10821 3 Z Z13 9 XXXXXXXXX
10820 3 Z Z13 12 XXXXXXXXXXXX
10819 3 Z Z13 13 XXXXXXXXXXXXX
10818 3 Z Z13 15 XXXXXXXXXXXXXXX
10817 4 Z4 Z134 18 XXXXXXXXXXXXXXXXXX
10816 4 Z4 Z134 14 XXXXXXXXXXXXXX
10815 4 Z4 Z134 15 XXXXXXXXXXXXXXX
10814 4 Z4 Z134 14 XXXXXXXXXXXXXX <== CLOSE
10813 4 Z4 Z134 13 XXXXXXXXXXXXX
10812 4 Z4 Z134 14 XXXXXXXXXXXXXX
10811 4 Z4 Z134 15 XXXXXXXXXXXXXXX
10810 5 Z4 Z1234 15 XXXXXXXXXXXXXXX
10809 5 Z4 Z1234 18 XXXXXXXXXXXXXXXXXX
10808 5 Z4 Z1234 17 XXXXXXXXXXXXXXXXX
10807 5 Z4 Z1234 18 XXXXXXXXXXXXXXXXXX
10806 5 Z4 Z1234 21 XXXXXXXXXXXXXXXXXXXXX
10805 5 Z4 Z1234 24 XXXXXXXXXXXXXXXXXXXXXXXX
10804 5 Z4 Z1234 27 XXXXXXXXXXXXXXXXXXXXXXXXXXX
10803 5 Z4 Z1234 26 XXXXXXXXXXXXXXXXXXXXXXXXXX
10802 5 Z4 Z1234 26 XXXXXXXXXXXXXXXXXXXXXXXXXX
10801 5 Z4 Z1234 26 XXXXXXXXXXXXXXXXXXXXXXXXXX
10800 5 Z4 Z1234 24 XXXXXXXXXXXXXXXXXXXXXXXX
10731 5 Z4 Z1234 24 XXXXXXXXXXXXXXXXXXXXXXXX
10730 5 Z4 Z1234 23 XXXXXXXXXXXXXXXXXXXXXXX
10729 5 Z4 Z1234 25 XXXXXXXXXXXXXXXXXXXXXXXXX
10728 5 Z4 Z1234 24 XXXXXXXXXXXXXXXXXXXXXXXX
10727 5 Z4 Z1234 22 XXXXXXXXXXXXXXXXXXXXXX
10726 5 Z4 Z1234 19 XXXXXXXXXXXXXXXXXXX
10725 5 Z4 Z1234 16 XXXXXXXXXXXXXXXX
10724 4 Z4 Z234 15 XXXXXXXXXXXXXXX
10723 4 Z4 Z234 16 XXXXXXXXXXXXXXXX
10722 4 Z4 Z234 14 XXXXXXXXXXXXXX
10721 3 Z4 234 9 XXXXXXXXX
10720 4 Z4 Z234 10 XXXXXXXXXX
10719 4 Z4 Z234 8 XXXXXXXX
10718 4 Z4 Z234 7 XXXXXXX
10717 3 Z4 Z34 7 XXXXXXX
10716 3 Z4 Z34 7 XXXXXXX
10715 1 4 4 5 XXXXX
10714 1 4 4 5 XXXXX
10713 1 4 4 4 XXXX
10712 1 4 4 4 XXXX
10711 1 4 4 4 XXXX
10710 1 4 4 3 XXX
10709 1 4 4 3 XXX
10708 1 4 4 3 XXX
10707 1 4 4 3 XXX
10706 1 4 4 1 X
10705 1 4 4 1 X
10704 1 4 4 1 X
10703 1 4 4 1 X
10702 1 4 4 1 X
TPO VOLUME OVERLAY AND PRICE ROTATION PROFILE
DEC 02 T-BOND (CBOT) DAY
10 21 02 TO 10 25 02
PRICE DYS L/F ROT PROFILE * TPOS TPO VOL OVERLAY *
10907 1 1 1 1 X
10906 1 1 1 1 X
10905 1 1 1 2 XX
10904 2 15 15 4 XXXX
10903 2 15 15 5 XXXXX
10902 2 15 15 7 XXXXXXX
10901 2 15 15 9 XXXXXXXXX
10900 2 15 15 14 XXXXXXXXXXXXXX <== CLOSE
10831 2 15 15 16 XXXXXXXXXXXXXXXX
10830 2 15 15 16 XXXXXXXXXXXXXXXX
10829 2 15 15 15 XXXXXXXXXXXXXXX
10828 2 15 15 16 XXXXXXXXXXXXXXXX
10827 2 15 15 15 XXXXXXXXXXXXXXX
10826 2 15 15 12 XXXXXXXXXXXX
10825 2 15 15 11 XXXXXXXXXXX
10824 2 15 15 8 XXXXXXXX
10823 3 15 135 8 XXXXXXXX
10822 3 15 135 6 XXXXXX
10821 3 15 135 5 XXXXX
10820 3 15 135 6 XXXXXX
10819 3 15 135 7 XXXXXXX
10818 3 15 135 8 XXXXXXXX
10817 4 15 1345 11 XXXXXXXXXXX
10816 4 15 1345 9 XXXXXXXXX
10815 4 15 1345 11 XXXXXXXXXXX
10814 4 15 1345 10 XXXXXXXXXX
10813 4 15 1345 10 XXXXXXXXXX
10812 3 1 134 10 XXXXXXXXXX
10811 3 1 134 11 XXXXXXXXXXX
10810 4 1 1234 11 XXXXXXXXXXX
10809 4 1 1234 14 XXXXXXXXXXXXXX
10808 4 1 1234 15 XXXXXXXXXXXXXXX
10807 4 1 1234 16 XXXXXXXXXXXXXXXX
10806 4 1 1234 19 XXXXXXXXXXXXXXXXXXX
10805 4 1 1234 21 XXXXXXXXXXXXXXXXXXXXX
10804 4 1 1234 23 XXXXXXXXXXXXXXXXXXXXXXX
10803 4 1 1234 22 XXXXXXXXXXXXXXXXXXXXXX
10802 4 1 1234 22 XXXXXXXXXXXXXXXXXXXXXX
10801 4 1 1234 22 XXXXXXXXXXXXXXXXXXXXXX
10800 4 1 1234 21 XXXXXXXXXXXXXXXXXXXXX
10731 4 1 1234 22 XXXXXXXXXXXXXXXXXXXXXX
10730 4 1 1234 21 XXXXXXXXXXXXXXXXXXXXX
10729 4 1 1234 23 XXXXXXXXXXXXXXXXXXXXXXX
10728 4 1 1234 22 XXXXXXXXXXXXXXXXXXXXXX
10727 4 1 1234 20 XXXXXXXXXXXXXXXXXXXX
10726 4 1 1234 17 XXXXXXXXXXXXXXXXX
10725 4 1 1234 15 XXXXXXXXXXXXXXX
10724 3 234 14 XXXXXXXXXXXXXX
10723 3 234 15 XXXXXXXXXXXXXXX
10722 3 234 13 XXXXXXXXXXXXX
10721 3 234 9 XXXXXXXXX
10720 3 234 9 XXXXXXXXX
10719 3 234 7 XXXXXXX
10718 3 234 6 XXXXXX
10717 2 34 6 XXXXXX
10716 2 34 6 XXXXXX
10715 1 4 5 XXXXX
10714 1 4 5 XXXXX
10713 1 4 4 XXXX
10712 1 4 4 XXXX
10711 1 4 4 XXXX
10710 1 4 3 XXX
10709 1 4 3 XXX
10708 1 4 3 XXX
10707 1 4 3 XXX
10706 1 4 1 X
10705 1 4 1 X
10704 1 4 1 X
10703 1 4 1 X
10702 1 4 1 X
TPO VOLUME OVERLAY AND PRICE ROTATION PROFILE
DEC 02 T-BOND (CBOT) DAY
10 22 02 TO 10 28 02
PRICE DYS L/F ROT PROFILE * TPOS TPO VOL OVERLAY *
10912 1 6 6 1 X
10911 1 6 6 2 XX
10910 1 6 6 2 XX
10909 1 6 6 6 XXXXXX
10908 1 6 6 7 XXXXXXX
10907 1 6 6 7 XXXXXXX
10906 1 6 6 8 XXXXXXXX
10905 1 6 6 6 XXXXXX
10904 2 6 56 9 XXXXXXXXX
10903 2 6 56 10 XXXXXXXXXX
10902 2 6 56 11 XXXXXXXXXXX
10901 2 6 56 15 XXXXXXXXXXXXXXX
10900 2 6 56 20 XXXXXXXXXXXXXXXXXXXX
10831 2 6 56 19 XXXXXXXXXXXXXXXXXXX <== CLOSE
10830 2 6 56 19 XXXXXXXXXXXXXXXXXXX
10829 2 6 56 19 XXXXXXXXXXXXXXXXXXX
10828 2 6 56 18 XXXXXXXXXXXXXXXXXX
10827 2 6 56 15 XXXXXXXXXXXXXXX
10826 2 6 56 10 XXXXXXXXXX
10825 1 5 8 XXXXXXXX
10824 1 5 7 XXXXXXX
10823 2 35 7 XXXXXXX
10822 2 35 5 XXXXX
10821 2 35 4 XXXX
10820 2 35 4 XXXX
10819 2 35 5 XXXXX
10818 2 35 6 XXXXXX
10817 3 345 9 XXXXXXXXX
10816 3 345 8 XXXXXXXX
10815 3 345 9 XXXXXXXXX
10814 3 345 8 XXXXXXXX
10813 3 345 8 XXXXXXXX
10812 2 34 6 XXXXXX
10811 2 34 6 XXXXXX
10810 3 2 234 6 XXXXXX
10809 3 2 234 9 XXXXXXXXX
10808 3 2 234 9 XXXXXXXXX
10807 3 2 234 10 XXXXXXXXXX
10806 3 2 234 11 XXXXXXXXXXX
10805 3 2 234 14 XXXXXXXXXXXXXX
10804 3 2 234 16 XXXXXXXXXXXXXXXX
10803 3 2 234 16 XXXXXXXXXXXXXXXX
10802 3 2 234 17 XXXXXXXXXXXXXXXXX
10801 3 2 234 17 XXXXXXXXXXXXXXXXX
10800 3 2 234 17 XXXXXXXXXXXXXXXXX
10731 3 2 234 18 XXXXXXXXXXXXXXXXXX
10730 3 2 234 17 XXXXXXXXXXXXXXXXX
10729 3 2 234 19 XXXXXXXXXXXXXXXXXXX
10728 3 2 234 18 XXXXXXXXXXXXXXXXXX
10727 3 2 234 16 XXXXXXXXXXXXXXXX
10726 3 2 234 15 XXXXXXXXXXXXXXX
10725 3 2 234 14 XXXXXXXXXXXXXX
10724 3 2 234 14 XXXXXXXXXXXXXX
10723 3 2 234 15 XXXXXXXXXXXXXXX
10722 3 2 234 13 XXXXXXXXXXXXX
10721 3 2 234 9 XXXXXXXXX
10720 3 2 234 9 XXXXXXXXX
10719 3 2 234 7 XXXXXXX
10718 3 2 234 6 XXXXXX
10717 2 34 6 XXXXXX
10716 2 34 6 XXXXXX
10715 1 4 5 XXXXX
10714 1 4 5 XXXXX
10713 1 4 4 XXXX
10712 1 4 4 XXXX
10711 1 4 4 XXXX
10710 1 4 3 XXX
10709 1 4 3 XXX
10708 1 4 3 XXX
10707 1 4 3 XXX
10706 1 4 1 X
10705 1 4 1 X
10704 1 4 1 X
10703 1 4 1 X
10702 1 4 1 X
TPO VOLUME OVERLAY AND PRICE ROTATION PROFILE
DEC 02 T-BOND (CBOT) DAY
10 23 02 TO 10 29 02
PRICE DYS L/F ROT PROFILE * TPOS TPO VOL OVERLAY *
11101 1 7 7 1 X
11100 1 7 7 4 XXXX
11031 1 7 7 5 XXXXX
11030 1 7 7 6 XXXXXX
11029 1 7 7 7 XXXXXXX
11028 1 7 7 7 XXXXXXX
11027 1 7 7 8 XXXXXXXX
11026 1 7 7 8 XXXXXXXX
11025 1 7 7 9 XXXXXXXXX
11024 1 7 7 8 XXXXXXXX
11023 1 7 7 8 XXXXXXXX
11022 1 7 7 9 XXXXXXXXX
11021 1 7 7 7 XXXXXXX
11020 1 7 7 5 XXXXX
11019 1 7 7 4 XXXX
11018 1 7 7 5 XXXXX <== CLOSE
11017 1 7 7 5 XXXXX
11016 1 7 7 4 XXXX
11015 1 7 7 3 XXX
11014 1 7 7 2 XX
11013 1 7 7 1 X
11012 1 7 7 1 X
11011 1 7 7 1 X
11010 1 7 7 1 X
11009 1 7 7 1 X
11008 1 7 7 1 X
11007 1 7 7 1 X
11006 1 7 7 1 X
11005 1 7 7 1 X
11004 1 7 7 1 X
11003 1 7 7 1 X
11002 1 7 7 1 X
11001 1 7 7 1 X
11000 1 7 7 1 X
10931 1 7 7 1 X
10930 1 7 7 1 X
10929 1 7 7 1 X
10928 1 7 7 1 X
10927 1 7 7 1 X
10926 1 7 7 2 XX
10925 1 7 7 2 XX
10924 1 7 7 3 XXX
10923 1 7 7 3 XXX
10922 1 7 7 2 XX
10921 1 7 7 2 XX
10920 1 7 7 1 X
10919 1 7 7 1 X
10918 1 7 7 2 XX
10917 1 7 7 2 XX
10916 1 7 7 2 XX
10915 1 7 7 1 X
10914 1 7 7 1 X
10913 1 7 7 1 X
10912 2 7 67 2 XX
10911 2 7 67 3 XXX
10910 2 7 67 3 XXX
10909 2 7 67 7 XXXXXXX
10908 1 6 7 XXXXXXX
10907 1 6 7 XXXXXXX
10906 1 6 8 XXXXXXXX
10905 1 6 6 XXXXXX
10904 2 56 9 XXXXXXXXX
10903 2 56 10 XXXXXXXXXX
10902 2 56 11 XXXXXXXXXXX
10901 2 56 15 XXXXXXXXXXXXXXX
10900 2 56 20 XXXXXXXXXXXXXXXXXXXX
10831 2 56 19 XXXXXXXXXXXXXXXXXXX
10830 2 56 19 XXXXXXXXXXXXXXXXXXX
10829 2 56 19 XXXXXXXXXXXXXXXXXXX
10828 2 56 18 XXXXXXXXXXXXXXXXXX
10827 2 56 15 XXXXXXXXXXXXXXX
10826 2 56 10 XXXXXXXXXX
10825 1 5 8 XXXXXXXX
10824 1 5 7 XXXXXXX
10823 2 3 35 7 XXXXXXX
10822 2 3 35 5 XXXXX
10821 2 3 35 4 XXXX
10820 2 3 35 4 XXXX
10819 2 3 35 5 XXXXX
10818 2 3 35 6 XXXXXX
10817 3 3 345 9 XXXXXXXXX
10816 3 3 345 8 XXXXXXXX
10815 3 3 345 9 XXXXXXXXX
10814 3 3 345 8 XXXXXXXX
10813 3 3 345 8 XXXXXXXX
10812 2 3 34 6 XXXXXX
10811 2 3 34 6 XXXXXX
10810 2 3 34 5 XXXXX
10809 2 3 34 7 XXXXXXX
10808 2 3 34 6 XXXXXX
10807 2 3 34 6 XXXXXX
10806 2 3 34 6 XXXXXX
10805 2 3 34 9 XXXXXXXXX
10804 2 3 34 11 XXXXXXXXXXX
10803 2 3 34 11 XXXXXXXXXXX
10802 2 3 34 11 XXXXXXXXXXX
10801 2 3 34 10 XXXXXXXXXX
10800 2 3 34 10 XXXXXXXXXX
10731 2 3 34 10 XXXXXXXXXX
10730 2 3 34 9 XXXXXXXXX
10729 2 3 34 9 XXXXXXXXX
10728 2 3 34 8 XXXXXXXX
10727 2 3 34 8 XXXXXXXX
10726 2 3 34 9 XXXXXXXXX
10725 2 3 34 9 XXXXXXXXX
10724 2 3 34 9 XXXXXXXXX
10723 2 3 34 10 XXXXXXXXXX
10722 2 3 34 8 XXXXXXXX
10721 2 3 34 5 XXXXX
10720 2 3 34 6 XXXXXX
10719 2 3 34 6 XXXXXX
10718 2 3 34 5 XXXXX
10717 2 3 34 6 XXXXXX
10716 2 3 34 6 XXXXXX
10715 1 4 5 XXXXX
10714 1 4 5 XXXXX
10713 1 4 4 XXXX
10712 1 4 4 XXXX
10711 1 4 4 XXXX
10710 1 4 3 XXX
10709 1 4 3 XXX
10708 1 4 3 XXX
10707 1 4 3 XXX
10706 1 4 1 X
10705 1 4 1 X
10704 1 4 1 X
10703 1 4 1 X
10702 1 4 1 X
TPO VOLUME OVERLAY AND PRICE ROTATION PROFILE
DEC 02 T-BOND (CBOT) DAY
10 24 02 TO 10 30 02
PRICE DYS L/F ROT PROFILE * TPOS TPO VOL OVERLAY *
11101 1 7 1 X
11100 1 7 4 XXXX
11031 1 7 5 XXXXX
11030 1 7 6 XXXXXX
11029 1 7 7 XXXXXXX
11028 1 7 7 XXXXXXX
11027 1 7 8 XXXXXXXX
11026 1 7 8 XXXXXXXX
11025 1 7 9 XXXXXXXXX
11024 2 8 78 10 XXXXXXXXXX
11023 2 8 78 10 XXXXXXXXXX
11022 2 8 78 11 XXXXXXXXXXX
11021 2 8 78 9 XXXXXXXXX
11020 2 8 78 8 XXXXXXXX
11019 2 8 78 7 XXXXXXX
11018 2 8 78 8 XXXXXXXX
11017 2 8 78 8 XXXXXXXX
11016 2 8 78 7 XXXXXXX
11015 2 8 78 6 XXXXXX
11014 2 8 78 6 XXXXXX
11013 2 8 78 7 XXXXXXX
11012 2 8 78 6 XXXXXX
11011 2 8 78 6 XXXXXX
11010 2 8 78 7 XXXXXXX
11009 2 8 78 8 XXXXXXXX
11008 2 8 78 8 XXXXXXXX
11007 2 8 78 8 XXXXXXXX <== CLOSE
11006 2 8 78 9 XXXXXXXXX
11005 2 8 78 10 XXXXXXXXXX
11004 2 8 78 9 XXXXXXXXX
11003 2 8 78 9 XXXXXXXXX
11002 2 8 78 7 XXXXXXX
11001 2 8 78 6 XXXXXX
11000 2 8 78 6 XXXXXX
10931 2 8 78 4 XXXX
10930 2 8 78 3 XXX
10929 2 8 78 2 XX
10928 1 7 1 X
10927 1 7 1 X
10926 1 7 2 XX
10925 1 7 2 XX
10924 1 7 3 XXX
10923 1 7 3 XXX
10922 1 7 2 XX
10921 1 7 2 XX
10920 1 7 1 X
10919 1 7 1 X
10918 1 7 2 XX
10917 1 7 2 XX
10916 1 7 2 XX
10915 1 7 1 X
10914 1 7 1 X
10913 1 7 1 X
10912 2 67 2 XX
10911 2 67 3 XXX
10910 2 67 3 XXX
10909 2 67 7 XXXXXXX
10908 1 6 7 XXXXXXX
10907 1 6 7 XXXXXXX
10906 1 6 8 XXXXXXXX
10905 1 6 6 XXXXXX
10904 2 56 9 XXXXXXXXX
10903 2 56 10 XXXXXXXXXX
10902 2 56 11 XXXXXXXXXXX
10901 2 56 15 XXXXXXXXXXXXXXX
10900 2 56 20 XXXXXXXXXXXXXXXXXXXX
10831 2 56 19 XXXXXXXXXXXXXXXXXXX
10830 2 56 19 XXXXXXXXXXXXXXXXXXX
10829 2 56 19 XXXXXXXXXXXXXXXXXXX
10828 2 56 18 XXXXXXXXXXXXXXXXXX
10827 2 56 15 XXXXXXXXXXXXXXX
10826 2 56 10 XXXXXXXXXX
10825 1 5 8 XXXXXXXX
10824 1 5 7 XXXXXXX
10823 1 5 6 XXXXXX
10822 1 5 4 XXXX
10821 1 5 3 XXX
10820 1 5 3 XXX
10819 1 5 3 XXX
10818 1 5 2 XX
10817 2 4 45 4 XXXX
10816 2 4 45 3 XXX
10815 2 4 45 3 XXX
10814 2 4 45 3 XXX
10813 2 4 45 3 XXX
10812 1 4 4 1 X
10811 1 4 4 1 X
10810 1 4 4 1 X
10809 1 4 4 2 XX
10808 1 4 4 2 XX
10807 1 4 4 2 XX
10806 1 4 4 2 XX
10805 1 4 4 3 XXX
10804 1 4 4 4 XXXX
10803 1 4 4 3 XXX
10802 1 4 4 3 XXX
10801 1 4 4 3 XXX
10800 1 4 4 3 XXX
10731 1 4 4 4 XXXX
10730 1 4 4 4 XXXX
10729 1 4 4 5 XXXXX
10728 1 4 4 5 XXXXX
10727 1 4 4 5 XXXXX
10726 1 4 4 6 XXXXXX
10725 1 4 4 6 XXXXXX
10724 1 4 4 6 XXXXXX
10723 1 4 4 8 XXXXXXXX
10722 1 4 4 6 XXXXXX
10721 1 4 4 4 XXXX
10720 1 4 4 5 XXXXX
10719 1 4 4 5 XXXXX
10718 1 4 4 4 XXXX
10717 1 4 4 5 XXXXX
10716 1 4 4 5 XXXXX
10715 1 4 4 5 XXXXX
10714 1 4 4 5 XXXXX
10713 1 4 4 4 XXXX
10712 1 4 4 4 XXXX
10711 1 4 4 4 XXXX
10710 1 4 4 3 XXX
10709 1 4 4 3 XXX
10708 1 4 4 3 XXX
10707 1 4 4 3 XXX
10706 1 4 4 1 X
10705 1 4 4 1 X
10704 1 4 4 1 X
10703 1 4 4 1 X
10702 1 4 4 1 X
TPO VOLUME OVERLAY AND PRICE ROTATION PROFILE
DEC 02 T-BOND (CBOT) DAY
10 25 02 TO 10 31 02
PRICE DYS L/F ROT PROFILE * TPOS TPO VOL OVERLAY *
11102 1 9 9 1 X
11101 2 9 79 2 XX
11100 2 9 79 6 XXXXXX
11031 2 9 79 7 XXXXXXX
11030 2 9 79 8 XXXXXXXX
11029 2 9 79 9 XXXXXXXXX
11028 2 9 79 9 XXXXXXXXX
11027 2 9 79 11 XXXXXXXXXXX
11026 2 9 79 11 XXXXXXXXXXX
11025 2 9 79 15 XXXXXXXXXXXXXXX
11024 3 9 789 16 XXXXXXXXXXXXXXXX
11023 3 9 789 16 XXXXXXXXXXXXXXXX
11022 3 9 789 17 XXXXXXXXXXXXXXXXX
11021 3 9 789 14 XXXXXXXXXXXXXX <== CLOSE
11020 3 9 789 12 XXXXXXXXXXXX
11019 3 9 789 9 XXXXXXXXX
11018 3 9 789 12 XXXXXXXXXXXX
11017 3 9 789 11 XXXXXXXXXXX
11016 3 9 789 11 XXXXXXXXXXX
11015 3 9 789 11 XXXXXXXXXXX
11014 3 9 789 11 XXXXXXXXXXX
11013 3 9 789 12 XXXXXXXXXXXX
11012 3 9 789 11 XXXXXXXXXXX
11011 3 9 789 11 XXXXXXXXXXX
11010 3 9 789 11 XXXXXXXXXXX
11009 3 9 789 12 XXXXXXXXXXXX
11008 3 9 789 12 XXXXXXXXXXXX
11007 3 9 789 13 XXXXXXXXXXXXX
11006 3 9 789 13 XXXXXXXXXXXXX
11005 3 9 789 14 XXXXXXXXXXXXXX
11004 3 9 789 14 XXXXXXXXXXXXXX
11003 3 9 789 14 XXXXXXXXXXXXXX
11002 3 9 789 12 XXXXXXXXXXXX
11001 3 9 789 10 XXXXXXXXXX
11000 3 9 789 9 XXXXXXXXX
10931 3 9 789 6 XXXXXX
10930 3 9 789 5 XXXXX
10929 3 9 789 3 XXX
10928 1 7 1 X
10927 1 7 1 X
10926 1 7 2 XX
10925 1 7 2 XX
10924 1 7 3 XXX
10923 1 7 3 XXX
10922 1 7 2 XX
10921 1 7 2 XX
10920 1 7 1 X
10919 1 7 1 X
10918 1 7 2 XX
10917 1 7 2 XX
10916 1 7 2 XX
10915 1 7 1 X
10914 1 7 1 X
10913 1 7 1 X
10912 2 67 2 XX
10911 2 67 3 XXX
10910 2 67 3 XXX
10909 2 67 7 XXXXXXX
10908 1 6 7 XXXXXXX
10907 1 6 7 XXXXXXX
10906 1 6 8 XXXXXXXX
10905 1 6 6 XXXXXX
10904 2 5 56 9 XXXXXXXXX
10903 2 5 56 10 XXXXXXXXXX
10902 2 5 56 11 XXXXXXXXXXX
10901 2 5 56 15 XXXXXXXXXXXXXXX
10900 2 5 56 20 XXXXXXXXXXXXXXXXXXXX
10831 2 5 56 19 XXXXXXXXXXXXXXXXXXX
10830 2 5 56 19 XXXXXXXXXXXXXXXXXXX
10829 2 5 56 19 XXXXXXXXXXXXXXXXXXX
10828 2 5 56 18 XXXXXXXXXXXXXXXXXX
10827 2 5 56 15 XXXXXXXXXXXXXXX
10826 2 5 56 10 XXXXXXXXXX
10825 1 5 5 8 XXXXXXXX
10824 1 5 5 7 XXXXXXX
10823 1 5 5 6 XXXXXX
10822 1 5 5 4 XXXX
10821 1 5 5 3 XXX
10820 1 5 5 3 XXX
10819 1 5 5 3 XXX
10818 1 5 5 2 XX
10817 1 5 5 2 XX
10816 1 5 5 1 X
10815 1 5 5 1 X
10814 1 5 5 1 X
10813 1 5 5 1 X
The trading equation: enter on the trend, exit on the congestion
Congestion defined
"To concentrate trading in a small or narrow space"
How it is measured
Number of TPOs at a price (concentration of trading) TFF
Many TPOs at price = high level of price certainty
Few TPOs at price = low level of certainty
Within the day congestion:
Meta-Profile TPOs ==> TFF
Fine tuning: Meta-Profile from ticks with tick counts
Diminished volatility
Often accompanied by change in volume
Use in trading
Change in congestion alerts to change in market
Market in balance is congested
Phase change to trend accompanied by decrease in congestion
+ increase in volatilty
+ increase in trading range
+ increase in volume
Phase within a trend
volatility starts decreasing before peak
volume ??
trading range starts decreasing
Phase change from trend accompanied by increase in congestion
+ decrease in volatilty
+ decrease in trading range
Appears in
Short Course
Lesson 1 Ref pt #6 nodes, consolidation
Lesson 2 Market shutting down, consolidating, decreasing opportunity
Congestion ==> end of trend (% of balance range)
TFF
Ref pt #6 (same as in Lesson 1)
Lesson 3 TCP has congestion info
I. Intra-day congestion Short covering rally example
Ideal profile congestion
TFF is one of 12 ref pts from profile
Visual confirmation on profile
Exit on congestion
I. Intra-day congestion Short covering rally
Section on transition to congestion
Congestion report
M. Practice trading congestion ==> slowdown
Several chances to exit (market conviction)
Lesson 4 Pause, congestion discriminate between the two
Examples
j. Congestion (a lot)
Congestion Report
Long Course
Lesson 1 Exit on congestion
Ref pt 6, consolidation
Lesson 2 Exit on congestion
# days to congest: several
Lesson 6 TFF measure of congestion
Lesson 7 Congestion examples (many)
Lesson 9 Pause in trend, nodes
Lesson 11 Node growing into congestion
Example 3 day
Examine ref pts looking for onset of congestion
Send in to course director
Lesson 12 Fundamental fundamental: enter on breakout, exit on congestion
Volatility decrease precursor to congestion
Money flow in ==> volume up, distr elongated, nodes
* Copyright Donald L. Jones, CISCO Futures 2004