1-303 306 1521 1-800 800 7227 Fax 1-303 306 1598
Introduction
Auction Market Analysis is the only theoretically based method for understanding
the market. The structure of auctions reveals value. Value based trading
relies on the Trader Control database (TCP). These data are organized
to uncover exchange member's actions as well as the over-all market's
behavior, giving you a thorough understanding of the markets you trade. You
will learn how to determine where to enter and where to exit.
You will know quickly if your trade is wrong, limiting your losses
and risk. The text for the course, 'Value Based Power Trading',
D. Jones, Probus 1993, is on the CISCO home page; it is free, you
can click on it.
Hidden and not so hidden costs can spell the difference between success and
failure. Most of these will be discussed in detail in Lesson 4
of the course. We just itemize them here to give you a feel for them.
Income comes from your trading. Still, there are many aspects. Some
have the same title as cost elements, but the spin is different. These
will all be discussed in detail in the course. We just itemize them
here.
The Trader Control Package (TCP) is the source of the data
employed in Auction Market Analysis (NMA). TCP data contain the
following information daily:
This information comes from the Market Profile/Meta-Profile, The Liquidity Data
Bank, exchange daily data (O, H, L, C, V, OI) and from
ticks.
Auction Market Analysis works from the TCP database. It provides the
overview; it develops trading strategies and integrates the TCP data
into presentation formats. NMA develops the path from the TCP database to
an effective trading systematic.
You will find that the Auction Market analysis trading approach will quickly
orient you to the market's condition (BALANCE or TREND).
NMA also gives you the basic trading strategy; using
the first five trading reference points (center of value, upside and
downside breakout prices (Limits), Internal Trends and
commercial activity). You find which moves are expected and
which are not.
Markets in balance are EXPECTED to remain in balance. Consequently
a move away from the center of the bracket offers opportunity. So
long as the balance remains, price is EXPECTED to eventually return to the
center of the bracket (value). A trade of taking place within a bracket is
called responsive (you are responding to a market offered
opportunity, price is away from value).
If the UNEXPECTED occurs, i.e. a break-out, it means the
condition of the market has changed. We are NO LONGER EXPECTING
price to return to the center of the bracket. We are now EXPECTING the market
to trend. We have changed our outlook from maintenance of the status quo,
a bracket, to movement into uncharted waters, a trend.
For markets in balance we use the OVERLAY DEMAND CURVES
(tm); to:
These reference points define the EXPECTED behavior of the bracketing
(balancing) market.
Basing one's trading on reference points makes market decisions a straight-
forward process. Risk control is an integral part of analyzing the
market's reference points. You may have your own trading model. New
Market Analysis will augment it. Below, however, we will illustrate NMA by
acting on the basic trading model.
Make your TRADE SELECTION from BRACKET SCREEN
SET your RISK/REWARD level from BRACKET SCREEN reference points
VALIDATE your proposed trade with OVERLAY DEMAND CURVES (tm)
CONFIRM your selection using COMMERCIAL VOLUME ANALYSIS.
You follow this procedure for each market you cover, each day. For
training, you should analyze about six markets per day--about 5 minutes
per market. Each trade goes into your notebook!
Reference Points from the Trader Control Database
An Overlay (tm); is an accumulation of TPO's (the X's)
at each traded price over a fixed number of days.
Overlay Demand Curve (tm): Identifies Market Condition
The Overlay; gives the condition of the market. This is identified
by four primary trading reference points:- upside/downside breakout
limits - value - commercial buffering
The TPO's are a measure of volume using 30 minute data (called TPO
volume). A TPO is created when there is at least one trade in a particular
30 minute period at a particular price. TPO = "That Price Occurred (in
the 30 min bar)"
An Overlay (tm) is in a Bracket when the price-volume distribution
(the TPO's (X's or tick counts)) is bell-shaped, has one
distribution in the Overlay (tm) and the last day’s close lies
inside the Bracket.
The ends of the Bracket define the breakout price points. The center
of the Bracket is the center 0f value. An excursion of price beyond
the Bracket indicates the start of the Test Phase. A Test is
confirmed by the beginning of a Trend.
The Trader Control data provides Overlays for the time-frame in question
(last 5,10,15,20 days).
CISCO Commercial Traders Volume Analysis:
Commercial Traders (smart money) know VALUE better than anyone else
in the pits. Tracking commercials can often give you a HEADSTART when value
changes.
The Commercial Traders Volume Analysis measures unusual commercial
activity outside the value area (center 70% of volume) as compared to a 10
day average. Commercial ACTION or INACTION outside the VALUE-AREA
can be significant.
Commercials BUFFER balanced markets, pushing price back to value.
Floor traders follow commercials in quickly pushing price back to value.
On the next pages, we line up the 5 day Overlays of the March 1993
Bonds for three consecutive trading days: the 17th, 18th and 21st of Dec
1992.
Starting with the 17th, the market is balanced with Limits of 10412
and 10322. We select this market to trade tomorrow (rule 1). We
EXPECT it to stay balanced the next day. And on the 18th it does;
there was no trading above 10412 or below 10322. The Limits
for the 18th remain the same as for the 17th. Now any price above 10412 or
below 10322 (the bracket limits of the 18th) would be UNEXPECTED...
a breakout.
On Monday, Dec 21, price exceeds Friday's upper bracket limit. This is a
breakout on the upside (rule 2).
We knew the UNEXPECTED was occurring when price hit 10413 -
the next price higher than the Upper bracket Limit of the 18th. But, of course,
there could be a breakout and subsequent return to the bracket (a false
breakout). If that happens and price returns to the Octant (10409), your
stop (rule 3), you suffer a modest loss (10409 – 10413 x
$31.25 = $125).
The market continued up; so the long position taken at the breakout price
exits at the end of the day at 10429 (rule 4). This is a $500 profit
(less slip and commissions), since (10429-10413 * $31.25 = $500).
Now the EXPECTED behavior has become to continue the
trend up.
In addition, the commercial behavior on Dec 18th pre-disposed
us to EXPECT an up move. (Discussion of the commercial analysis
techniques is in the VBPT Text at page 33ff.) On the 18th,
after the close, we note the commercial buying at 10402. If
the commercials had been buffering the market as they normally do, the buffer
purchase would have occurred around 10322, near the bottom of the
balance region. But, they bought much higher. This came in D
period, 9:30 to 10 AM. We know they bought because prices rose after
their activity. Why did they do this? Could it be that value has
risen? If so, that could portend higher markets.
So we enter the Monday, Dec 21, looking for price to move above 10412. The
breakout occurs in the fifth half-hour as shown by "<--- breakout"
on the half-hour tick chart below.
The day trader, naturally, had numerous opportunities for trades all
day long. With the knowledge from NMA analysis, the day trades would
have all been on the long side because the trader believed the market
bias was up.
The position trader would have entered long at the breakout.
On Monday 21st Dec, the bracketing market breaks out in the 6th period
and continues above the previous limit price until the close. So the
breakout is sustained and may be the beginning of a trend.
Internet http://www.cisco-futures.com
Email dljones@cisco-futures.com
(Month 0)
Cost Elements
Income Elements
Trading with the Auction Market Analysis
Expected and Unexpected Market Behavior
Steps in your analysis
Reference Points from Trader Control Package
Commercial Analysis
Basic Breakout Model
Case 1: Breakout trade of T-bonds Dec 21st, 1992
Case 2: Breakout trade of Dec 21st. + Commercial control
Case 3. Swing trade, Dec 15 - 23, with Exit
Being alert to a false breakout
Detailed look at the false breakout
Consolidation of bracket
Auction Market Analysis: A RECAP
Auction Market Analysis on the Visual Graphic
Subscription information
Legend for Visual Graphic
Getting Visual Graphics from the internet
Month 0 Test
Breakout Trade
Responsive Trade
Breakout/Responsive Trade
Market Generated Data
Glossary
Datatypes
Symbols
Text:
Text: Value Based Power Trading
Auction Market Analysis versus Technical Analysis
Most current market analysis is based on Technical Analysis (TA). There are at
least 100,000 copies of TA based analytical programs in use today. Nearly 400
programs are listed in the Stocks & Commodities Magazine 2001 Bonus issue.
All it takes
to do research is a PC, some sort of data feed and one of these programs. Yet,
with all the myriads of calculations and studies, most public traders lose. One
would would have to question the research basis. Does Technical Analysis fail
in some way? As pioneers in TA, we believe so. TA only looks at part of the
problem, price. We turned to Auction Market Analysis for more thorough research some
years ago because it uses value as the primary variable.
How does Auction Market Analysis differ from Technical Analysis? The
difference is simple but profound: Technical Analysis deals with price
and price change; Auction Market Analysis works with value.
If you know value and it's history you can know in depth what the market
is doing. If you know only price and it's history you can see where the
market has been, but you know little about it's current condition. Value
is in-depth knowledge, price is superficial. Our book, Value Based Power
Trading, is an exposition on Auction Market Analysis. Our courses are
all based on understanding auction markets, both for day traders and
swing traders.
Success in futures trading, as in any business, comes from maintaining your
income and controlling your costs. In futures trading, the
income part relies on a successful trading strategy. Your costs have
hidden elements that most (public) traders never uncover. Most public
traders are not successful. Trading losses, lack of income and/or hidden costs put
them out of business. The Auction Market Analysis Home Study course covers
both elements, trading strategies and the various costs
of doing business in futures. A series of twelve monthly lessons educate
you on doing business in futures: how the exchange members behave;
market dynamics; exchange rules that affect you;
regulatory agencies that can help you; and numerous other items that
describe the futures environment. All this is done within the framework of
12 months of active trading training.
The thrust of the book is to train you in recognizing market condition,
the foundation of all your trading strategy. Market condition is one of four
types; balance, transition from balance to trend, trend and transition of trend
back to balance. The transition from balance to trend is simply
a breakout. If one knows one's market is in balance then the breakout
point is clear. Recognizing the subsequent changes in market condition (it's
distribution) gives rise to one's trading strategy. Market condition may be
many days in duration (a long term balance) or minutes or hours (transition
from balance to trend). In order to recognize the current condition, one must
examine the market distribution over a number of days (a seven day balance is
easily recognized in a ten day distribution). Both day and swing traders will
use the market condition as the starting point for their trading strategy.
If the market is trending, we expect it to display a run-pause character.
-- find value,
-- determine location of upside/downside breakouts
-- estimate quality of the (bell shaped) distribution.
-- locate other reference points, e.g. octants for stops
--you select the best, most profitable trades that suit
your needs.
--permits you to develop your own risk/reward pattern.
--verify that Overlay (tm) demand curve has good
shape and quality
(Some bracketing markets are too volatile to trade safely!)
--verify if commercials are buffering or changing with value.
(If the commercials are selling you should not be buying)
CONFIRM your selection using the reference points on the Visual
Graphic.
--helps you understand what the market was doing yesterday
(TF factor for volatility, close, when price changes occur)
These reference points will be examined in detail in the lessons.
FIVE DAY OVERLAYS FOR THREE SUCCESSIVE TRADING DAYS: 17th,18th,21st DEC
FIVE DAY OVERLAY ON 17th DEC
(for Dec 11th-17th)
10415 4 X < -- Upper commercial
10413 4 XX <--- False breakout
10411 Z4 XXXX <-- Upper bracket Limit
10409 Z34 XXXXX of previous day and 17th
10407 Z34 XXXXXXXXXXXXXXX
10405 Z34 XXXXXXXXXXXXXXXXXXXX <--- close
10403 Z134 XXXXXXXXXXXXXXXXXXXXXXXXXXXXXX
10401 Z1234 XXXXXXXXXXXXXXXXXXXXXXXX
10331 Z124 XXXXXXXXXXXXXXXXXXXXX
10329 Z124 XXXXXXXXXXXXXXXXXXXXX
10327 12 XXXXXXXXXXXXX
10325 2 XXXXXXXX
10323 2 XXXXX Lower bracket Limit
10321 2 X of previous day and 17th
False Breakout on 17th
Close for 17th well inside bracket
Condition as of end-of-day: Balanced
FIVE DAY OVERLAY: DEC(FRIDAY) FIVE DAY : DEC 21st (MONDAY)
(for Dec 14th-18th) (for Dec 15th-21st)
10431 6 X <-- Upper Comml Action
10429 6 XXXX <-- Close
10427 6 XXXXX <-- Node
10425 6 XXXXX
10423 6 XXX
10421 6 XXX
10419 6 XX
10417 6 X
10415 4 X 46 XX
10413 4 XX 46 XXXX <----Breakout
10411 4 XXX <--Upper Br 46 XXXXXX<-U Bracket Yest
10409 345 XXXXXX <--Close 3456 XXXXXXXXX
10407 345 XX-15-XX 3456 XXXXXXXXXXXXXXXXXX
10405 345 XX-22-XXXXXX 345 XXXXXXXXXXXXXXXXXXXXXXXX
10403 1345 XX-25-XXXXXXXXX 345 XXXXXXXXXXXXXXXXXXXXXXXXX
10401 12345XX-16-XX <-L Com 2345 XXXXXXXXXXX
10331 124 XX-17-XX 2345 XXXXXXXX
10329 124 XX-20-XXXX 24 XXXXXXXXXXX
10327 12 XXXXXXXXXXXXX 2 XXXXXXXX
10325 2 XXXXXXXX 2 XXXXXXXX
10323 2 XXXXX <- L Br 2 XXXXX <----Lower Bracket Yest
10321 2 X 2 X
End-of-day Dec 18 End-of-day Dec 21(Monday)
Bracket consolidation on 18th Real Breakout on the 21st.
Condition: Balanced Close above Upper Limit on 18th
Octant: 10409, 10325
Commercial buffering at 10400 Note: Commercial Cap and Node
Commercials are buying Condition: Trend Up
FIVE DAY OVERLAY ON 21st DEC (from 15th-21st Dec)
Price Dys L/F Rot Profile TPOs TPO Volume Overlay
10431 1 6 6 1 X <== Upper commercial
10429 1 6 6 4 XXXX <-- Close
10427 1 6 6 5 XXXXX <-- Node
10425 1 6 6 5 XXXXX
10423 1 6 6 3 XXX
10421 1 6 6 3 XXX
10419 1 6 6 2 XX
10417 1 6 6 1 X
10415 2 6 46 2 XX
10413 2 6 46 4 XXXX <---- Breakout
10411 2 6 46 6 XXXXXX <--Upper Limit
10409 4 6 3456 9 XXXXXXXXX yesterday
10407 4 6 3456 17 XXXXXXXXXXXXXXXXX
10405 3 345 23 XXXXXXXXXXXXXXXXXXXXXXX
10403 3 345 24 XXXXXXXXXXXXXXXXXXXXXXXX
10401 4 2 2345 11 XXXXXXXXXXX
10331 2 2 24 8 XXXXXXXX
10329 2 2 24 11 XXXXXXXXXXX
10327 1 2 2 8 XXXXXXXX
10325 1 2 2 8 XXXXXXXX
10323 1 2 2 5 XXXXX <--- Lower bracket Limit
10321 1 2 2 1 X yesterday
HALF-HOUR AUCTIONS ON 21st DEC 1992
y z A B C D E F G H I J K L M
10431 3
10429 2 41 29 7 1
10427 6 3 6 16 13 27
10425 16 29 4 7 12 12
10423 35 1 15 2
10421 19 38 2
10419 29 1
10417 2 *note TPO numbers are tick counts
10415 4
10413 24 14 <--- Breakout
10411 2 4 12 close is well outside breakout
10409 11 15 6 price so the test is confirmed
10407 1 as a trend
Recap
Note: Commercials suggest value is changing. Also a
node has formed in
Look carefully: Both the day and swing/position trader can
use the reference points to formulate trading strategies!!!
The contract is March T-bonds and the trading period examined is 15th December
to 23rd December 1992.
The market is bracketing on the 15th through the 18th, with a
false breakout on Dec 17th. Then there was a sustained
breakout (trend) on Dec 21st. On Dec 22nd the trend is extended,
forming two new nodes. On Dec 23rd the upper two nodes are filled in and
a new bracket begins to form. The trend is now over.
This illustrates the four-phases of the Market cycle:
On the 15th the 5 day overlay had a bracket with limits 10411 and 10322.
The market is balanced.
On the 16th the bracket continues with the same bracket limits as the 15th:
10411 and 10322. Commercial action is at 10400 at the center of the bracket
and is an alert for a possible breakout the next day since the
commercials' value is not at the center of the bracket.
On the 17th the market broke out of the brackets upper limit of the
16th. The breakout was false since the 17th closed near the center
of the previous day's bracket. The Upper commercial capping at 10415
forced price down.
As we saw in the previous graphic, we anticipated the breakout on
the 17th of the bracket limits of the 16th. The breakout is false
since the close in well inside the bracket limits of the 16th. If we used
the octant as a stop, the loss (10412 - 10408) is 4 ticks ($125).
The graphic following shows the trading on the 17th in more detail
in the half-hour auction table. The false breakout occurred during
only the z and A periods early in the day. Upper Commercial
action at 10415 capped the market driving down price.
On the 17th the market ended the day balanced, with bracket limits
10324 and 10410.
5 day Overlay on Dec 17th (for Dec 11th-17th)
10415 4 X <-- Upper Commercial
10414 4 XX
10413 4 XX
10412 4 XXX <--- False breakout
10411 Z4 XXXX <--- Previous day Upper Limit
10410 Z4 XXXX
10409 Z34 XXXXX
10408 Z34 XXXXXXXX <--- Previous day Octant
10407 Z34 XXXXXXXXXXXXXXX
10406 Z34 XXXXXXXXXXXXXXXXX
10405 Z34 XXXXXXXXXXXXXXXXXXXX <--- Close
10404 Z134 XXXXXXXXXXXXXXXXXXXXXXXXXXXXXXX
10403 Z134 XXXXXXXXXXXXXXXXXXXXXXXXXXXXXX
10402 Z134 XXXXXXXXXXXXXXXXXXXXXXXXXXX
10401 Z1234 XXXXXXXXXXXXXXXXXXXXXXXX
10400 Z1234 XXXXXXXXXXXXXXXXXXXXX
10331 Z124 XXXXXXXXXXXXXXXXXXXXX
10330 Z124 XXXXXXXXXXXXXXXXXXXXX
10329 Z124 XXXXXXXXXXXXXXXXXXXXX
10328 124 XXXXXXXXXXXXXXXX <-- Lower Comm
10327 12 XXXXXXXXXXXXX
10326 12 XXXXXXXXXXXXX
10325 2 XXXXXXXX
10324 2 XXXXXXX
10323 2 XXXXX
10322 2 XXX <--- Previous day Lower Limit
10321 2 X
Half-hour Auction on Dec 17th
y z A B C D E F G H I J K L
10415 7
10414 26 10
10413 40 15
10412 29 17 <--- False breakout during 2 periods early in day
10411 10 27 11
10410 4 12 15 22 close well
10409 20 14 26 inside bracket
10408 19 5 34
10407 3 1 25 3
10406 25 17
10405 25 3 9 24 20
10404 8 14 1 10 4 17 11 39
10403 3 10 25 13 15 12 17 1 19
10402 1 19 2 17 12 11 9 8
10401 25 1 13 3 6
10400 38 16 23
10331 46 42 17
10330 35 34 8
10330 35 34 8
10328 17
Day trader had numerous opportunities, always going
long.
Position/Swing Trader gets long at 10413. Condition
= Trend
Commercial action at 10431 was near the close - commercials
were probably buying, not capping.
- Bracketing market with a bell-shaped Overlay Demand curve
- Testing of price at edge of the Overlay Demand curve bracket
- Trending with price moving to catch up with value
- End of the trend leading to reversal or a new bracket
FIVE DAY OVERLAY ON DEC 15TH
Dec 9th-15th
10412 Y X
10411 YZ XXX <--- Upper bracket limit
10410 XYZ XXXXXX
10409 XYZ XXXXXXXXX
10408 XYZ XXXXXXXXXXXXX
10407 XYZ XXXXXXXXXXXXXXXXX
10406 XYZ XXXXXXXXXXXXXXXXXXX
10405 XYZ XXXXXXXXXXXXXXXXXXXXX
10404 XYZ1 XXXXXXXXXXXXXXXXXXXXXXXX
10403 XYZ1 XXXXXXXXXXXXXXXXXXXXXXXXXXX
10402 XYZ1 XXXXXXXXXXXXXXXXXXXXXXXXX
10401 XYZ12 XXXXXXXXXXXXXXXXXXXXXXXXXXXXX
10400 XYZ12 XXXXXXXXXXXXXXXXXXXXXXXXXX
10331 XYZ12 XXXXXXXXXXXXXXXXXXXXXXX
10330 XYZ12 XXXXXXXXXXXXXXXXXXXXXXXXXX
10329 XYZ12 XXXXXXXXXXXXXXXXXXXXXXXX <==close
10328 XY12 XXXXXXXXXXXXXXXXXXXXX
10327 X12 XXXXXXXXXXXXXXXXX
10326 X12 XXXXXXXXXXXXXXXXX
10325 X2 XXXXXXXXX
10324 X2 XXXXXXXX
10323 2 XXXXX
10322 2 XXX <--- Lower bracket limit
10321 2 X <--- Lower commercial VA
Bracket 10322-10411 exists on 15th
Condition: Balanced
FIVE DAY OVERLAY ON DEC 16TH FIVE DAY OVERLAY ON DEC 17TH
Dec 10th-16th Dec 11th-17th
10415 4 X <-- Upper commercial
10414 4 XX
10413 4 XX
10412 Y X 4 XXX <---Breakout
10411 YZ XXX <--- U Br Lim Z4 XXXX <---Upper bracket Limit
10410 YZ XXXXX Z4 XXXX of previous day
10409 YZ3 XXXXXXXX Z34 XXXXX
10408 YZ3 XX-16-XX <-- Octant Z34 XXXXXXXX
10407 YZ3 XX-21-XXXX Z34 XXXXXXXXXXXXXXX
10406 YZ3 XX-22-XXXXX Z34 XXXXXXXXXXXXXXXXX
10405 YZ3 XX-21-XXXX Z34 XXXXXXXXXXXXXXXXXXXX <--Close
10404 YZ13 XX-25-XXXXXXXX Z134 XXXXXXXXXXXXXXXXXXXXXXXXXXXX
10403 YZ13 XX-26-XXXXXXXXX cl Z134 XXXXXXXXXXXXXXXXXXXXXXXXXXXX
10402 YZ13 XX-25-XXXXXXXX Z134 XXXXXXXXXXXXXXXXXXXXXXXXXXX
10401 YZ123 XX-23-XXXXXX Z1234 XXXXXXXXXXXXXXXXXXXXXXXX
10400 YZ123 XX-20-XXX L Cml Z1234 XXXXXXXXXXXXXXXXXXXXX
10331 YZ12 XX-19-XX Z124 XXXXXXXXXXXXXXXXXXXXX
10330 YZ12 XX-19-XX Z124 XXXXXXXXXXXXXXXXXXXXX
10329 YZ12 XX-18-X Z124 XXXXXXXXXXXXXXXXXXXXX
10328 Y12 XX-14-XX 124 XXXXXXXXXXXXXXXX <==Lower
10327 X12 XX-13-XX 12 XXXXXXXXXXXXX Commercial
10326 12 XX-12-XX 12 XXXXXXXXXXXXX
10325 2 XXXXXXXX 2 XXXXXXXX
10324 2 XXXXXXX 2 XXXXXXX
10323 2 XXXXX 2 XXXXX
10322 2 XXX <--L Bracket 2 XXX <--- LowerLimit
10321 2 X 2 X of prev day
Bracket continues on 16th False Breakout from Bracket on 17th
Beware: commercial action (False since close inside bracket)
Condition: Balanced Condition: Balanced
LAST FIVE DAY OVERLAY ON THE 17TH DECEMBER COMPARED TO THE
HALF-HOUR AUCTION FOR THE 17TH DECEMBER
The upper limit for previous
day (16th) gives an alert for breakout. A potential breakout from
the bracket occurred during 2 periods early in day. The day closed well inside
the bracket and so the BREAKOUT IS FALSE. Note: The breakout occurred
in Z period as the public pushed price up. Within 30 minutes the
commercials had "capped", driving price down
substantially.
Condition of market: Balanced
The following is the graphic again of the 5 day overlay for the 17th
December 1992 for March 1993 Bonds and below it is the 5-day overlay for
the 18th.
On the 18th the bracket consolidates with widening bracket limits: 10322
and 10412.
The commercial action is capping and buying at 10401 in the middle
value region of the bracket. This is an alert for a breakout or to
be a buyer. The tick-table shows that capping at 10400 and that the commercials
are buying since price rises until the close after decreasing to 10400.
5 day Overlay on Dec 17th (for Dec 11th-17th)
10415 4 X < -- Upper Commercial action
10414 4 XX
10413 4 XX <--- False breakout
10412 4 XXX
10411 Z4 XXXX
10410 Z4 XXXX <---- Upper bracket Limit
10409 Z34 XXXXX for previous day
10408 Z34 XXXXXXXX
10407 Z34 XXXXXXXXXXXXXXX
10406 Z34 XXXXXXXXXXXXXXXXX
10405 Z34 XXXXXXXXXXXXXXXXXXXX <--- close
10404 Z134 XXXXXXXXXXXXXXXXXXXXXXXXXXXXXXX
10403 Z134 XXXXXXXXXXXXXXXXXXXXXXXXXXXXXX
10402 Z134 XXXXXXXXXXXXXXXXXXXXXXXXXXX
10401 Z1234 XXXXXXXXXXXXXXXXXXXXXXXX
10400 Z1234 XXXXXXXXXXXXXXXXXXXXX
10331 Z124 XXXXXXXXXXXXXXXXXXXXX
10330 Z124 XXXXXXXXXXXXXXXXXXXXX
10329 Z124 XXXXXXXXXXXXXXXXXXXXX
10328 124 XXXXXXXXXXXXXXXX <-- Lower Commercial
10327 12 XXXXXXXXXXXXX
10326 12 XXXXXXXXXXXXX
10325 2 XXXXXXXX
10324 2 XXXXXXX <---- Lower bracket Limit
10323 2 XXXXX for previous day
10322 2 XXX
10321 2 X
False Breakout from Bracket at 10413 on 17th
Condition: Balanced
5 day Overlay on Dec 18th (for Dec 14th-18th)
10415 4 X
10414 4 XX
10413 4 XX Tick table for 18th December
10412 4 XXX <--Upper Brack
10411 4 XXX y z A B C D E F G H I J K L
10410 45 XXXX 12
10409 345 XXXXXX <--- Close 11 18
10408 345 XXXXXXXX 34 3 13
10407 345 XX-15-XX 31 10 11 23
10406 345 XX-17-XX 9 19 34 8 3 18 20
10405 345 XX-21-X 1 28 23 14 5 2 6 20 4
10404 1345 XX-26-XXXXXX 33 10 8 3 15 8 14 5 6 3
10403 1345 XX-24-XXXX 29 9 13 12 14 10 6 21 10 4
10402 1345 XX-20-XX 11 6 4 24 11 7 3 1
10401 12345 XX-15-XX 18
10400 12345 XX-16-XX <-Lower Com 10400 6 Commercial BUYING
10331 124 XX-16-XX since price rises
10330 124 XX-17-XX afterlow of 10400
10329 124 XX-18-XX Commercials are expected to:
10328 124 XX-15-XX - buy at 10324
10327 12 XXXXXXXXXXXXX - sell at 10410
10326 12 XXXXXXXXXXXXX But actual action is at 10400.
10325 2 XXXXXXXX So value is higher.
10324 2 XXXXXXX Trading advice: ONLY be a BUYER.
10323 2 XXXXX
10322 2 XXX <---Lower bracket Limit
10321 2 X
FIVE DAY OVERLAYS ON THE 17TH AND 18TH DEC
Bracket consolidates
on 18th with bracket limits widening
Condition: Up Trend expected (based on commercial
action)
TCP data: alert for a breakout: Detailed, T-bond Dec 15 - 23, 1992
On the 17th the 5 day market was balanced with limits 10323 and 10411.
On the 18th the bracket consolidated, keeping the same bracket limits as
the previous day. The commercials on the 18th showed buffering (buying)
at 10400 in the middle of the bracket at value. This is an alert to
value being higher than indicated by the bracket, an alert to an upside breakout
on the next day or at least the warning to only be a buyer.
On the 21st the market breaks out above the bracket limit of the 18th. The
breakout is sustained since the close is well outside the bracket limits
of the 18th. A node has formed at 10427 and there is commercial action at
the upper edge of the overlay. The market is now trending up.
Repeating the graphics of Case 1:
FIVE DAY OVERLAYS FOR THREE SUCCESSIVE TRADING DAYS:
17th,18th,21st DEC
FIVE DAY OVERLAY ON 17th DEC
(for Dec 11th-17th)
10417
10415 4 X <-- Upper Commercial
10413 4 XX <--- False breakout
10411 Z4 XXXX <-- Upper bracket Limit
10409 Z34 XXXXX of previous day and 17th both
10407 Z34 XXXXXXXXXXXXXXX
10405 Z34 XXXXXXXXXXXXXXXXXXXX <--- Close
10403 Z134 XXXXXXXXXXXXXXXXXXXXXXXXXXXXXX
10401 Z1234 XXXXXXXXXXXXXXXXXXXXXXXX
10331 Z124 XXXXXXXXXXXXXXXXXXXXX
10329 Z124 XXXXXXXXXXXXXXXXXXXXX
10327 12 XXXXXXXXXXXXX
10325 2 XXXXXXXX
10323 2 XXXXX <- Lower bracket Limit
10321 2 X of previous day and 17th both
False Breakout on 17th
Close for 17th well inside bracket
Condition: Balanced
5 DAY OVERLAY ON 18th DEC 5 DAY OVERLAY ON DEC 21st (MONDAY)
(for Dec 14th-18th) (for Dec 15th-21st)
10431 6 X <-- Upper Commercial
10429 6 XXXX <-- Close
10427 6 XXXXX <-- Node
10425 6 XXXXX
10423 6 XXX
10421 6 XXX
10419 6 XX
10417 6 X
10415 4 X 46 XX
10413 4 XX 46 XXXX <---Breakout
10411 4 XXX <-- U Brack 46 XXXXXX <--Upper bracket
10409 345 XXXXXX <--Close 3456 XXXXXXXXX ofprevious day
10407 345 XX-15-XXX 3456 XXXXXXXXXXXXXXXXXX
10405 345 XX-21-XXXXXXXXX 345 XXXXXXXXXXXXXXXXXXXXXXXX
10403 1345 XX-23-XXXXXXXXXXX 345 XXXXXXXXXXXXXXXXXXXXXXXXX
(Prices 10401 - 10321 deleted)
Bracket consolidation on 18th Real Breakout on the 21st.
Condition: Balanced Close outside upper limit for 18th
Commercial buffering at 10400 Note: commercial action and node
Commercials are buying Condition: Trend Up
Detailed look at break-out day on Dec 21st
On the following page is a graphic again of the 5 day Overlay for the 21st
beside the half-hour auction table (bars) for the 21st. The auction table
gives us a detailed look at the trading on the 21st in 30 minute intervals.
The market broke out in the 6th period and continued rising in price to 10431
where it was capped by commercial action and dropped in price to close at
10427 well above the bracket limits of the 18th. So the breakout was confirmed
and could be the start of trend.
On Monday 21st Dec the bracketing market breaks out in the 6th period and
continues in that price region until the close. So the breakout is sustained
and may be the beginning of a trend
FIVE DAY OVERLAY ON 21st DEC (from 15th-21st Dec)
10431 1 6 6 1 X <-- Upper Commercial action
10429 1 6 6 4 XXXX <-- Close
10427 1 6 6 5 XXXXX <-- Node
10425 1 6 6 5 XXXXX
10423 1 6 6 3 XXX
10421 1 6 6 3 XXX
10419 1 6 6 2 XX
10417 1 6 6 1 X
10415 2 6 46 2 XX
10413 2 6 46 4 XXXX <--- Breakout
10411 2 6 46 6 XXXXXX <--Upper of Limit
10409 4 6 3456 9 XXXXXXXXX of previous day
10407 4 6 3456 17 XXXXXXXXXXXXXXXXX
10405 3 345 23 XXXXXXXXXXXXXXXXXXXXXXX
10403 3 345 24 XXXXXXXXXXXXXXXXXXXXXXXX
10401 4 2 2345 11 XXXXXXXXXXX
10331 2 2 24 8 XXXXXXXX
10329 2 2 24 11 XXXXXXXXXXX
10327 1 2 2 8 XXXXXXXX
10325 1 2 2 8 XXXXXXXX
10323 1 2 2 5 XXXXX <--- Lower bracket of prev day
10321 1 2 2 1 X
HALF-HOUR AUCTION ON 21st DEC 1992
y z A B C D E F G H I J K L
10431 3
10429 2 41 29 7 <-- Close
10427 6 3 6 16 13 27
10425 16 29 4 7 12 12
10423 35 1 15 2
10421 19 38 2
10419 29 1
10417 2
10415 4
10413 24 14 <--- Breakout
10411 2 4 12 close well outside breakout
10409 11 15 6 price so test is confirmed
10407 1 a trend
Day trader had numerous opportunities
Position/Swing Trader gets long at 10413
Commercial action at 10431 was near the close - commercials
were probably buying, not capping.
Note: Commercials suggest value is changing. Also a node has formed
in the breakout price region. Is the trend over?
Trending, forming nodes and then bracketing again
On the next page the graphic of the 5 day Overlays for the 21st (again) and
the next two days: the 22nd and the 23rd. The Overlays have a common price
strip.
On the 22nd the market continues to trend with price rising to 10517
but closing at 10425 at the node of the 21st. Three nodes have now
formed.
On the 23rd price consolidates around the 2nd and 3rd nodes starting
to form a new three-day bracket (a congestion region). The market
condition has changed to test (congesting) and is no longer trend
up.
Breakout long trades held since the 21st breakout should be closed
out the next day since there is 50-50 chance of price being anywhere in the
new bracket. This would net us about 10507-10417 * $31.25 = 22 * $31.25 =
$690 (less commissions and slip).
Swing Trading
Tracking the Trade of Dec 21 to Dec 22 and 23.
Auction Market Analysis: A RECAP
Trader Control data is AVAILABLE at 7:30 PM CDT except for the commercial
analysis which is available at 7:30 PM for CBOT interest rates, at 10:30
PM for CBOT grains, and at 6:00 am the next morning for all CME contracts.
The foregoing analysis of the entry trade of December 21, used only three
of the five basic reference points (Limits, Octants, Middle, Internal Trend
and Commercial). The Internal Trend could give a directional alert,
while the Middle of the Overlay distribution is used in responsive
trading.
For exit purposes we added the node (congestion) reference
point to help exit. The five basic reference points are the ones we rely
on and study during the first three months of the Home Study
course. Other reference points are incorporated into NMA analyses
as the course proceeds.
Some Market Review reference points and data:
a) Value area
Trade Facilitation Factor (TFF):
For Bonds, a TFF of 4-6 or more is high (congesting)
Shape factor:
Volatility: Differs widely by the market
Volume:
The segmented half-hour auctions show:
Market Understanding positions the trader: If the condition and current
situation are known, trading decisions become clear.
Value Based Power Trading (NMA) can be used by:
RESPONSIVE DAY traders: (They expect balance to hold)
TREND AND SWING traders: (When balance broken)
- STOPS could be:
The
Visual Graphic vastly speeds the search process for a day's trading.
We will illustrate one below.
First, though, let us mention additional resources
for this Month 0 study. We have mentioned the Auction Market Analysis
many times; to get a discussion of just Auction Market Analysis for trading alone,
click on Month 0 - Income.
There are three sample trades you
can click on: Breakout, Responsive and
Break-Responsive. These examples will increase your depth of
understanding of Auction Market Analysis. When you are finished with this Month
0 report, you can click on Mo0TEST, to see what you have learned.
There is a Glossary that lists most of the terms used in NMA;
Symbols contains the futures list; Data Types
discusses the various forms of data we use; and Menus has the
programs available on the CISCO BBS. For contract information, months
traded, hours, etc. click on Contract Information.
Visual Graphics
We have put a lot of effort into the breakout trade of December 21, 1992,
which used the reference points of December 18. Now let us look at
that data in a Visual Graphic format. We start with the
Visual
Graphic of Dec 18 below.
Visual Graphic: Mar 93 T-bonds Dec. 18, 1992
On the Visual Graphic above, move across
until you see ‘ 5 day Overlay’ on the second line. That
identifies the Overlay for December 18, the same one that we have used several
times before. Directly below the Overlay graphic we find a notation
that the 5 day is Bracketing. Below that is a table of the
Overlay reference points (U is the Upper Limit, UO is
the Upper Octant, UQ is the Upper Quadrant, M is the Middle
and so on for the lower part of the Overlay).
To the right of UO,
the number 281 is the $ distance from the Octant to the Middle;
to the right of UQ is the $ distance from the Quadrant to the
Middle; with the amounts repeated below; where the 93 is the $
amount from the Octant to the Upper Limit and the 187 is the $
amount from the Quadrant to the Upper Limit.
The commercial activity
is shown just to the right of the 5 day Overlay in the ten days of vertical,
dashed lines. Unusual commercial action at the top has a *
on the upper limit of the dashed line; action on the bottom has a *
on the lower limit of the dashed line. As we look around the Visual Graphic
we see many other items besides the information on the 20 and
10 day Overlays. These are the additional reference points
that Auction Market Analysis uses in trading. A full explanation of the
display is in the Appendix.
A quick survey of the Visual Graphic for Dec. 18 provides us with the reference
points: Limits 10412 & 10322; Octants 10410 &
10324; Middle 10401 and the commercial bottom cap for the latest
day is about 10400. These data prepare us for the market of Dec. 21.
Much quicker, is it not? Now we turn to Dec. 21.
Visual Graphic: Mar 93 T-bonds Dec. 21, 1992
The twenty additional reference points are used in the Home Study.
They are identified in the Appendix and, of course, developed throughout
the course.
Another way to see the efficiency of the Visual Graphic is by posting
several days together. Remember, it is important that we see how a market
develops. Many traders use daily bar charts for a longer view. But
Auction Market Analysis examines both time and volume. Look at the development
of the trade of Dec. 21 on the Visual Graphic.
Visual Graphic: Mar 93 T-bonds Dec. 17-21, 1992
December 17. The market condition is bracketing. We observe
a nice bell-like shape. Commercial action, (‘Comm’, below
the Overlay) is UL (both upper and lower action. The balance is
confirmed by the shape of the Overlay and the commercial action. This
is a market we can analyze. We know the limits for breakout, if the unexpected
occurs.
December 18. Again a bracketing condition. Commercial action
on the low side
Alerts us to a potential change of value (higher). The expected
is still to remain in the bracket, but we are prepared for an upside
breakout. The commercial tip-off would make the seasoned trader consider
multiple contract trades.
December 21. The breakout came. Price closed in the node.
Commercial action at the top, U, can be either capping or
‘going-with’. Late in the day action, like this, on the
first day of a trend can well be ‘going-with’, since commercials
tend to wait out a move, entering only when the public trading
weakens. On the breakout day, commercials watch for a weakening
of the public activity. If it does not come, the commercials cannot
buffer and must do their company business at whatever prices
available. (We could confirm the trading behavior of the public with
the Liquidity Data Report (tm).)
December 22. The Overlay is strung out, as is common in trending
markets. Close is near the top. There are three nodes. Commercial
action at extremes is non-existent. The trend continues.
December 23. Trading has moved back down into the two top
nodes. The resulting upper node looks like the beginning of a new
bracket. The market is congesting. The odds are that the trend
is over.
What happened later?
FIVE DAY OVERLAY ON DEC 21st FIVE DAY OVERLAY ON DEC 22nd
Dec 15th-21st Dec 16th-22nd
10517 7 X
10515 7 XX
10513 7 XX
10511 7 XXX Node 3, Close
10509 7 XXXXX
10507 7 XXX
10505 7 XXXXXX Node 2
10503 7 XXXXXX
10501 7 XXXX
10431 6 X <-- Upper commercial 67 XXX
10429 6 XXXX Close 67 XXXXXX
10427 6 XXXXX 67 XXXXXX Node 1
10425 6 XXXXX <--- Node 67 XXXXXX
10423 6 XXX 6 XXX
10421 6 XXX 6 XXX
10419 6 XX 6 XX
10417 6 X 6 X <-- Breakout on 21st
10415 46 XX 46 XX
10413 46 XXXX 46 XXXX <-- False
10411 46 XXXXXX <--Upper Limit of 46 XXXXXX breakout on 17th
10409 3456 XXXXXXXXX previous day 3456 XXXXXXXXX
10407 3456 XXXXXXXXXXXXXXXXX 3456 XXXXXXXXXXXXXXXXX
10405 345 XXXXXXXXXXXXXXXXXXXXXXX 345 XXXXXXXXXXXXXXXXXXXXXXX
10403 345 XXXXXXXXXXXXXXXXXXXXXXXX 1345 XXXXXXXXXXXXXXXXXXXXXXXXX
10401 2345 XXXXXXXXXXX 12345 XXXXXXXXXXXXXXXX
10331 24 XXXXXXXX 124 XXXXXXXXXXXXXXXXX
10329 24 XXXXXXXX 124 XXXXXXXXXXXXXXXXXXXX
10327 24 XXXXXXXXXXX 2 XXXXXXXX
10325 2 XXXXXXXX 2 XXXXXXXX
10323 2 XXXXX <--Lower Limit of 2 XXXXX
10321 2 X previous day 2 X
Broken-out bracket plus 1 node Broken bracket plus 3 nodes on 22nd
on 21st Breakout on 21st is sustained
Condition: Trend Condition: Trend Node stop 10427
FIVE DAY OVERLAY ON DEC 23rd
Dec 17th-23rd
10517 8 X
10515 8 XX
10513 8 XX
10511 89 XXXXXX
10509 89 XXXXXXXXX
10507 89 XXXXXXXXXXXX <-- Close start of
10505 89 XXXXXXXXXXXXXXXXX <-- New bracket
10503 89 XXXXXXXXXXXXXX (nodes consolidating)
10501 89 XXXXXXX (no longer trend up)
10431 78 XXX
10429 78 XXXXXX a breakout long trade held from 21st
10427 78 XXXXXX gets out tomorrow at the open
10425 78 XXXXXX since there is a 50-50 chance
10423 7 XXX of price being anywhere in the
10421 7 XXX new bracket.
10419 7 XX Trend is over
10417 7 X Condition: Balanced
- Gives Market CONDITION, VALUE and BREAKOUT prices
- Locates CURRENT Support and Resistance
- Is a Filter for ANY Trading Model
- Provides the basics for TRADING MODEL DEVELOPMENT
- Identifies Trading Candidates DAILY
- Finds the Volume at Each Price (all prices are NOT
equal)
- Measures and Evaluates the Activity of COMMERCIAL
traders
- Has FOUR TIME FRAMES (the last 5, 10, 15, 20 days)
- Offers the Trader the EDGE on Low Risk Trades
- Discovers VALUE for the Option Trader
b) Trade Facilitation Factor
c) Shape Factor
d) Volatility
e) Volume (total, public, commercial)
c) Segmented half-hour auction
A high TFF:
- is an alert to a breakout
- indicates a lack of confidence in the market
- means poorer trade facilitation, more congestion
Value Area:
- wider is better trade facilitation
- higher is bullish
- Measure of bell-shape of TPO's in Market Profile/Meta-Profile
- A bell shaped profile will have a smaller shape factor.
- A perfect bell shape profile has a shape factor of 1
- Increasing ==> continuation
- Too small ==> stay out, low profit potential
- Too large ==> stay out, too risky
- Increasing ==> continuation
-the time of day when the commercials were capping
-close inside bracket range after breakout -> false/sustained.
-average 30 minute high-low range, a measure of volatility
- day traders
- swing traders (few days timeline)
- trend traders (many day timeline)
- or anyone who benefits from knowing market direction
- could go long when price comes up through lower eighth
(octant) of the bracket range
- could go short when price goes down through upper eighth
(octant) of the bracket range
- could target the center of the bracket
- could stop out on a breakout or MOC
- could go long on upside breakouts from the bracket
- could go short on downside breakouts from the bracket
- the prices separating the upper and lower eighth's (octants)
of the bracket price range from the middle of the bracket
- when price comes back into a prior bracketing distribution.
- when price-time forms a new bracket
- or MOC for day traders
Recall that we used the 5-Day Overlay and traded with the four
reference points: Limits, Octants, Middle and
commercial action.
The analysis of the trading on Monday, December 21 is affected by the
half-hour bars for Dec 21, in the upper right-hand corner of
the Visual Graphic. Here, just as in Cases 1, 2 and 3, we note the
breakout, the fact that price never retraced back as far as the stop,
and that there was a profit on the day. While the half-hour bars may be hard
to read, we can resort to the posted open, high, low and close on
the left column, just below the price strip for the Overlays. The two prices
for the ‘O’ are today’s and
yesterday’s opens, and the same is true for the high, low and
close.
This 5 day set of 5 day Overlays provides a synoptic look at the
development of this market and the development of the successful breakout
trade. Early users of the Meta-Profile would post successive
days on the wall. Each profile gave that day’s structure, so combining
or sighting along a row showed how the market evolved, it’s
condition. The Overlay takes the place of the row of posted profiles,
it provides market condition (bracket, trend or test). A row
of Overlays shows the market condition evolving.
Date Open High Low Close
12/24/92 10504 10507 10429 10504
12/28/92 10431 10504 10419 10422
12/29/92 10421 10508 10416 10501
12/30/92 10502 10506 10420 10425
The trend was over.
You can subscribe to the Home Study program either
annually, $1,200 for the year
quarterly, $450, 350, 350, 350 (Qtr 1, 2, 3, 4)
or monthly. $109 (30 day notice to terminate)
Sign up on the CISCO home page http://www.cisco-futures.com
Your subscription carries with it:
1. Course materials on the Internet: lessons, etc
2). Go down to "CISCO Futures Data".
3). Click on "paid-for-or-trial-data".
4). Click on "get summary bracket screen for today".
5). Enter your username (e.g. 499mmm) and password (e.g. genie).
6). Go back to the page with your log-in information.
7). When finished, exit.
Month0: rev:2 Mo0NMADM
2. Daily access to the Trader Control Package
3. Daily access to 'daily data' updates
4. Daily access to tick data on up to 5 futures.
5. 1 Weekly call to CISCO 15 min max ($2 min addl.).
6. Workbook (month 5).
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 '/'
or "get regular bracket screen for today".
Examine the screen for markets in balance (5 day, 10 day, etc.).
Note: The 5 day balance is required for a balanced market.
Select your list of trading candidates for this day.
Select your first commodity from the "Select One Commodity" box.
Click on "Send".
Click on the "Select delivery" box for the delivery month.
Click on "Send".
Jot down your trading parameters in your trading journal.
Print the graphic you have chosen. You may want to make notes on it.
Select your next commodity from the "Select One Commodity" box.
Click on "Send".
Click on the "Select delivery" box for the delivery month.
Click on "Send".
Jot down your trading parameters in your trading journal.
Print the graphic you have chosen.
Go through the 6). process for all futures you selected.
