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CISCO Futures
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Reference Points: An Extended List
CISCO Futures, April 2010
CISCO Futures©
Reference Points: Generally recognizable market elements:
Major applications: (Background Information at each application.)
A trader's goal is to gain adequate information to make enough successful trading decisions for a net positive result. Trading decisions (from one's trading set-ups), come from an understanding of the underlying market structure, it's 'reference points'. The path is clear:
For Normal Intra-day and/or Swing Trading
1) Find Market Condition (Visual Graphics or Advice Engine)
2) Determine if the condition is 'tradeable' (is it in balance?)
3) If tradeable, then find the risk (a fraction of the balance range)
4) Make the trade set-up (entry point, risk, stop management)
Alternatively, for short time-frame (Tipping Point) trading:
1) Use CISCO Day Trading Engine to find the market's predicted path
2) Check the 3 Day Overlay for a market overview
3) Make the trade set-up (preferred direction, risk, stop management)
4) Follow CISCO Day Trading Engine display for entry
Ticks
Frequency
Gaps
Price
Open, High, Low, Close (last)
Range
60 day high/low
Market Profile, Current (CMaPS list)
CMaPS provides these reference points, information generated by the market.
Market Profile for the Periods Selected (PS)
Shape of profile
Value Area for PS (PS = period selected)
Point of Control (maximum TPO price) for PS
Half-hour price bars for PS
First and Last prices traded (F and L) in the last half-hour bar
Tick count total for PS
Half-hour OHLC 30 minute bars for PS
Time range
Ticks
First (Open), High, Low, Last (Close)
Time of High
Time of Low
Tick count
Reference Points (optional)
Current Day
Tick count for PS
Value Area for PS
Point of Control for PS
Initial Balance (range of first two periods) for PS
Upper
Lower
Range Extension (trading above/below Initial Balance, 2 TPOs or more) for PS
Upper
Lower
Volatility (average range of half-hour bars) for PS
Trading Fraction (connects posted price with reporting price)
Trade Facilitation Factor (average number of TPOs per price) for PS
TPOs above Point of Control (excluding single TPOs) for PS
TPOs below Point of Control " " " " "
Total TPOs for PS
Prior Trading Day (Day hours)
Shape of profile
Tick count for day
Value Area for day
Point of Control for day
Initial Balance (range of first two periods) for day
Upper
Lower
Range Extension (trading above/below Initial Balance, 2 TPOs or more) for day
Upper
Lower
Volatility (average range of half-hour bars) for day
Trading Fraction (connects posted price with reporting price)
Trade Facilitation Factor (average number of TPOs per price) for day
TPOs above Point of Control (excluding single TPOs) for day
TPOs below Point of Control " " " " "
Total TPOs for day
Overlay Demand Curve
Overlays: combined Market Profiles 5, 10, 15, 20 days
Rotation Profile (RotProf) Price/Day Identification
Overlay Distribution
Balanced Market
Shape of Overlay
Earlier times not in balance
Distribution parameters
Upper and Lower limits
Upper and Lower octants (approximate stops)
Upper and Lower quadrants
Middle
Un-Balanced Market
Shape of Overlay
Earlier times in balance
Distributions, price limits
Trader Control Package, Visual Graphic: End-of-Day
Market Profile
30 Minute Bars: upper far right of VG
Shape of profile
Value Area for day
Point of Control for day
Initial Balance (range of first two periods) for day
Upper
Lower
Range Extension (trading above/below Initial Balance, 2 TPOs or more) for day
Upper
Lower
Tf: Trade Facilitation Factor (average number of TPOs per price) for day
Vo: Volatility (average range of half-hour bars) for day
Sf: Shape Factor (1 = perfect fit to bell curve)
TPOs above Point of Control (excluding single TPOs) for day
TPOs below Point of Control " " " " "
Total TPOs for day
Attempted Direction
Initial Balance: range, percent of day's range, location of close
Value Area Direction
Overlay Demand Curve
Overlays: combined Market Profiles 5, 10, 20 days
Overlay Distribution
Rotation Profile (RotProf) Price/Day Identification
Balanced Market (Bracketing)
Shape of Overlay
Earlier times not in balance
Distribution parameters
Upper and Lower limits
Upper and Lower octants (approximate stops)
Upper and Lower quadrants
Middle
Un-Balanced Market (No Bracket)
Shape of Overlay
Earlier times in balance
Distributions, price limits
New High/Low Basis ~60 Days
High above 80% of the range
Low below 20% of the range
Discontinued
Liquidity Data Bank (LDB)
LDB, Commercial & BuySell: General
Current day volume (no spreads, etc)
Volume by price
Volume by trader type
Volume Value Area
Identifies high volume and low volume prices ==> acceptance/rejection
Shows which member type is active at a given price
Shows relative importance of various member types
Permits calculation of Commercial Capping and Buffering
Capping event
Capping history
Permits day-to-day measure of member types and averages
Carries the 'correct' Market Profile
Supports measurement of ticks with actual volume
Lists buy and sell volumes for each class of member at each price
Shows commercial activity at the day price extremes
Lists buy and sell imbalances for the day
Discontinued
LDB, Commercial & BuySell: Trader Uses
Finding tenor of the market from volume & its distribution
Locating unusual activity, e.g. Commercial capping, Public driving
Evaluation of 'important' prices, those with high volume
Identification of high volume outside the value area
Opening range volume (strong or weak)
Volume in Initial Balance (as predictor of days activity)
Deciphering details of Commercial & Public activity points
Measurement of 'normal' behavior and 'change' behavior
Volume measure of price acceptance or rejection
Evaluation of trend continuation probability
Determination of who is driving a trend
Measure public trader conviction
Support/resistance from commercial capping
Discontinued
Liquidity Data Bank (CBOT and CME only)
Tv = total volume
Cv = Commercial volume
Pv = Public volume
CUL = 3 forms of Commercial capping
10 Days of Capping: dashed vertical lines to right of 5 Day Overlay
* indicates capping measured
Discontinued
Rotation Index/Quadrant of Close: Basis 4 and 8 days
Ri = Rotation (0.0 to 1.0) where 1.0 is most directional
Qc = Quadrant of Close (Qc = 1 is Top quadrant, Qc = 4 is bottom)