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Value Analytics (tm): A New Paradigm in Profile Analysis


Donald L. Jones
CISCO Futures©
September 10, 2007


Value Analytics combines market condition with market profile reference points to generate data for trading set-ups. Market condition identifies the market environment (balance or trend) within which all trades are made. Internal market information comes from profile reference points used as market flow variables, a new and more comprehensive way to find market bias and directionality. The goal continues to be to give the trader the 'edge' that comes from superior market knowledge.
Value Analytics Product Page
Tutorial on Value Analytics
Value Analytics, the Process
Value Analytics (VA) is a melding of the Market Condition analyses pioneered by CISCO (Ref. 1), with a unique form of Market Profile analysis, one oriented to quantitative evaluation of reference points. This is a radical departure from the standard Market Profile (Ref 2), a move from pattern recognition to analytical evaluation of the profile intra-day markers.

Contrary to normal profile procedure, Value Analytics starts with Market Condition as the framework within which all trading takes place. Profile analysis plays a subsidiary, but important, role, describing the infrastructure of the market, the internal details that identify market flow and market bias. Standard profile definitions are used, but not for profile day pattern analysis. In Value Analytics the market is viewed as a continuum, a flow through time. Profile variables are analyzed for their change over time, their relative values, rather than the less useful absolute numbers used in regular profile analysis.

By quantizing the profile variables, Value Analytics removes much of the mystery of profile trading; the pattern recognition and the holistic evaluation of the motivations of the market's players (Ref 2, 4). Quantized profile data can stand alone. Dyed in the wool profile traders might enjoy a profile methodology that is more analytical. However, the synergism of condition and profile together gains much more market information collectively than either can do alone.

Market condition has long been known to be the primary variable in market anlaysis (Ref 1). It defines the environment and is always a guide for the trader. A balanced (congesting) market is the province of the responsive trader, one who sells tops and buys bottoms. A breakout market, one that begins a trend, is of interest to the initiative trader, the trend follower. Profile reference points in balanced markets can show internal market bias and directionality, information not available from the market condition analyses. The end result of a day's Value Analytics analysis is a knowledge base from which traders can construct a comprehensive trading strategy, their set-up for the next day.

The First Market Profile
The profile era was introduced via a product announcement by the CBOT in 1985 (CBOT Market Profile) (Ref 2). Accompanying the announcement was a user's manual also named CBOT Market Profile. Profile analysis came from reading a price-volume chart, a 'market profile'. A profile chart for a run of the mill trading day formed a quasi-bell shaped curve of price on the vertical and trading volume on the horizontal, as in figure 1. The central 70 percent of the day's volume was defined as the 'value area' (VAU to VAL) to conform with the first standard deviation of a gaussian (normal) distribution. Other chart elements were defined, such as the initial balance (price range of the first hour of trading), range extension (trading beyond the initial balance), tails (the high and low extreme price area of the profile), several day types, and more. The manual estimated that it would take six to twelve months to master the profiles and to trade effectively. The Market Profile, as advertised, is pattern recognition combined in a holistic shell. A later release of CBOT Market Profile (1991) (Ref 4) is much more extensive than the 1985 version, but the holistic thrust is the same.

The impact of the profile concept in 1985 was huge. Many traders, this author included, felt they were getting an inside look at the details of markets. The profiles' creator, J.P. Steidlmayer, had developed an eminently readable graphic of a day's market activity. In figure 1 the viewer only needs to know that the letters (TPOs) represent half-hour time frames to be able to read the market's activity. The open at 7:20 (>y) and the next two hours (z, A, B, C) traded around 135800, Then an up move started in C period (9 to 9:30), spending the rest of the day higher, trading around 136400. At the close, price moved yet higher (O period), ending strong. Every trader was empowered by this new information.
                         Profile Report 07 11 07
                          and Segmented Auction                  

Future:  --  DJIA (CBOT)  Day      SEP 07


 Price  TPOs (Profile)                        Segmented Auction
 136800 O                                                                 O
 136750 O                                                                 O
 136700 JO                                                 J              O
 136650 JO                                                 J              O
 136600 JO                                                 J              O
 136550 GJN                                       G       |J |  |      N |  <== VAU
 136500 GJKN                                      G       |J |K |  |  |N | 
 136450 EGHJKLN                             E     G  H |  |J |K |L |  |N | 
 136400 EFGHIJKLMN                          E  F  G  H |I >J >K >L >M >N >  <== POC
 136350 EFGHIKLMN                           E  F  G  H >I |  |K |L |M |N | 
 136300 EGHKLM                              E     G |H |  |  |K |L |M |  | 
 136250 CDEGKLM                       C  D  E    |G |  |  |  |K |L |M |  | 
 136200 CDELM                         C  D  E |  |  |  |  |  |  |L |M |  | 
 136150 CDLM                          C  D |  |  |  |  |  |  |  |L |M |  | 
 136100 CDLM                          C  D |  |  |  |  |  |  |  |L |M |  | 
 136050 CDLM                          C |D |  |  |  |  |  |  |  |L |M |  |  <== VAL 
 136000 CD                            C |D |  |  |  |  |  |  |  |          
 135950 zBCD                 z     B |C |D |  |  |  |  |  |  |             
 135900 zBC                  z     B |C |  |  |  |  |  |  |                
 135850 yzBC              y >z |  |B |C |  |  |  |  |                      
 135800 yzBC             >y |z |  |B |C |  |  |  |  |                      
 135750 yzABC             y |z |A |B |C |  |  |  |  |                      
 135700 ABC                     A |B |C |  |  |  |  |                      
 135650 AB                      A  B    |  |  |  |  |                      
 135600 B                          B                                       

TPO Analysis
Center      136400

Value Area from TPOS
 Upper      136570
 Lower      136050

Figure 1. Meta-Profile Data for DJ Index, Jul 11, 2007
          This day has two distributions, one centered at 135750, where the TPOs yzABC appear.
          the times 7:20 - 7:30 (Z), 7:30 - 8 ($), 8 - 8:30 (A), 8:30 - 9 (B) and 9 - 9:30 (C).
          
          The second, later distribution is centered at 136400 with times 9 - 9:30 (C) through 15 - 15:15 (O).
          An extended, non compressed profile is Fig 1a. in the Appendix
          Compression factor 5.
By the late 1980's, early 1990's a reaction had set in. Many traders were saying "the profile does not work". What they meant was that the profile did not offer them a trading model. Profile was never sold by Steidlmayer as a trading model in any of his numerous publications. It is an information base. That means the user must still develop a model, a trading methodology from the valid, market generated data. Most found it difficult to take the step from the data to the holistic interpretation of that data. At CISCO we had difficulties of a more technical nature, the solutions of which ultimately led to Value Analytics and incidentally benefitted all profile traders.

Problems with Market Profile and their Resolution
The author's background in money management (1972 - 1988) generated a real appreciation for any method like Market Profile that could open up intra-day market anlaysis. But there were serious problems.

The first hitch came with the definition of Market Profile value. Value area is the price range defined by the central seventy percent of a day's (cleared) volume. In order to find value, we needed the volume: this was only available for CBOT markets (LDB data). We traded a portfolio of 24 futures, only a fraction of which were CBOT. I discussed the problem with an owner of the Market Logic School (an early source of training on Market Profile) and was assured that indeed, value could come only from volume. Nevertheless, we explored other avenues. By 1987 we had developed the Tick-TPO, or Meta-Profile methodology which proved valid for value determination in all auction markets (Ref 3, 3a).

Meta-Profile removed our dependence on CBOT LDB data and also became the industry de-facto standard for day value. Meta-Profile is reported in the subsequent 1991 Market Profile manual, (Ref 4, P33 "Steidlmayer says....") and in Mind Over Markets 1990 (Ref 5) in Appendix 1, also without attribution. The examples of Market Profile we have seen from the wire services all use value area found from TPO's, not cleared volume.

Then we ran into a bigger snag--we could not find valid market condition from a single day's data, as claimed in the 1985 CBOT manual. We found a surprising variation in profiles from day to day, even in balanced markets. The intra-day movement was sometimes so large that a five day set of data could look like three days of down and then three days up or vice versa. Linearly combining the five days into one large profile (overlay) might well show balance (see figure 2a. in the Appendix). These findings led to development of the Overlay Demand Curve (Ref 1). Also see: http://www.cisco-futures.com/overlaybkg.html

Our studies of Overlays showed that recognizing and measuring balance required a minimum of three sequential days of profiles (Ref 1). An unanticipated benefit from the studies is that balance also locates the upper and lower limits of value, i.e. the classical resistance and support levels. These market turning points are time frame sensitive, having different values for different balance periods. The importance of market condition, balance in particular, is that without this information one is trading blind. You need to know that your market is congesting if you are a responsive trader (who wants to fade a trend?). Trend trading in a congestion is equally unrewarding.

As a researcher first and a trader second I became sidetracked. I saw that condition was the starting point, not the profile. Balanced markets should be traded one way, while movement out of balance required trading another way. In fact, for the average trader, a knowledge of market condition is the most important piece of information possible.

For some years CISCO has offered training courses based on market condition. We assumed that self professed "profile traders" who took our courses and bought our trading data were competent in profile methodology, needing only intra-day generation of meta-profiles to exercise their strategies. Queries from customers ultimately led to our realization that few of these traders followed the original profile holistic model. We are continually being asked for quantitative ways of understanding the profile reference points. We have lately come to believe that the requirements of the holistic profile model are beyond the capabilities of the majority of traders.

Thus was born Value Analytics: The keystone is market condition. Market internals, the reference points (some 30 of them), are the the filler, the elements showing a market's stress and its directionality. Value Analytics does require a certain trading maturity to learn and master. It is not the pie-in-the-sky method sought by many beginners. It is a professional, logically based way to obtain the market information on which to build a systematic trading strategy, as detailed below.

Value Analytics and Market Condition
Value Analytics first finds market value (Part 1) and then, in Part 2, quantitizes the profile reference points so they can be used to determine the market flow. There are limitations. Many profile reference points are poorly defined in unbalanced (trending) markets. For instance, value area has little meaning in a trend. The standard definition of value area (the central seventy percent of volume (or TPOs)) fails in a trend, in part, because there is no central grouping about which to locate the middle price (point of control).

Within a certain time period, say ten days, the ten day time frame may be in balance, while the most recent four days are trending. There is a value area for the ten day period, none for the four. Several examples of varying balance times are in Table 1 (extended list is in Table 1a in the Appendix).

Table 1 covers the period July 5 through August 2. The DJ market was essentially in balance at all time frames from July 5 through July 11. All time frames broke out on July 12 and stayed in trend mode until July 18. The close on July 11 is 136770 and on July 19, 140610, so the Dow had been trending up; high close was 140500 on July 17.

On July 18 the 5 day time frame ended in balance. At the close of July 19, 5 and 10 day time frames are in balance. They stayed balanced until July 24 when the 5 day broke out. If a trend is starting, the 10 day balance will break out next. This was a 'false' breakout since the next day's five day time frame was back in balance.

The next day, July 25, both 5 and 10 day time frames ended in balance. The balance limits are:
  Period     Ulim     Llim
    05     140800   137600
    10     140900   137500

Then on July 26, both 5 and 10 day time frames broke out. A trend started. The market direction was down (close 135340 on 0726, a drop of 2160).

The next balance to appear is the 5 day on August 1. This seems to be a new start after a sizeable price drop. Then on August 2 both 5 and 10 day balances appear. And so, a new "market unit" begins (a unit is the time from balance to breakout and back to balance) (Ref 5).

      5 Day    10 Day    20 Day        O        H        L         C   
0705      X         X         X   136750   136800   136020    136500
0706      X         x         X   136668   137250   136270    137080
0709      X         X         X   137620   137600   137050    137400
0710      -         X         X   137030   137150   135730    135850
0711      X         X         X   135800   136800   135550    136770
0712                              137150   139530   137100    139200

  no balances July 12 - 17

0718      x         -         -   140250   140400   139000    140030
0719      X         X         -   140530   140900   140270    140610
0720      X         X         -   140050   140320   138750    139380
0723      X         X         -   139730   140450   139650    140110
0724      -         X         -   139730   139750   137700    138130
0725      x         x         -   138730   138850   137400    138410
0726                              137500   137850   133950    135340                              

  no balances July 26 - 31

0801      X         -         -   131950   134350   131750    134040
0802      X         x         -   134340   135500   133950    135270
0803                              135200   135400   132100    132660


Table 1.  DJ Sep 2007.  Balances for nominal 5, 10 and 20 days.



Examples of Value Analytics at Work

Part 1. Market Condition


Responsive trading on July 11.
The limits as of the close July 10 are: 137900 - 133850, with the middle of the distribution at 135600. Using the balance limits, the responsive trader will set a high price as an alert to sell and a low price buy alert. For target prices we will take a deviation of 25 percent of the range from the middle, 975, for a short alert at 136575 and a long alert at 134625. Price was never low enough to trigger a long alert. The alert for short occurred at 12:38 when price exceeded 136575. A simple strategy of waiting at least 10 minutes to avoid a 'noise' entry and then selling as price fell back through 136575 would have triggered a short at 12:58. Price reached a low of 136050 at 2 PM and closed at 136770. The trade had a potential of 525 (136575 - 136050). Just exactly where to enter and exit is, of course, a function of the trader's strategy.

Conditions at the Close of July 11
The close of July 11 records short, intermediate and long term balances. The limits widen as the time frame increases. A responsive trader will stay within the short, intermediate or long limits according to his/her taste for risk, as illustrated above. An initiative (breakout) trader will key on the upper and lower limits, looking for breakouts. A trading strategy for July 12 could include a) purely breakout, b) purely responsive, or c) both. Normally, a complete strategy would include set-ups for both cases.

Trading the Market of July 12, basis Condition Variables Only
For an upside breakout of the first alert is 137550 (5 day), same for the 10 day and 137900 for the 20 day. In fact, the market opened at 137150 and climbed steadily throughout the day. The long breakout alert (137550) was hit at 8:45, and the confirming 20 day breakout (137900) came shortly after 9:45 AM. Close was 139220 (the potential was 1670 from the first breakout).

At the Close of July 12, what is known?
There are no balances. The market is trending up. A swing trader who is long is now looking for a signal to exit, for signs of a slowdown, a move back into congestion (Part 2, profile variables, can help here.) Anyone who wants the edge that goes with the knowledge that comes with balances will stay out of this market until the trend is over. We know from Table 1 that there are several days between now and July 18 when the 5 day time frame reports a new balance. This dead period in the DJ is a good time to search other markets for trades. A holistic trader will find it difficult to switch markets, to diversify. The Value Analytics trader will not.

A Market that Starts, Breaks Out and Ends in Balance, July 9
We have just examined; a market that broke out and ran. What about markets that remain in balance: what can the Overlay alone tell us there? Table 1 shows a pretty well balanced series from July 5 to July 11. A closer look at the balances in Table 1a and the closes in table 1, shows a good bit of movement day-to-day. The definition of a balance is "a single distribution with the close inside". So in a volatile market there can be quite a lot of shifting or "creep". e.g. There may be a breakout move, followed by congestion later in the day, leading to a new balance level.

July 9 trading is a case in point. The open on the 9th, 137620, lies above the upper limit of the close of July 6 (137150). The close on July 9, 137400, shows that there was a breakout on the upside. So the market moved up and ended in a new balance (137550 - 135750). There is no DJ overnight trading. But a trader following the evening action of the YM would have caught the upside breakout (shortly after 8:15 PM July 8 (Sun)). High price on July 9 of 137600 offered a potential to the breakout trader of 450. The trader who waited for the open would have missed the trade because of the gap.

The jump up between the close of July 6 and open of July 9 is just one of the many things a market may do. Can we predict them? Not likely. Understanding the market condition prepared us to take action when a breakout event came along. Profitable trades comes from preparation, not predictions.

Understanding the market's condition allows market selection and permits evaluation of risk, based on parameters that come from the market itself. It is the starting point for all market trading set-ups or strategy. Indeed, as just demonstrated, one can trade on market condition alone.


Part 2. Profile Reference Points

There are some 30+ profile reference points. For illustration here we will select a few to demonstrate the the methodology. The source for decision points 1 through 15 is Table 2a, in the appendix.

Over the past three trading days:
1. The price range is increasing (doubled): Trader interest is increasing.
2. Total TPOs are increasing: Trader interest is increasing.
3. Total tick count is increasing: Trader interest is increasing.
4. Trade Facilitation Factor (TFF) is decreasing: Trade is smoother, more inclusive.
5. Volatility is increasing: Trader interest is increasing.
6. Initial Balance range is widening: Trade is taking control.
7. Initial Balance range is a smaller fraction of the total range: Public is taking control.
8. Total TPO count in IB is stable: No bias, public or trade.
9. TPO count above IB much greater than below: Market most active above IB. Direction is up.
10. Point of Control price is dropping: Center of value is lower. Direction is down.
11. TPOs in Value Area: Fewer above POC indicates upside pressure. Direction is up.
12. Upper Tail ("O") in the graphic: ended higher on close: Auction still open on the upside. Direction is up.
13. Lower Tail ("B") in the graphic, complete: Auction on the downside finished.
14. Attempted Direction basis POC: Down
15. Attempted Direction basis Rotation Factor: Up

Reviewing the information in the profile reference points as flow variables: Items 1, 2, 3 and 5 all showed an increase in trading in both activity and breadth of market. Relatively, this market is getting hotter.

Item 4, the decreasing TFF means there are fewer TPOs per price, a wider range and thus more traders are able to hit their target price. The market is opening up to more trading.

Item 6, the Initial Balance would be the entire high - low range if the trade were in control. Wider here argues for less market movement.

Item 7 shows the public gaining the upper hand in the day's trading. The trade, the insiders, like a nice broad stable (congesting) base. Public traders benefit more from movement, from trends.

Item 8, stable TPO count in the IB offers no information.

Item 9 shows the public trading above the IB. This is directional information. The public is forcing price higher.

Item 10 indicates that value as found from the center of the profile value area is somewhat lower. Normally, it takes a fair sized move in the POC to be significant (remember the often large day-to-day moves of the profiles in balance?). Here these moves show a relatively small bias toward downside directionality.

Item 11, indicates an imbalance in the bell shape. It is skewed toward the bottom. Fewer TPOs above the POC can mean that the auction is not complete. The market moved up strongly and was strongly higher at the close.

Item 12, the incomplete tail on the upside suggests that the auction is still open to continuation. Possibly higher prices are on tap. Directional up signal.

Item 13, Lower tail shows a completed auction on the downside. No directionality.

Items 14 and 15. Attempted direction basis the POC is directionally up. Basis the rotation factor, direction is down: Net attempted direction is neutral.

What information have the reference points as flow variables given?
The flow variables tell us that the market is heating up (Items 1, 2, 3, 5), it is trading better (4), the trade is in control (6), and the public is in control, normally presaging movement (7, 8).

The market is directionally up (9, 11, 12). And Item 10 is weaky directionally down.

The general picture as of the end-of-day July 11 market internals, is of an increasingly active market with a bias toward upside movement. An appropriate trading strategy for July 12 would be:

A. From the market condition part of our analysis we can be a responsive trader until there is a breakout. Our individual approach to risk will determine how to trade the several responsive levels. We know the trading day is starting with the market in congestion.

B. From the profile flow variables we know that the market is heating up and if there is a breakout it will be most likely on the up side. We are prepared.

The profile chart of figure 1 is pretty clear. The market opened at 135780 and traded in the region 135950 to 135600 until around 9 AM. Then it moved up, finding balance in the 136400 region. The up move at the end of the day was still in effect at the close, which was the high of the day. Observation of the profile dovetails pretty well with what we got from the flow variables. The only thing left is to formulate our trading set-up, our strategy for July 12. Each trader will know their risk parameters. All will have a clear picture of the market situation they are entering, the expected "what if's" and an immediate recognition if the market makes an unexpected turn.

A Sample Trade Set-up: Close of July 11 for Market of July 12: Condition + Profile

From the paragraph above on trading Condition alone:

 From Market Condition
  20 Day Upper Limit      137900

  10 Day Upper Limit      137550

   5 Day Upper Limit      137550

  ----------- Close 136770 -----------

   5 Day lower Limit      135750

  20 Day lower Limit      133850

  10 Day lower Limit      133650

 From Profile Flow Data
  Positive readings
   Increased trading volume: (4 votes on activity)
   Initial Balance smaller part of day's range: 1 vote on activity
   Public trading above Initial Balance: 1 vote for Direction up
   Fewer TPOs above POC: 1 vote for Direction up
   Upside incomplete tail at close: 1 vote for Direction up


  Negative readings
   Wider Initial Balance: 1 vote for less activity
   POC slightly lower: part of a vote for Direction down


  No vote
   Stable TPO count in Initial Balance  
   Lower tail completed
   Attempted direction

 Net of flow variables
  Increasing activity argues for movement (4 to 1)
  Directional up votes (3 to 1)


 Value Analytics Analysis as of 6 PM on July 11:
  The market is in balance
  The guess is that the market is liable to break out because of the growth in activity
  If there is a breakout, the market's tendency is up

  Each trader has the data above. This is the information about the market that 
  provides the "edge", the goal of Value Analytics.

  Purely as an example, we will pick some trade prices to illustrate using the data.

   An alert to breakout up comes with price at 137550
   A strong confirmation of breakout is at 137900

   An alert to breakout down comes with price at 136050
   A strong confirmation of breakout is at 133850
   Another confirmation of breakout is at 133850

  The congestion trader would consider a short at 137225 with a target of 136770
   The short point is 1/8 the range of the Upper limit - Lower limit of 5 day balance
   Target is the middle of the distribution, 136770
   Stop loss point is the Upper limit, 137550


  The congestion trader would consider a long at 135975 with a target of 136770
   The long point is 1/8 the range of the Upper limit - Lower limit of 5 day balance
   Target is the middle of the distribution, 136770
   Stop loss point is the lower limit, 136050

 In fact, July 12 was a breakout day, as noted in the paragraph above:
  "Trading the Market of July 12, basis Condition Only".

  On another day when the market remained in balance, the profile part of Value
  Analytics could be used exclusively.




Value Analytics, a Recap
Value Analytics is a joining of two independent methodologies, market condition and profile. The condition of the market governs strategy development, first on a go-no go basis. Then, if in balance, on the the risk parameters which are tied to the balance range. If the market is not in balance much of the information that gives the trader the edge is missing. The old adage "never chase a trend" is valid here because our knowledge is weak. If the market is in balance, and better, on several time frames, a trader has a rich set of data: A set of limits (resistance and support). These limits are the base for some simple strategies and some more complicated ones, depending on the market's behavior and the trader's appetite for risk. Understand, VA does not provide a trading model; it gives the trader the market information to develop his/her own strategies.

Profile methodology, long promoted as a stand-alone form of market analysis, is shown here to work well in a support role when market condition is known. The profile reference points poke into many corners of market behavior. As illustrated, quantized profile flow information offers multiple votes on market bias, aiding in trade set-ups. This supporting role within the confines of a market's condition can continue to be valuable in supporting the trader's activities during the trading day.

The standard approach to profile trading starts with a profile and then deducing the market condition, who is controlling the trade, etc. The Value Analytics alternative removes much of the guesswork. By quantizing the profile reference points and treating them as flow variables you have the same piece of market information, such as internal direction being judged by several reference points.

We have noted that both the Market Condition methodology and Profile methodology can stand alone as sources of trading information. Combining the two and modifying the profile to analyze flow makes Value Analytics a much richer information set to use in strategy development. Each method alone serves the purpose: "giving the the trader an edge". Combined, the trader has a much larger edge.

Appendix


              A CISCO five day Meta-Profile display

SOYBEANS (CBOT) DAY    JUL 06   First date:  6  7  6   Last date:  6 13  6

         7              8              9             12             13
  6050                                           IJ                          
  6044                                           IJ                          
  6040                                           IJ                          
  6034                                           DIJ                         
  6030                                           DGHIJK        I             
  6024                                           DGHIJK        I             
  6020                                           DEFGHIK       HI            
  6014                                           DEFGHIK       GHI           
  6010 J                                         DEFGHK        EGHI          
  6004 J                                         DEFGK         EFGHI         
  6000 J                                         DEFGK         EFGHI         
  5994 J                                         DEFGK         EFGI          
  5990 JK                                        DEFK          DEFIJ         
  5984 JK                                        DEF           DEFIJ         
  5980 IJK                                       D             DEFJ          
  5974 IJK                                       D             DEFJK         
  5970 DHIJK                                     D             DJK           
  5964 DHIJK                                     D             DJK           
  5960 DHK                                       D             DJK           
  5954 DGHK                                      D             DJK           
  5950 DGH                                       D             DJK           
  5944 DGH                                                     DK            
  5940 DGH                                                     D             
  5934 DEG           D                                                       
  5930 DEFG          D                                                       
  5924 DEFG          D             D                                         
  5920 DEF           DJK           D                                         
  5914 DEF           DEJK          D                                         
  5910 E             DEJK          D                                         
  5904 E             DEFHJK        D                                         
  5900 E             EFGHJK        DEG                                       
  5894               EFGHIJK       DEFG                                      
  5890               EFGHIJK       DEFGHI                                    
  5884               EFGIJK        DEFGHI                                    
  5880               EIK           DEFGHI                                    
  5874               EK            DEFGHI                                    
  5870               EK            DEFHIJK                                   
  5864               E             DEFHIJK                                   
  5860               E             DFHIJK                                    
  5854                             FHIJK                                     
  5850                             FIJK                                      
  5844                             FIJ                                       
  5840                             FIJ                                       
  5834                             IJ                                        


FIVE DAY OVERLAY

** ALL TDG PERIODS INCLUDED FOR VOLUME CONSISTENCY **

 VOL DETAIL  VOL   HITS  1=NEAR, 2=NEXT BK,...
     6050         10   2 22
     6044         26   2 22
     6040         59   2 22
     6034         73   3 222     <== Upper Balance Limit
     6030        100   7 1222222
     6024        129   7 1222222
     6020        153   9 112222222
     6014        215  10 1112222222
     6010        152  11 11112222225
     6004        168  11 11111222225
     6000        186  11 11111222225
     5994        149  10 1111222225
     5990        166  11 11111222255
     5984        200  10 1111122255  
     5980        121   8 11112555    <== VAU
     5974        171   9 111112555
     5970        214   9 111255555
     5964        153   9 111255555
     5960        133   7 1112555
     5954         84   8 11125555
     5950         88   7 1112555
     5944         58   5 11555
     5940         35   4 1555
     5934         55   4 4555
     5930         87   5 45555
     5924        135   6 345555
     5920        147   7 3444555
     5914        100   8 34444555
     5910         95   6 344445
     5904         75   8 34444445
     5900        119  10 3334444445
     5894        194  11 33334444444
     5890        197  13 3333334444444  <== POC
     5884        159  12 333333444444
     5880        150   9 333333444
     5874        110   8 33333344
     5870         89   9 333333344
     5864        112   8 33333334
     5860         88   7 3333334
     5854         52   5 33333
     5850         35   4 3333  <== VAL
     5844         53   3 333       <== Lower Balance Limit
     5840         21   3 333
     5834          2   2 33

  Figure 2a. Five days of profiles for soybeans, with the accompanying five day Overlay.
             The profiles start high, fall for three days, gap up and have three up days.
             Note that the profiles have quasi-bell shapes; the five day Overlay does not.
             Overlays are expected to have flatter tops.
             Compression factor = 2.

References
1. Overlay Detection of Long Term Market Condition, D.L. Jones, The Profile Report, Vol 2, Oct. 1988

2. CBOT Market Profile Manual 1985, Chicago Board of Trade
    Out of print
3. Determining the TPO Value Area, Don Jones, Market Logic School Alumni Letter, April 13, 1987, P4
3a. Estimating the Market Profile Value Area for Intraday Trading, D.L. Jones, S&C Mag., Sep 1987
4. CBOT Market Profile Manual 1991
    Free download on CBOT site: To download:    CBOT Market Profile Manual
5. The Market Unit
    http://www.cisco-futures.com/marketunit.html Appendix Overlay Table DJ Sep 2007 July 7 - August 2 Five Day Overlays Dte Ov F Dl Yr ULIM LLIM CLO $RNG U-OCT MID L-OCT Tst 0705 05 DJ 9 7 S 136750 134750 136500 2000 136500 135750 135000 T 0706 05 DJ 9 7 S 137150 134750 137080 2400 136850 135950 135050 T 0709 05 DJ 9 7 S 137550 135750 137400 1800 137325 136650 135975 0711 05 DJ 9 7 L 137550 136050 136770 1500 137363 136800 136237 T 0718 05 DJ 9 7 L 140900 139200 140030 1700 140688 140050 139412 T 0719 05 DJ 9 7 S 140900 139200 140610 1700 140688 140050 139412 0720 05 DJ 9 7 L 140900 139000 139380 1900 140663 139950 139237 T 0723 05 DJ 9 7 S 140900 139000 140110 1900 140663 139950 139237 0725 05 DJ 9 7 L 140800 137600 138410 3200 140400 139200 138000 T 0801 05 DJ 9 7 S 135800 131900 134040 3900 135313 133850 132387 0802 05 DJ 9 7 S 135500 131900 135270 3600 135050 133700 132350 Ten Day Overlays Dte Ov F Dl Yr ULIM LLIM CLO $RNG U-OCT MID L-OCT Tst 0705 10 DJ 9 7 S 136750 133650 136500 3100 136363 135200 134037 T 0706 10 DJ 9 7 S 137150 133650 137080 3500 136713 135400 134087 T 0709 10 DJ 9 7 S 137550 133650 137400 3900 137063 135600 134137 0710 10 DJ 9 7 S 137550 133650 135850 3900 137063 135600 134137 0711 10 DJ 9 7 S 137550 133650 136770 3900 137063 135600 134137 0719 10 DJ 9 7 S 140900 139200 140610 1700 140688 140050 139412 * 6 0720 10 DJ 9 7 L 140900 138900 139380 2000 140650 139900 139150 T* 7 0723 10 DJ 9 7 S 140900 138900 140110 2000 140650 139900 139150 * 8 0724 10 DJ 9 7 L 140900 137700 138130 3200 140500 139300 138100 * 9 0725 10 DJ 9 7 L 140900 137500 138410 3400 140475 139200 137925 T 0802 10 DJ 9 7 S 135800 131900 135270 3900 135313 133850 132387 * 6 Twenty Day Overlays Dte Ov F Dl Yr ULIM LLIM CLO $RNG U-OCT MID L-OCT Tst 0705 20 DJ 9 7 S 137900 133700 136500 4200 137375 135800 134225 0706 20 DJ 9 7 S 137900 133750 137080 4150 137382 135825 134268 0709 20 DJ 9 7 S 137900 133850 137400 4050 137394 135875 134356 0710 20 DJ 9 7 L 137900 133850 135850 4050 137394 135875 134356 0711 20 DJ 9 7 S 137900 133850 136770 4050 137394 135875 134356 0726 20 DJ 9 7 L 140800 134700 135340 6100 140038 137750 135462 T 0730 20 DJ 9 7 L 140800 132900 134110 7900 139813 136850 133887 T Table 1a. DJ Sep 2007 Delivery Balances for 5, 10 and 20 day nominal periods: July 5 - August 2 On the right margin the notation T* 7 indicates the market close is near a limit (either upper or lower) and the * 7 means that this nominal 10 day balance is in reality only 7 days of balance. *Data from CISCO Daily Bracket Screen
  Value-Analytics Market Condition Report:     Copyright CISCO 2007  #Ticks    310   
                           Value Trading, A Page of Clues                         
                               DJ  07 09  07:20 15:15   
  
                      20070709         20070710         20070711
# Price Lines           45               53               86
# TPOs - Total         242              169              361
# TICKS                297              183              355
Td Facil Factor       5.38             3.19             4.20
VTY: 30 Min Bar        162              236              280
IB Range                10               13               15
IB Rng % of Day         22               24               17
IB TPO Total            58               60               58
IB TPOs Abv/Blo     146    38          2   107        286    17
VA POC               137450           136920           136400
VA TPOs Upper           75               64               94
VA TPOs Lower          153               87              252
Tail Upper #Pri          1                2                3
Tail Lower #Pri          4                4                2
AD: POC                 --               DN               DN
AD: Rotn Fac             5               -8                4
  
Table 2a. Value Analytics 'Value Table' DJ July 11, 2007 (abbreviated).




Trade Date 20070711
 Number of Prices:          86
    1  136800    1 O                           O
    2  136770    1 O                           O
    3  136750    1 O                           O
    4  136730    2 JO                     J    O
    5  136720    2 JO                     J    O
    6  136700    2 JO                     J    O
    7  136680    2 JO                     J    O
    8  136650    2 JO                     J    O
    9  136630    2 JO                     J    O
   10  136620    2 JO                     J    O
   11  136600    2 JO                     J    O
   12  136590    3 JNO                    J   NO
   13  136580    2 JN                     J   N
   14  136570    2 JN                     J   N
   15  136550    3 GJN                 G  J   N
   16  136530    3 GJN                 G  J   N
   17  136520    3 GJN                 G  J   N
   18  136510    3 GJN                 G  J   N
   19  136500    4 GJKN                G  JK  N
   20  136490    5 EGJKN             E G  JK  N
   21  136480    5 EGJKN             E G  JK  N
   22  136470    6 EGJKLN            E G  JKL N
   23  136460    6 EGJKLN            E G  JKL N
   24  136450    7 EGHJKLN           E GH JKL N
   25  136430    8 EGHIJKLN          E GHIJKL N
   26  136420    9 EFGHIJKLN         EFGHIJKL N
   27  136410    9 EFGHIJKLN         EFGHIJKL N
   28  136400   10 EFGHIJKLMN        EFGHIJKLMN
   29  136390    9 EFGHIKLMN         EFGHI KLMN
   30  136380    9 EFGHIKLMN         EFGHI KLMN
   31  136370    9 EFGHIKLMN         EFGHI KLMN
   32  136360    9 EFGHIKLMN         EFGHI KLMN
   33  136350    9 EFGHIKLMN         EFGHI KLMN
   34  136330    7 EFGHKLM           EFGH  KLM
   35  136320    6 EGHKLM            E GH  KLM
   36  136300    6 EGHKLM            E GH  KLM
   37  136290    6 EGHKLM            E GH  KLM
   38  136280    6 EGHKLM            E GH  KLM
   39  136270    7 CEGHKLM         C E GH  KLM
   40  136260    7 CEGHKLM         C E GH  KLM
   41  136250    7 CDEGKLM         CDE G   KLM
   42  136240    5 CDELM           CDE      LM
   43  136230    5 CDELM           CDE      LM
   44  136220    5 CDELM           CDE      LM
   45  136200    5 CDELM           CDE      LM
   46  136190    4 CDLM            CD       LM
   47  136180    4 CDLM            CD       LM
   48  136170    4 CDLM            CD       LM
   49  136160    4 CDLM            CD       LM
   50  136150    4 CDLM            CD       LM
   51  136140    4 CDLM            CD       LM
   52  136130    4 CDLM            CD       LM
   53  136110    4 CDLM            CD       LM
   54  136100    4 CDLM            CD       LM
   55  136080    4 CDLM            CD       LM
   56  136070    4 CDLM            CD       LM
   57  136060    4 CDLM            CD       LM
   58  136050    4 CDLM            CD       LM
   59  136040    2 CD              CD
   60  136030    2 CD              CD
   61  136020    2 CD              CD
   62  136000    2 CD              CD
   63  135990    2 CD              CD
   64  135950    4 $BCD         $ BCD
   65  135930    3 $BC          $ BC
   66  135920    3 $BC          $ BC
   67  135900    3 $BC          $ BC
   68  135890    3 $BC          $ BC
   69  135880    3 $BC          $ BC
   70  135860    3 $BC          $ BC
   71  135850    4 Z$BC        Z$ BC
   72  135830    4 Z$BC        Z$ BC
   73  135820    4 Z$BC        Z$ BC
   74  135800    4 Z$BC        Z$ BC
   75  135780    5 Z$ABC       Z$ABC
   76  135770    5 Z$ABC       Z$ABC
   77  135760    5 Z$ABC       Z$ABC
   78  135750    5 Z$ABC       Z$ABC
   79  135730    3 ABC           ABC
   80  135720    3 ABC           ABC
   81  135700    3 ABC           ABC
   82  135680    2 AB            AB
   83  135660    2 AB            AB
   84  135650    2 AB            AB
   85  135620    1 B              B
   86  135600    1 B              B