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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. Condition is the 'external' market, the framework within which all trading takes place. Internal market information comes from profile reference points analyzed as market flow variables, a new and more comprehensive way to find market bias and directionality. The goal continues to be to give a 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 developed by CISCO in 1988 (Ref. 1), with a unique form of Market Profile analysis, one oriented to quantitative evaluation of reference points. This is a radical departure from standard market Profile methodology (Ref 2), a move from pattern recognition to analytical evaluation of the profile intra-day markers. The quite substantial differences help bring profile analysis into the province of the ordinary public trader.

Market Condition for Trade Set_up
The market condition part of Value Analytics is little changed from the original. It has always used a balanced market as the base. The balance may be short, a few days or many days or both. Balances are the pause part of the market's characteristic run - pause behavior. Run - pause pairs are seen regularly in time frames as short as an hour or so and as long as many years (e.g. Elliott waves). Market condition is concerned with time frames of a few days to a month. CISCO regularly computes balances of 5, 10, 15 and 20 days nominal length (an entry posted as 10 days can be as short as 6 days). A balance generates the two most important reference points; the upper and lower limits are the support and resistance prices. This information is most important to the initiative trader, one who trades breakouts. If there are several time frames in balance, then the shorter will break out first, followed by the longer, which has wider limits.

Balance limits locate the tops and bottoms for the responsive trader, who sells highs and buys lows. Further, risk levels can be estimated by splitting the limit's range into quadrants, one-quarter from the top, the middle and one-quarter up from the bottom. If you have a balance you can find reasonable trading points whether you are an initiative trader, or responsive or both. What is missing from a market condition set-up described here is any specific information on the internal (between the limits) market situation. All trading points and risks come directly from the geometry of the balance.

Market Profile, Standard Method
Market profile reference points offer information on the internals of the market. Is the trading symmetrical, is volume increasing or decreasing, is the initial balance stable, is the value area changing, etc? Reference points are defined and discussed in the CBOT Market Profile manuals of 1985 and 1991 (Ref 2, 4) and a few other sources such as Mind Over Markets (Ref 5). Those studies tend to focus on the latest day: the initial balance was wide, value area is steady, there was no range extension on the upside, TPO count was smaller above the POC, etc. Pattern recognition of 'Day Types' started the analysis, which ended with a holistic understanding of how the parts all fit together. These data were used to make market set-ups for the next day.

Many traders use parts of profile modeling found in references 2, 4 and 5. Few seem to understand that there are rules covering profile analysis. In part, this may be a result of teaching profile analysis by example. It is counterintuitive to expect to see a problem set example that demonstrates failure. After all, examples are designed to show how a process works, not how it fails. In a complex arena like trading, the existence of some failure is a foregone conclusion. One general rule is that there must be enough trading, liquidity, in the market. How much is enough? There is no exact number, but a market with less that 200 ticks per day is suspect. There must be movement, a market sitting at one price all day gives no information. Another rule applies to a market's condition: balanced markets offer much, much more information than those not in balance. Lastly, a rule in science is that a theory, a proposition, must stand up to independent testing. Value Analytics employs these rules. A set of rules and conditions is listed below. A Value Analytics game permits anyone to test the methodology.
Getting Started with the Value Analytics Trading Game


Market Profile Reference Points, Conditions and Rules
1) Market condition is found from the Overlay Demand Curve (Ref 1).
not the one-day LDB methodology of the CBOT Market Profile (Ref 2).
2) Value area comes from the meta-profile TPOs (Ref 3, 3a),
not from cleared volume as in the Market Profile (Ref 2).
3) Day types are not identified. Pattern recognition is little used in Value Analytics.
4) No attempt is made to differentiate between long time-frame and short time-frame traders.
5) Analysis starts from market condition, not with a profile display.
6) Reference points are used as flow variables, not as single day numerics.
7) The market must be free, not controlled by one or a few players.
8) Valid data is assumed: e.g. there must be adequate volume and volatility as well as proper balance.
Preparation
Contrary to normal profile procedure, Value Analytics starts with Market Condition as the framework within which all trading takes place. Profile analysis and reference points play a subsidiary, but often important role, describing the infrastructure of the market, the internal details that identify market flow and market bias. The market is treated as a continuum, a flow through time. Profile variables are analyzed for their change over time. That change can show directionality and market bias, something much harder to do with the absolute numbers used in standard 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, 5). Quantized profile data can stand alone. The typical profile trader may well appreciate 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.

Although the positive aspects of Value Analytics analysis are most important in developing trade set-ups, negative information is nearly as important. Item 7 above, on limitations, can be illustrated in the calculation of value area. This reference point is the most widely used and probably most abused of all. A valid value area determination is only possible in a balanced market. That is because the value area is centered about the most actively traded price, the point of control (POC). A trend will usually not have a valid POC, as value is continually changing. Trading on an invalid reference point is worse than flipping a coin. A bad value area may actually point you in the wrong direction.


A Value Analytics Market Set-up
For the test, select the DJ, Sep 2007, September 6. Market condition will come from the last five days Overlay (Ref 1), Figure 1 in the Appendix. From figure 1, the balance limits are 134450 - 132350 as can best be seen from the compressed Overlay. CISCO maintains balance histories on a number of futures. Figure 2 in the Appendix is a sample set for DJ for the Sep 2007 delivery. Table 1 covers the period of the test for the 5 Day Overlay.

 Dte Ov  F  Dl  Yr        ULIM    LLIM     CLO    $RNG   U-OCT     MID   L-OCT 
0823 05 DJ   9   7   S  133200  130000  132610    3200  132800  131600  130400      

0830 05 DJ   9   7   L  134100  132000  132790    2100  133838  133050  132262       
0831 05 DJ   9   7   S  134400  132100  133640    2300  134113  133250  132387      
0904 05 DJ   9   7   S  134400  132100  133640    2300  134113  133250  132387      
0905 05 DJ   9   7   S  134400  132300  133430    2100  134138  133350  132562       
0906 05 DJ   9   7   S  134400  132300  133780    2100  134138  133350  132562       

0911 05 DJ   9   7   S  134000  130700  133210    3300  133588  132350  131112       
0912 05 DJ   9   7   S  134000  130700  133300    3300  133588  132350  131112       

Table 1. Table of Balances

The upper and lower limits for Sep 6 are 134400 - 132300, more exact than the
compressed data of Figure 1.

From the balances it is possible to mark out trading points/regions.

                                     Above 134400 Initiative long region

  Upper Limit: Breakout alert:    134400

                                      Responsive short alert region

    Upper Octant                    134140

                                       Responsive short region below 134140

      Middle                          133350

                                       Responsive long region above 132560

    Lower Octant                    132560

                                      Responsive long alert region

  Lower Limit: Breakout alert     132300

                                     Below 132300 Initiative short region



Identifying the Market Condition Trading Regions
Upper Limit: ULIM: Octant may be used for risk control .... Above ULIM is the initiative (long) trading (breakout) region .... Below ULIM and above Middle is for responsive shorting

Lower Limit: LLIM: Octant may be used for risk control .... Below LLIM is the initiative (short) trading (breakout) region .... Above LLIM and below Middle is for responsive buying

This is a preliminary set-up based entirely on units set by the market itself. If longer time-frames are in balance, as they are (see Market Condition Balances in the Appendix), then you may have a series of breakout levels and a series of responsive trading points. For simplicity, we stick with only the 5 Day balance here.

Analysis of Reference Points
At end-of-day, Value Analytics creates a set of approximately 30 reference points for each of the past three days. In most cases only about half are required to understand what the market internal directionality and bias might be. The full VA table is in figure 3 of the Appendix. Table 2 contains the set used in this analysis.

Table 2. Profile reference points (abbreviated) from Value Analytics: EOD Sep 6, 2007

  Value-Analytics Market Condition Report:     Copyright CISCO 2007  #Ticks/Iertk      0   2
                           Value Trading, A Page of Clues                         
                               DJ  07 09  07:20 15:15   
  
                      20070904         20070905         20070906
 2. META-PROFILE ANALYSES.....
 2a.General...........
Price: Hi - Lo    135180  133300   134000  132680   134170  132950
Pri: Fst - Lst    133350  134600   133900  133450   133300  133750
# Price Lines          107               92               85
# TPOs - Total         246              404              397
# TICKS                325              459              338
Td Facil Factor       2.30             4.39             4.67
VTY: 30 Min Bar        239              338              306
  
 2b. Initial Balance...........
IB Range                 9               14               21
IB Rng % of Day          8               15               24
IB TPOs Abv/Blo     224     0          9   350        274    38
  
 2c. Meta-Profile...........
VA Range                63               44               40
VA POC               134100           133200           133790
VA TPOs Upper          151              182              134
VA TPOs Lower           63              205              246
  
 2d. Tails..........
Tail Upper #Pri          6                1                2
Tail Lower #Pri          1                3                4
  
 2e. Range Extension.........
Rg Extension Up   133500  133490   133970  133930   134110  133620
Rg Extension Dn        0       0        0       0   133290  133030
  
 2f. Attempted Direction (Balanced Market).........
AD: POC                 --               DN               UP
AD: Rotn Fac            16                2                3
  
Table 2. Profile reference points (abbreviated) from Value Analytics: EOD Sep 6, 2007



Profile Reference Points Internal Market Information
.... There are over 30 reference points in the Report Table in the Appendix: We selected the ones below; you could use others as well. In fact, you are encouraged refer to the CBOT Profile Manual, 1991 to review the reference points.
Here is our read on the market internals.

.... 1) Price lines: number decreasing (107, 92, 85): Market activity decreasing
.... 2) TPOs count: increasing (246, 404, 307): Market activity increasing
.... 3) Ticks count: about flat (325, 459, 338): Market activity no call
.... 4) Trade Facilitation: increasing, market allowing less trading
.... 5) Volatility increasing (239, 338, 306): market opportunity increasing
.... 6) Initial Balance range increasing: more control in professional hands
.... 7) Initial Balance % increasing: confirms more control in professional hands
.... 8) Initial Balance TPOs below is large: Directional down
.... 9) Value Area range narrow: stabilizing activity
.... 10) Point of Control is stable: little movement in value
.... 11) TPOs are unbalanced to the bottom: expect more trading above POC
.... 12) Tails above and below boths show completed auctions: argues for continued balance
.... 13) Range Extension both up and down: confirms balance
.... 14) Attempted direction, both up: argues for directional up market

Summing up the Reference Points
Votes for a quieter market: 9 (1, 3, 4, 6, 7, 9, 10, 12, 13)
Votes for more activity: 2 (2, 5)
Votes for directional up: 2 (11, 14)
Votes for directional down: 1 (8)

The reference points show little directionality; mostly a quiet market. A pure profile trader would have little set-up material since the reference points are rather non-committal.

A Value Analytics trader also has little guidance from the profile reference points in this case; but still has quite a lot of information from the market condition trading points.


Trading the Market of September 7

Figure 4 in the Appendix is a listing of two minute tick bars for DJ Sep 7. Table 3 is a truncated version of the day, with trading points notated.
DJ DEL-MO/YR 09 07  MO/DY/YR 09 07 07
OPEN,CLOSE      133530      131580
HIGH,LOW        133550      131000

 7:24: 0   133550   133550   133450   133450        3
 7:28: 0        0        0        0        0        0  Middle
 7:30: 0   132950   132950   132950   132950        1

---------------------------------------------------

 7:41:59   132800   132800   132600   132650        8
 7:43:59   132600   132650   132550   132650        4  Alert for Responsive long 132560
 7:46: 0   132600   132650   132600   132650        2    Trigger activate at 132300
 7:48: 0   132750   132750   132750   132750        1
 8:30: 0   132500   132500   132500   132500        1
 8:32: 0   132480   132480   132180   132220        8  Alert for Initiave short
 8:33:59   132230   132230   132150   132200        4    Enter at 132040 (1 Octant)
 8:36: 0   132280   132300   132250   132300        5    Enter Responsive long at 132560
 8:37:59   132250   132250   132150   132200        3

---------------------------------------------------

 9:27:59   132120   132200   132120   132200        5
 9:30: 0   132050   132050   132030   132030        2  Initiave short 132040 entry
 9:32: 0   131920   131920   131920   131920        1    LLIM - Octant (260)
 9:33:59   131880   131900   131750   131750       10    Stop 132300
 9:36: 0   131850   131880   131850   131850        3

---------------------------------------------------

14:37:59   131200   131200   131130   131150        4
14:40: 0   131000   131050   131000   131050        2  Low 131000
14:41:59   131000   131200   131000   131200        2    Potential 132040 - 131000 +1040
14:44: 0   131230   131230   131230   131230        1

---------------------------------------------------

15:14: 0   131600   131650   131580   131650        9  Exit short 131650 (close)
                                                         In 132040  +390

Table 3. Trading Points for DJ Sep 7
LENGTH OF FIRST PERIOD =           10 MINS

                 META-PROFILE REPORT FOR 09 06 07
                      AND SEGMENTED AUCTION

COMMODITY  --  DJIA (CBOT)  DAY      SEP 07


  Price TPOs                 Segmented Auction
 134170 G                                         G                        
 134150 G                                         G                        
 134100 GH                                        G  H                     
 134050 GH                                        G  H                     
 134000 FGHM                                   F  G  H |           |M |  | 
 133950 FGHIM                                  F  G  H |I |  |  |  |M |  | 
 133900 FGHIKMN                                F  G  H |I |  |K |  |M |N | 
 133850 FGHIJKLMN                              F  G |H |I |J |K |L |M |N | 
 133800 AFGHIJKLMNO             A              F  G |H |I |J |K |L |M |N |O
 133750 ABFIJKLMNO              A  B           F |  |  |I |J |K |L |M |N |O
 133700 ABFIJKLMN              |A |B |        |F |  |  |I |J |K |L |M |N | 
 133650 ABEIJN                 |A |B |  |  |E |  |  |  |I |J |  |  |  |N | 
 133600 zABEJ                z |A |B |  |  |E |  >  >  |  |J |  |  |  |  | 
 133550 zABE                |z |A |B |  |  |E |  |  |  |  |  |  |  |  |  | 
 133500 zABE                |z |A |B >  |  |E |  |  |  |  |  |  |  |       
 133450 zBE                 |z |  |B |  |  |E |  |  |  |  |  |  |          
 133400 yBDE              y |  |  |B |  >D >E |  |  |  |  |  |  |          
 133350 yBDE             >y |  |  |B |  |D |E |  |  |  |                   
 133300 yBDE              y        B    |D |E |  |  |                      
 133250 BCDE                       B  C |D |E |  |  |                      
 133200 CDE                           C |D |E |  |  |                      
 133150 CD                            C |D    |  |  |                      
 133100 CD                            C  D                                 
 133050 CD                            C  D                                 
 133000 C                             C                                    
 132950 C                             C                                    



LENGTH OF FIRST PERIOD =           10 MINS

                 META-PROFILE* REPORT FOR 09 07 07
                       AND SEGMENTED AUCTION

COMMODITY  --  DJIA (CBOT)  DAY      SEP 07


   Price  Brackets               Segmented Auction
 133550 y                |y                |                               
 133530 y                >y                |                               
 133500 y                |y                |                               
 133450 y                 y                |                               
 133100 z                   |z             |                               
 133050 z                   |z             |                               
 133030 z                   |z             |                               
 133000 z                   |z             |                               
 132950 z                   |z             |                               
 132910 z                   |z             |                               
 132900 z                   |z    |        |                               
 132850 z                   |z    |     |  |                               
 132830 z                   |z    |     |  |                               
 132810 z                   >z |  |     |  |                               
 132800 z                   |z |  |     |  |                               
 132780 z                   |z |  |     |  |                               
 132770 z                   |z |  |     |  |                               
 132750 z                   |z |  |     |  |                               
 132720 z                   |z |  |     |  |                               
 132700 zA                  |z >A |  |  |  |                               
 132680 zA                  |z |A |  |  |  |                               
 132660 zA                  |z |A |  |  |  |                               
 132650 zA                   z |A |  |  |  |                               
 132620 zA                   z |A |  |  |  |                               
 132600 zA                   z |A >  |  |  |                               
 132580 zA                   z |A |  |  |  |                               
 132550 zAC                  z |A |  >C |  |                               
 132530 AC                     |A |  |C |  |                               
 132510 AC                     |A |  |C |  |                               
 132500 ABC                    |A |B |C |  |                               
 132480 ABC                    |A |B |C |  |                               
 132450 ABC                    |A |B |C |  |                               
 132400 ABC                    |A |B |C >  >  
 132380 BC                        |B |C |  |                               
 132370 BC                        |B |C |  |                               
 132350 BC                        |B |C |  |                               
 132340 BC                        |B |C |  |                               
 132330 BC                        |B |C |  |  |                            
 132320 BC                        |B |C |  |  |        |  |                
 132300 BC                        |B |C |  |  |        |  |                
 132280 BC                         B |C |  |  |  |     |  |                
 132250 BC                         B |C |  |  |  |     |  |                
 132240 BC                         B |C |  |  |  |  |  |  |                
 132230 BC                         B |C |  |  |  |  |  |  |                
 132220 BC                         B |C |  |  |  |  |  |  |  |             
 132200 BC                         B |C |  |  |  |  |  |  |  |             
 132180 BC                         B |C |  |  |  |  |  |  |  |             
 132170 BC                         B |C |  |  |  |  |  |  |  |             
 132150 BCIJ                       B  C |  |  |  |  |  |I |J |  |          
 132140 CIJ                           C |  |  |  |  |  |I |J |  |  |       
 132130 CIJ                           C |  |  |  |  |  |I |J |  |  |       
 132120 CIJ                           C |  |  |  |  |  |I |J |  |  |  |    
 132100 CIJ                           C |  |  |  |  |  |I |J |  |  |  |  | 
 132080 CHIJ                          C |  |  |  |  |H |I |J |  |  |  |  | 
 132070 CHIJ                          C |  |  |  |  |H |I |J |  |  |  |  | 
 132050 CDHIJ                         C |D |  |  |  |H |I |J |  |  |  |  | 
 132030 DHIJ                            |D |  |  |  |H |I |J |  |  |  |  | 
 132020 DHIJ                            |D |  |  |  |H |I |J |  |  |  |  | 
 132000 DFHIJ                            D |  |F |  |H |I |J |  |  |  |  | 
 131980 DFHIJ                            D |  |F |  |H |I |J |  |  |  |  | 
 131960 DFHIJ                            D |  |F |  |H |I |J |  |  |  |  | 
 131950 DFGHIJ                           D |  |F |G >H >I >J >  |  |  |  | 
 131920 DFGHJ                            D |  |F |G |H |  |J |  |  |  |  | 
 131900 DFGHJ                            D |  |F |G |H |  |J |  |  |  |  | 
 131880 DFGHJ                            D |  |F |G |H |  |J |  |  |  |  | 
 131870 DFGHJ                            D |  |F |G |H |  |J |  |  |  |  | 
 131860 DFGHJ                            D |  |F |G |H |  |J |  |  |  |  | 
 131850 DFGHJ                            D |  |F |G |H |  |J |  |  |  |  | 
 131830 DFGHJ                            D |  |F |G |H |  |J |  |  |  |  | 
 131820 DFGHJ                            D    |F |G |H |  |J |  |  |  |  | 
 131800 DEFGJK                           D  E >F >G |  |  |J |K |  |  |  | 
 131780 DEFGJK                           D  E |F |G |  |  |J |K |  |  |  | 
 131770 DEFGJK                           D  E |F |G |  |  |J |K |  |  |  | 
 131760 DEFGJK                           D  E |F |G |  |  |J |K |  |  |  | 
 131750 DEFGJKL                          D  E |F |G |  |  |J |K >L >  >  | 
 131730 DEFGJKL                          D  E |F |G |  |  |J |K |L |  |  | 
 131720 DEFGJKL                          D  E |F |G |  |  |J |K |L |  |  | 
 131700 DEFGJKL                          D  E |F |G |  |  |J |K |L |  |  | 
 131690 DEFGJKL                          D  E |F |G |  |  |J |K |L |  |  | 
 131680 DEFGJKL                          D  E |F |G |  |  |J |K |L |  |  | 
 131670 DEFGJKL                          D  E |F |G |  |  |J |K |L |  |  | 
 131660 DEFGJKLO                         D  E |F |G |  |  |J |K |L |  |  >O  Value Area Calc
 131650 DEFGJKLO                         D  E |F |G |  |  |J |K |L |  |  |O
 131630 EFKLO                               E |F |  |  |  |  |K |L |  |  |O
 131620 EFKLO                               E |F |  |  |  |  |K |L |  |  |O
 131610 EFKLO                               E |F |  |  |  |  |K |L |  |  |O
 131600 EFKLO                               E |F |  |  |  |  |K |L |  |  |O
 131580 EFKLO                               E |F |  |  |  |  |K |L |  |  |O
 131570 EFKLO                               E |F |  |  |  |  |K |L |  |  |O
 131560 EFKLO                               E |F |  |  |  |  |K |L |  |  |O
 131550 EFKLMO                              E |F |  |  |  |  |K |L |M |  |O
 131540 EFLMO                               E |F |  |  |  |  |  |L |M |  |O
 131530 EFLMO                               E |F |  |  |     |  |L |M |  |O
 131520 EFLMNO                              E |F |  |  |     |  |L |M |N |O
 131500 EFLMNO                              E |F |  |  |        |L |M |N |O
 131480 EFLMNO                              E |F |  |  |        |L |M |N |O
 131470 EFLMNO                              E |F |  |  |        |L |M |N |O
 131450 EFLMNO                              E |F |  |           |L |M |N |O
 131430 EFLMNO                              E |F |  |           |L |M |N |O
 131420 EFLMNO                              E |F |  |            L |M |N |O
 131410 EFLMNO                              E |F |  |            L |M |N |O
 131400 FLMNO                                 |F |  |            L |M |N |O
 131380 FLMNO                                 |F |  |            L |M |N |O
 131370 FLMNO                                 |F |  |            L |M |N |O
 131360 FLMNO                                 |F |  |            L  M |N |O
 131350 FLMNO                                 |F |               L  M |N |O
 131320 LMN                                                      L  M |N | 
 131300 LMN                                                      L  M |N   
 131280 LMN                                                      L  M  N   
 131250 LMN                                                      L  M  N   
 131230 LMN                                                      L  M  N   
 131200 LMN                                                      L  M  N   
 131180 MN                                                          M  N   
 131150 MN                                                          M  N   
 131130 MN                                                          M  N   
 131120 MN                                                          M  N   
 131110 MN                                                          M  N   
 131100 MN                                                          M  N   
 131080 MN                                                          M  N   
 131050 MN                                                          M  N   
 131000 N                                                              N   

Value Calculations

TPO Analysis

CENTER      131660

VALUE AREA FROM TPOS
 UPPER      132100
 LOWER      131320

TPOS UPPER     234
TPOS LOWER     166

TPO TOTAL      428
TICKS (STEPS)  121
TF FACTOR      3.5




DJ DEL-MO/YR 09 07  MO/DY/YR 09 07 07
OPEN,CLOSE      133530      131580
HIGH,LOW        133550      131000
 7:20: 0   133530   133530   133500   133530        3
 7:22: 0   133500   133500   133500   133500        1
 7:24: 0   133550   133550   133450   133450        3
 7:26: 0   133500   133550   133500   133550        2
 7:28: 0        0        0        0        0        0
 7:30: 0   132950   132950   132950   132950        1
 7:31:59   133000   133100   133000   133100        3
 7:33:59   133030   133030   133030   133030        1
 7:35:59   132950   133000   132900   132900        4
 7:37:59   132910   132950   132900   132950        4
 7:39:59   132900   132900   132800   132850        6
 7:41:59   132800   132800   132600   132650        8
 7:43:59   132600   132650   132550   132650        4
 7:46: 0   132600   132650   132600   132650        2
 7:48: 0   132750   132750   132750   132750        1
 7:50: 0   132700   132700   132700   132700        1
 7:52: 0   132750   132750   132750   132750        1
 7:54: 0   132660   132660   132600   132600        2
 7:56: 0   132700   132700   132700   132700        1
 7:58: 0        0        0        0        0        0
 8: 0: 0   132600   132600   132550   132550        2
 8: 2: 0   132600   132620   132600   132620        2
 8: 3:59   132650   132700   132650   132700        2
 8: 6: 0        0        0        0        0        0
 8: 7:59   132680   132680   132650   132650        2
 8:10: 0        0        0        0        0        0
 8:11:59   132510   132510   132400   132400        6
 8:14: 0   132450   132500   132400   132500        4
 8:15:59   132530   132530   132530   132530        1
 8:18: 0   132450   132450   132400   132450        3
 8:19:59   132500   132580   132500   132550        3
 8:22: 0   132500   132550   132500   132500        4
 8:23:59        0        0        0        0        0
 8:26: 0   132450   132450   132450   132450        1
 8:27:59   132500   132550   132500   132530        4
 8:30: 0   132500   132500   132500   132500        1
 8:32: 0   132480   132480   132180   132220        8
 8:33:59   132230   132230   132150   132200        4
 8:36: 0   132280   132300   132250   132300        5
 8:37:59   132250   132250   132150   132200        3
 8:40: 0   132250   132250   132180   132180        2
 8:41:59   132200   132300   132200   132300        3
 8:44: 0   132380   132500   132350   132370        5
 8:45:59   132400   132400   132300   132400        5
 8:48: 0   132350   132350   132300   132300        2
 8:49:59   132450   132450   132400   132400        2
 8:52: 0   132350   132400   132350   132400        2
 8:53:59        0        0        0        0        0
 8:56: 0   132450   132450   132450   132450        1
 8:57:59   132400   132400   132400   132400        1
 9: 0: 0   132350   132450   132350   132450        3
 9: 2: 0   132400   132400   132330   132400        5
 9: 3:59   132450   132550   132450   132500        4
 9: 6: 0   132450   132500   132450   132450        3
 9: 7:59   132400   132400   132320   132320        3
 9:10: 0        0        0        0        0        0
 9:11:59   132180   132180   132120   132120        4
 9:14: 0   132100   132150   132100   132120        4
 9:15:59   132070   132150   132050   132150        6
 9:18: 0   132100   132150   132100   132150        3
 9:19:59   132220   132220   132220   132220        1
 9:22: 0   132240   132240   132130   132130        2
 9:23:59   132100   132220   132100   132220        6
 9:26: 0   132200   132200   132100   132100        3
 9:27:59   132120   132200   132120   132200        5
 9:30: 0   132050   132050   132030   132030        2
 9:32: 0   131920   131920   131920   131920        1
 9:33:59   131880   131900   131750   131750       10
 9:36: 0   131850   131880   131850   131850        3
 9:37:59   131880   131900   131820   131850        4
 9:40: 0        0        0        0        0        0
 9:41:59   131900   131900   131800   131800        2
 9:44: 0   131850   131900   131850   131900        2
 9:45:59   131850   131850   131850   131850        1
 9:48: 0   131830   131830   131800   131800        2
 9:49:59   131680   131700   131680   131700        2
 9:52: 0   131750   131750   131650   131700        3
 9:53:59   131650   131700   131650   131700        3
 9:56: 0   131750   131750   131750   131750        1
 9:57:59        0        0        0        0        0
10: 0: 0   131730   131730   131730   131730        1
10: 2: 0   131800   131800   131720   131720        3
10: 3:59   131780   131800   131780   131800        2
10: 6: 0        0        0        0        0        0
10: 7:59   131750   131750   131720   131750        3
10:10: 0        0        0        0        0        0
10:11:59   131600   131630   131570   131600        6
10:14: 0   131550   131550   131530   131550        3
10:15:59   131600   131600   131600   131600        1
10:18: 0   131550   131550   131520   131520        2
10:19:59   131550   131600   131550   131600        2
10:22: 0   131500   131500   131450   131450        7
10:23:59   131500   131500   131500   131500        1
10:26: 0   131430   131430   131430   131430        1
10:27:59   131410   131410   131410   131410        1
10:30: 0   131350   131480   131350   131480        4
10:32: 0   131500   131500   131500   131500        1
10:33:59   131450   131600   131450   131600        3
10:36: 0        0        0        0        0        0
10:37:59        0        0        0        0        0
10:40: 0   131650   131700   131650   131700        2
10:41:59   131600   131650   131600   131650        2
10:44: 0   131700   131700   131700   131700        1
10:45:59   131750   131750   131750   131750        1
10:48: 0   131830   131830   131800   131800        2
10:49:59   131850   131900   131800   131800        5
10:52: 0        0        0        0        0        0
10:53:59   131750   131800   131750   131800        2
10:56: 0        0        0        0        0        0
10:57:59   132000   132000   131920   131920        3
11: 0: 0   131950   131950   131850   131850        5
11: 2: 0        0        0        0        0        0
11: 3:59   131800   131800   131750   131750        2
11: 6: 0        0        0        0        0        0
11: 7:59   131800   131800   131800   131800        1
11:10: 0        0        0        0        0        0
11:11:59   131750   131750   131750   131750        1
11:14: 0   131730   131750   131730   131750        2
11:15:59        0        0        0        0        0
11:18: 0   131700   131700   131700   131700        1
11:19:59   131670   131670   131650   131660        3
11:22: 0   131700   131750   131700   131750        2
11:23:59   131700   131800   131700   131800        5
11:26: 0        0        0        0        0        0
11:27:59   131900   131900   131900   131900        1
11:30: 0   132000   132000   132000   132000        1
11:32: 0   131980   132050   131950   132050        6
11:33:59   132080   132080   132050   132050        2
11:36: 0        0        0        0        0        0
11:37:59   131950   132020   131950   132020        3
11:40: 0   132050   132050   132050   132050        1
11:41:59   131950   131950   131950   131950        1
11:44: 0   131900   131900   131900   131900        1
11:45:59   131850   131900   131850   131900        2
11:48: 0        0        0        0        0        0
11:49:59   131880   131900   131880   131900        2
11:52: 0   131850   131900   131850   131900        2
11:53:59   131820   131820   131820   131820        1
11:56: 0   131850   131900   131850   131900        2
11:57:59   131950   131950   131950   131950        1
12: 0: 0   132000   132000   132000   132000        1
12: 2: 0        0        0        0        0        0
12: 3:59        0        0        0        0        0
12: 6: 0   131950   132050   131950   132050        2
12: 7:59        0        0        0        0        0
12:10: 0   132150   132150   132150   132150        1
12:11:59   132100   132120   132100   132120        2
12:14: 0   132150   132150   132150   132150        1
12:15:59   132100   132100   132100   132100        1
12:18: 0        0        0        0        0        0
12:19:59        0        0        0        0        0
12:22: 0   132000   132000   132000   132000        1
12:23:59   131950   132000   131950   132000        2
12:26: 0        0        0        0        0        0
12:27:59   132050   132050   132050   132050        1
12:30: 0   132150   132150   132150   132150        1
12:32: 0        0        0        0        0        0
12:33:59   132100   132100   132100   132100        1
12:36: 0   132050   132050   132000   132000        2
12:37:59   131950   131950   131860   131900        3
12:40: 0   131950   131950   131850   131850        4
12:41:59   131800   131800   131760   131760        2
12:44: 0   131780   131780   131650   131650        4
12:45:59   131690   131720   131650   131720        6
12:48: 0   131750   131750   131750   131750        1
12:49:59        0        0        0        0        0
12:52: 0        0        0        0        0        0
12:53:59        0        0        0        0        0
12:56: 0        0        0        0        0        0
12:57:59   131700   131700   131650   131650        2
13: 0: 0   131550   131600   131550   131600        2
13: 2: 0   131650   131660   131550   131600        6
13: 3:59   131550   131650   131550   131650        3
13: 6: 0        0        0        0        0        0
13: 7:59        0        0        0        0        0
13:10: 0   131600   131610   131550   131580        5
13:11:59   131550   131700   131550   131700        4
13:14: 0   131780   131800   131780   131800        2
13:15:59   131780   131780   131750   131750        2
13:18: 0   131800   131800   131800   131800        1
13:19:59        0        0        0        0        0
13:22: 0   131700   131700   131700   131700        1
13:23:59        0        0        0        0        0
13:26: 0   131650   131680   131650   131680        2
13:27:59        0        0        0        0        0
13:30: 0   131700   131700   131650   131650        4
13:32: 0   131600   131600   131600   131600        1
13:33:59   131670   131670   131670   131670        1
13:36: 0   131700   131700   131700   131700        1
13:37:59   131680   131750   131680   131750        3
13:40: 0        0        0        0        0        0
13:41:59        0        0        0        0        0
13:44: 0        0        0        0        0        0
13:45:59   131700   131700   131620   131650        4
13:48: 0   131600   131600   131600   131600        1
13:49:59   131550   131550   131550   131550        1
13:52: 0   131450   131450   131450   131450        1
13:53:59   131430   131430   131400   131400        2
13:56: 0   131370   131370   131350   131350        3
13:57:59   131250   131250   131200   131230        3
14: 0: 0   131250   131400   131250   131400        7
14: 2: 0   131450   131450   131400   131400        2
14: 3:59   131450   131450   131450   131450        1
14: 6: 0   131500   131500   131500   131500        1
14: 7:59   131450   131450   131450   131450        1
14:10: 0   131400   131400   131380   131400        3
14:11:59   131420   131500   131420   131500        4
14:14: 0        0        0        0        0        0
14:15:59   131480   131480   131480   131480        1
14:18: 0   131500   131550   131500   131500        4
14:19:59   131450   131450   131400   131400        2
14:22: 0   131370   131370   131320   131320        2
14:23:59   131200   131280   131180   131250        6
14:26: 0   131200   131200   131080   131080        4
14:27:59   131050   131200   131050   131150        6
14:30: 0   131200   131300   131200   131250        4
14:32: 0   131200   131200   131150   131150        2
14:33:59   131110   131200   131100   131200        5
14:36: 0   131250   131250   131230   131230        2
14:37:59   131200   131200   131130   131150        4
14:40: 0   131000   131050   131000   131050        2
14:41:59   131000   131200   131000   131200        2
14:44: 0   131230   131230   131230   131230        1
14:45:59   131150   131200   131150   131200        2
14:48: 0   131300   131350   131300   131300        5
14:49:59   131350   131350   131250   131250        3
14:52: 0   131300   131470   131300   131470        5
14:53:59   131520   131520   131450   131500        6
14:56: 0   131400   131400   131350   131400        5
14:57:59   131320   131320   131300   131300        2
15: 0: 0   131400   131500   131400   131400        6
15: 2: 0   131350   131350   131350   131350        1
15: 3:59        0        0        0        0        0
15: 6: 0   131400   131530   131400   131530        5
15: 7:59   131500   131550   131500   131550        4
15:10: 0        0        0        0        0        0
15:11:59        0        0        0        0        0
15:14: 0   131600   131650   131580   131650        9
  





References

1. Overlay Detection of Long Term Market Condition, Donald L. Jones, Profile Report, Oct 12, 1988

2. CBOT Market Profile Manual 1985  CBOT Market Profile 1985, Key Words

3. Determining the TPO Value Area, Don Jones, The Alumni Letter, Market Logic School, V1, #3 Ap 13, 1987

3a. Estimating the Market Profile Value Area for Intraday Trading, Donald L. Jones, Technical Analysis, Sep 1987

4. CBOT Market Profile Manual 1991 Download from CMEGroup: Note: Large Book: Wait for Download.
   CBOT Mkt Prof 1991

4a. CBOT Market Profile Manual 1991 Key Words  
    CBOT Market Profile 1991, Key Words

5. Mind Over Markets, Dalton,J., Jones,E., Dalton,R., 1990

6. The Market Unit, Jones, D.L., Mar 17, 2005 CISCO References Page  The Market Unit



Appendix

Figure 1: Five days of profiles and Overlay: DJ Sep 07, Aug 30 - Sep 6


                         META-PROFILE GRAPHIC

              The CISCO five day Market Profile display

DJIA (CBOT)  DAY       SEP 07   First date:  8 30  7   Last date:  9  6  7

        30             31              4              5              6
135150                             M                                         
135100                             M                                         
135050                             M                                         
135000                             M                                         
134950                             M                                         
134900                             LM                                        
134850                             LM                                        
134800                             LMN                                       
134750                             LMN                                       
134700                             LMN                                       
134650                             KLN                                       
134600                             KN                                        
134550                             KN                                        
134500               G             K                                         
134450               GM            JK                                        
134400               GHM           IJK                                       
134350               GHLM          HIJ                                       
134300               GHLM          EHIJ                                      
134250               GHIJLM        CEHI                                      
134200               GHIJKLMN      CDEH                                      
134150               GHIJKLMN      CDEFGH                      FG            
134100               GIJKLN        CDFGH                       FG            
134050               BFIJKLN       CFGH                        FG            
134000               zBFJKLN       CFG           A             FGL           
133950               yzABFJLN      CG            yzA           EFGHL         
133900               yzABFN        BC            yzAB          EFGHJKLM      
133850               yzABEFN       BC            yzAB          EFGHIJKLMN    
133800               yABEFN        ABC           yzAB          zEFGHIJKLMN   
133750               yABCEN        ABC           yAB           zAEHIJKLMN    
133700               yABCDEN       AB            AB            zAEHIJLM      
133650               BCDEN         AB            B             zAEHIM        
133600               BCDEN         A             B             yzAEI         
133550               BCDEN         A             BH            yzAE          
133500               BCDEN         yzA           BHN           yzAE          
133450 E             BCDEN         yzA           BHN           yABE          
133400 E             BCDE          yzA           BHMN          yABD          
133350 EFH           BCDE          y             BHIMN         yABCD         
133300 EFHJ          B             y             BCDGHIJLMN    yBCD          
133250 EFHJ          B                           BCDGHIJLMN    BCD           
133200 DEFHIJ        B                           BCDGHIJLMN    BCD           
133150 DEFGHIJ                                   BCDFGIJLMN    BC            
133100 DFGHIJ                                    BDFGIJLM      BC            
133050 DFGIJM                                    BDFJLM        BC            
133000 DFGIJM                                    DEFJKLM       BC            
132950 DFGIJM                                    DEFJKLM       C             
132900 BDFGJKM                                   DEFJKL                      
132850 BDGJKMN                                   EFKL                        
132800 BCDGKLMN                                  EKL                         
132750 BCDGKLMN                                  EKL                         
132700 yBCDGKLMN                                 K                           
132650 yzBCGKLMN                                                             
132600 yzBCGKLMN                                                             
132550 yzBCGKLMN                                                             
132500 yzBGKL                                                                
132450 zABKL                                                                 
132400 zABKL                                                                 
132350 zABKL                                                                 
132300 zAL                                                                   
132250 zA                                                                    
132200 zA                                                                    
132150 A                                                                     
132100 A                                                                     
132050 A                                                                     



FIVE DAY OVERLAY

    PRICE       HITS       1=NEAR DAY, 2=NEXT BK,...
   135150          4   1 3
   135100          8   1 3
   135050          6   1 3
   135000          3   1 3
   134950          4   1 3
   134900          8   2 33
   134850          8   2 33
   134800         11   3 333
   134750         11   3 333
   134700         16   3 333
   134650         15   3 333
   134600          6   2 33
   134550         15   2 33
   134500         18   2 34
   134450         21   4 3344  <== Upper Limit
   134400         27   6 333444
   134350         39   7 3334444
   134300         31   8 33334444
   134250         26  10 3333444444
   134200         34  12 333344444444
   134150         43  16 1133333344444444
   134100         50  13 1133333444444
   134050         46  13 1133334444444
   134000         37  14 11123334444444
   133950         50  18 111112223344444444
   133900         74  20 11111111222233444444
   133850         76  23 11111111112222334444444
   133800         83  24 111111111112222333444444
   133750         74  22 1111111111222333444444
   133700         61  19 1111111122334444444
   133650         35  14 11111123344444
   133600         29  12 111112344444
   133550         26  12 111122344444
   133500         43  15 111122233344444
   133450         46  16 1111222333444445
   133400         48  16 1111222233344445
   133350         51  18 111112222234444555
   133300         60  20 11112222222222345555
   133250         56  18 111222222222245555
   133200         71  20 11122222222224555555
   133150         62  19 1122222222225555555
   133100         56  16 1122222222555555
   133050         36  14 11222222555555
   133000         41  15 112222222555555
   132950         52  14 12222222555555
   132900         48  13 2222225555555
   132850         38  11 22225555555
   132800         43  11 22255555555
   132750         42  11 22255555555
   132700         51  10 2555555555
   132650         53   9 555555555
   132600         34   9 555555555
   132550         31   9 555555555
   132500         25   6 555555
   132450         11   5 55555
   132400         25   5 55555
   132350         13   5 55555
   132300         10   3 555  <== Lower Limit
   132250         12   2 55
   132200         10   2 55
   132150          5   1 5
   132100          4   1 5
   132050          1   1 5

Figure 1.

Figure 2. Sample Balances for DJ Sep 2007: 5, 10, 15, 20 Days

Balances: DJ Sep 2007

 5 Day
 Dte Ov  F  Dl  Yr        ULIM    LLIM     CLO    $RNG   U-OCT     MID   L-OCT Tst
0612 05 DJ   9   7   L  136300  133800  134210    2500  135988  135050  134112       
0613 05 DJ   9   7   S  136050  133800  136050    2250  135769  134925  134081 T     

0627 05 DJ   9   7   S  136600  133650  135200    2950  136232  135125  134018 T     
0628 05 DJ   9   7   S  136200  133650  135170    2550  135882  134925  133968       
0629 05 DJ   9   7   S  135950  133650  135170    2300  135663  134800  133937 T     

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       
0803 05 DJ   9   7   L  135300  131900  132660    3400  134875  133600  132325 T     
0806 05 DJ   9   7   S  135300  131900  134710    3400  134875  133600  132325       
0807 05 DJ   9   7   S  135600  131900  135480    3700  135138  133750  132362 T     
0808 05 DJ   9   7   S  137100  132100  137050    5000  136475  134600  132725 T     
0809 05 DJ   9   7   L  137100  132100  133270    5000  136475  134600  132725       
0810 05 DJ   9   7   L  137100  131500  132370    5600  136400  134300  132200 T     
0813 05 DJ   9   7   L  137100  131500  132550    5600  136400  134300  132200       

0823 05 DJ   9   7   S  133200  130000  132610    3200  132800  131600  130400 T     

0830 05 DJ   9   7   L  134100  132000  132790    2100  133838  133050  132262       
0831 05 DJ   9   7   S  134400  132100  133640    2300  134113  133250  132387 T     
0904 05 DJ   9   7   S  134400  132100  133640    2300  134113  133250  132387 T     
0905 05 DJ   9   7   S  134400  132300  133430    2100  134138  133350  132562       
0906 05 DJ   9   7   S  134400  132300  133780    2100  134138  133350  132562       

0911 05 DJ   9   7   S  134000  130700  133210    3300  133588  132350  131112       
0912 05 DJ   9   7   S  134000  130700  133300    3300  133588  132350  131112       

10 Day
 Dte Ov  F  Dl  Yr        ULIM    LLIM     CLO    $RNG   U-OCT     MID   L-OCT Tst
0613 10 DJ   9   7   S  136300  133800  136050    2500  135988  135050  134112  * 6  

0621 10 DJ   9   7   S  138000  133850  136600    4150  137482  135925  134368       
0622 10 DJ   9   7   L  138000  134200  135060    3800  137525  136100  134675       
0625 10 DJ   9   7   L  138000  134150  134790    3850  137519  136075  134631 T     

0627 10 DJ   9   7   L  138000  133650  135200    4350  137457  135825  134193 T     
0628 10 DJ   9   7   L  136750  133650  135170    3100  136363  135200  134037  * 7  
0629 10 DJ   9   7   L  136750  133650  135170    3100  136363  135200  134037  * 8  
0702 10 DJ   9   7   S  136750  133650  136270    3100  136363  135200  134037  * 9  
0703 10 DJ   9   7   S  136800  133650  136650    3150  136407  135225  134043       
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  
0803 10 DJ   9   7   L  135800  131900  132660    3900  135313  133850  132387  * 7  
0806 10 DJ   9   7   S  135800  131900  134710    3900  135313  133850  132387  * 8  
0807 10 DJ   9   7   S  136500  131900  135480    4600  135925  134200  132475  * 9  
0808 10 DJ   9   7   S  137500  131900  137050    5600  136800  134700  132600       
0809 10 DJ   9   7   L  137100  131900  133270    5200  136450  134500  132550       
0810 10 DJ   9   7   L  137100  131500  132370    5600  136400  134300  132200 T     
0813 10 DJ   9   7   L  137100  131500  132550    5600  136400  134300  132200       

0830 10 DJ   9   7   S  134100  130000  132790    4100  133588  132050  130512  * 8  
0831 10 DJ   9   7   S  134400  130000  133640    4400  133850  132200  130550 T* 9  
0904 10 DJ   9   7   S  134400  130000  133640    4400  133850  132200  130550 T* 9  
0905 10 DJ   9   7   S  134400  131000  133430    3400  133975  132700  131425       
0906 10 DJ   9   7   S  134400  131100  133780    3300  133988  132750  131512       
0907 10 DJ   9   7   L  134400  131300  131660    3100  134013  132850  131687 T     
0910 10 DJ   9   7   L  134400  130700  131580    3700  133938  132550  131162 T     
0911 10 DJ   9   7   S  134400  130700  133210    3700  133938  132550  131162       
0912 10 DJ   9   7   S  134400  130700  133300    3700  133938  132550  131162       

15 Day
 Dte Ov  F  Dl  Yr        ULIM    LLIM     CLO    $RNG   U-OCT     MID   L-OCT Tst
0621 15 DJ   9   7   S  138000  134000  136600    4000  137500  136000  134500       
0622 15 DJ   9   7   L  138000  134000  135060    4000  137500  136000  134500       
0625 15 DJ   9   7   L  137900  134000  134790    3900  137413  135950  134487       
0626 15 DJ   9   7   L  137900  133950  133960    3950  137407  135925  134443       
0627 15 DJ   9   7   L  137900  133700  135200    4200  137375  135800  134225 T     
0628 15 DJ   9   7   L  137900  133750  135170    4150  137382  135825  134268       
0629 15 DJ   9   7   L  137900  133850  135170    4050  137394  135875  134356       
0702 15 DJ   9   7   S  137900  133850  136270    4050  137394  135875  134356       
0703 15 DJ   9   7   S  137900  133850  136650    4050  137394  135875  134356       
0705 15 DJ   9   7   S  137900  133850  136500    4050  137394  135875  134356       
0706 15 DJ   9   7   S  137900  133850  137080    4050  137394  135875  134356       
0709 15 DJ   9   7   S  137700  133850  137400    3850  137219  135775  134331       
0710 15 DJ   9   7   S  137700  133850  135850    3850  137219  135775  134331       
0711 15 DJ   9   7   S  137600  133850  136770    3750  137132  135725  134318       

0809 15 DJ   9   7   L  136700  132100  133270    4600  136125  134400  132675  *11  
0810 15 DJ   9   7   L  136700  131700  132370    5000  136075  134200  132325 T*12  
0813 15 DJ   9   7   L  136700  131700  132550    5000  136075  134200  132325  *13  

0905 15 DJ   9   7   S  134400  130000  133430    4400  133850  132200  130550  *11  
0906 15 DJ   9   7   S  134400  130000  133780    4400  133850  132200  130550  *12  
0907 15 DJ   9   7   L  134400  130000  131660    4400  133850  132200  130550  *13  
0910 15 DJ   9   7   L  134400  130100  131580    4300  133863  132250  130637  *14  
0911 15 DJ   9   7   S  134400  130100  133210    4300  133863  132250  130637       
0912 15 DJ   9   7   S  134400  130500  133300    3900  133913  132450  130987       

20 Day
 Dte Ov  F  Dl  Yr        ULIM    LLIM     CLO    $RNG   U-OCT     MID   L-OCT Tst
0621 20 DJ   9   7   S  138000  134000  136600    4000  137500  136000  134500       
0622 20 DJ   9   7   L  138000  134000  135060    4000  137500  136000  134500       
0625 20 DJ   9   7   L  138000  134000  134790    4000  137500  136000  134500       
0626 20 DJ   9   7   L  138000  133950  133960    4050  137494  135975  134456       
0627 20 DJ   9   7   L  138000  133700  135200    4300  137463  135850  134237 T     
0628 20 DJ   9   7   L  138000  133700  135170    4300  137463  135850  134237       
0629 20 DJ   9   7   L  138000  133700  135170    4300  137463  135850  134237       
0702 20 DJ   9   7   S  137900  133700  136270    4200  137375  135800  134225       
0703 20 DJ   9   7   S  137900  133700  136650    4200  137375  135800  134225       
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     

0912 20 DJ   9   7   S  134400  130000  133300    4400  133850  132200  130550  *16  

Figure 2. Sample Balances for DJ Sep 2007

Legend
  For a test date of Sep 9

   Dte:   Date          0906
   Ov:    Overlay       05 Day
   F:     Future        DJ
   Dl:    Delivery      09
   Yr:    Year          2007
   ULIM:  Upper Limit   134400
   LLIM:  Lower Limit   132300
   CLO:   Close         133780
   $RNG:  Dollar Range  2100
   U-OCT: Upper octant  134138 ==> 134140
   MID:   Middle        133350
   L-OCT: Lower Octant  132562 ==> 132560


Figure 3. Profile reference points from Value Analytics: EOD Sep 6, 2007

  Value-Analytics Market Condition Report:     Copyright CISCO 2007  #Ticks/Iertk      0   2
                           Value Trading, A Page of Clues                         
                               DJ  07 09  07:20 15:15   
  
                      20070904         20070905         20070906
  
 1. MARKET CONDITION: Balances...............
 1a. Overlay Limits.........            2 Days           3 Days
Lim3 Upr - Lwr         0       0   134000  133950   134810  134620
#Dist & Clos %R                         4      71        8      42
  
 1b. Overlay Limits: 5 Days.........
Lim5 Upr - Lwr         0       0   134400  132300   134400  132300
  
 1c. Overlay Limits: 10 Days.........
Lim10 Upr - Lwr        0       0   134400  131000   134400  131100
  
 2. META-PROFILE ANALYSES.....
 2a.General...........
Price: Hi - Lo    135180  133300   134000  132680   134170  132950
Pri: Fst - Lst    133350  134600   133900  133450   133300  133750
# Distributions          3                2                1
# Price Lines          107               92               85
# TPOs - Total         246              404              397
# TICKS                325              459              338
Td Facil Factor       2.30             4.39             4.67
VTY: 30 Min Bar        239              338              306
HI/LO % of High         78               78               78
  
 2b. Initial Balance...........
IB Pri: Hi - Lo   133480  133300   133920  133750   133600  133300
IB Loc: Hi - Lo      99   107          6    19         47    67
IB Range                 9               14               21
IB Rng % of Day          8               15               24
IB TPO Total            22               45               85
IB TPOs Abv/Blo     224     0          9   350        274    38
  
 2c. Meta-Profile...........
Price VAU - VAL   134850  133850   133430  132900   134000  133520
P-Loc VAU - VAL      17    79         32    75         13    52
VA Range                63               44               40
VA POC               134100           133200           133790
VA POC TPO-SYM   DEFGHI           CDGHJKMNO        AFGHIJKLMNO    
VA TPOs Upper          151              182              134
VA TPOs Lower           63              205              246
  
 2d. Tails..........
Tail Upper #Pri          6                1                2
Tail Lower #Pri          1                3                4
Tail Up Comment        Compl          InCompl            Compl 
Tail Dn Comment      InCompl            Compl            Compl 
  
 2e. Range Extension.........
Rg Extension Up   133500  133490   133970  133930   134110  133620
Rg Extension Dn        0       0        0       0   133290  133030
  
 2f. Attempted Direction (Balanced Market).........
AD: POC                 --               DN               UP
AD: Rotn Fac            16                2                3
  
Figure 3. Profile reference points from Value Analytics: EOD Sep 6, 2007
The layout includes both Market Condition (1a, 1b, 1c) and profile
reference points (2a - 2f). Detailed explanation is at:
http://www.cisco-futures.com/amva_explanation.html 

Figure 4. Two minute tick-bars for DJ Sep 7, 2007 DJ DEL-MO/YR 09 07 MO/DY/YR 09 07 07 OPEN,CLOSE 133530 131580 HIGH,LOW 133550 131000 7:20: 0 133530 133530 133500 133530 3 7:22: 0 133500 133500 133500 133500 1 7:24: 0 133550 133550 133450 133450 3 7:28: 0 0 0 0 0 0 Middle 7:30: 0 132950 132950 132950 132950 1 7:31:59 133000 133100 133000 133100 3 7:33:59 133030 133030 133030 133030 1 7:35:59 132950 133000 132900 132900 4 7:37:59 132910 132950 132900 132950 4 7:39:59 132900 132900 132800 132850 6 7:41:59 132800 132800 132600 132650 8 7:43:59 132600 132650 132550 132650 4 Alert for Responsive long 132560 7:46: 0 132600 132650 132600 132650 2 Trigger activate at 132300 7:48: 0 132750 132750 132750 132750 1 7:50: 0 132700 132700 132700 132700 1 7:52: 0 132750 132750 132750 132750 1 7:54: 0 132660 132660 132600 132600 2 7:56: 0 132700 132700 132700 132700 1 7:58: 0 0 0 0 0 0 8: 0: 0 132600 132600 132550 132550 2 8: 2: 0 132600 132620 132600 132620 2 8: 3:59 132650 132700 132650 132700 2 8: 6: 0 0 0 0 0 0 8: 7:59 132680 132680 132650 132650 2 8:10: 0 0 0 0 0 0 8:11:59 132510 132510 132400 132400 6 8:14: 0 132450 132500 132400 132500 4 8:15:59 132530 132530 132530 132530 1 8:18: 0 132450 132450 132400 132450 3 8:19:59 132500 132580 132500 132550 3 8:22: 0 132500 132550 132500 132500 4 8:23:59 0 0 0 0 0 8:26: 0 132450 132450 132450 132450 1 8:27:59 132500 132550 132500 132530 4 8:30: 0 132500 132500 132500 132500 1 8:32: 0 132480 132480 132180 132220 8 Alert for Initiave short 8:33:59 132230 132230 132150 132200 4 Enter at 132040 (1 Octant) 8:36: 0 132280 132300 132250 132300 5 Enter Responsive long at 132560 8:37:59 132250 132250 132150 132200 3 8:40: 0 132250 132250 132180 132180 2 8:41:59 132200 132300 132200 132300 3 8:44: 0 132380 132500 132350 132370 5 8:45:59 132400 132400 132300 132400 5 8:48: 0 132350 132350 132300 132300 2 8:49:59 132450 132450 132400 132400 2 8:52: 0 132350 132400 132350 132400 2 8:53:59 0 0 0 0 0 8:56: 0 132450 132450 132450 132450 1 8:57:59 132400 132400 132400 132400 1 9: 0: 0 132350 132450 132350 132450 3 9: 2: 0 132400 132400 132330 132400 5 9: 3:59 132450 132550 132450 132500 4 9: 6: 0 132450 132500 132450 132450 3 9: 7:59 132400 132400 132320 132320 3 9:10: 0 0 0 0 0 0 9:11:59 132180 132180 132120 132120 4 9:14: 0 132100 132150 132100 132120 4 9:15:59 132070 132150 132050 132150 6 9:18: 0 132100 132150 132100 132150 3 9:19:59 132220 132220 132220 132220 1 9:22: 0 132240 132240 132130 132130 2 9:23:59 132100 132220 132100 132220 6 9:26: 0 132200 132200 132100 132100 3 9:27:59 132120 132200 132120 132200 5 9:30: 0 132050 132050 132030 132030 2 Initiave short 132040 entry 9:32: 0 131920 131920 131920 131920 1 LLIM - Octant (260) 9:33:59 131880 131900 131750 131750 10 Stop 132300 9:36: 0 131850 131880 131850 131850 3 9:37:59 131880 131900 131820 131850 4 9:40: 0 0 0 0 0 0 9:41:59 131900 131900 131800 131800 2 9:44: 0 131850 131900 131850 131900 2 9:45:59 131850 131850 131850 131850 1 9:48: 0 131830 131830 131800 131800 2 9:49:59 131680 131700 131680 131700 2 9:52: 0 131750 131750 131650 131700 3 9:53:59 131650 131700 131650 131700 3 9:56: 0 131750 131750 131750 131750 1 9:57:59 0 0 0 0 0 10: 0: 0 131730 131730 131730 131730 1 10: 2: 0 131800 131800 131720 131720 3 10: 3:59 131780 131800 131780 131800 2 10: 6: 0 0 0 0 0 0 10: 7:59 131750 131750 131720 131750 3 10:10: 0 0 0 0 0 0 10:11:59 131600 131630 131570 131600 6 10:14: 0 131550 131550 131530 131550 3 10:15:59 131600 131600 131600 131600 1 10:18: 0 131550 131550 131520 131520 2 10:19:59 131550 131600 131550 131600 2 10:22: 0 131500 131500 131450 131450 7 10:23:59 131500 131500 131500 131500 1 10:26: 0 131430 131430 131430 131430 1 10:27:59 131410 131410 131410 131410 1 10:30: 0 131350 131480 131350 131480 4 10:32: 0 131500 131500 131500 131500 1 10:33:59 131450 131600 131450 131600 3 10:36: 0 0 0 0 0 0 10:37:59 0 0 0 0 0 10:40: 0 131650 131700 131650 131700 2 10:41:59 131600 131650 131600 131650 2 10:44: 0 131700 131700 131700 131700 1 10:45:59 131750 131750 131750 131750 1 10:48: 0 131830 131830 131800 131800 2 10:49:59 131850 131900 131800 131800 5 10:52: 0 0 0 0 0 0 10:53:59 131750 131800 131750 131800 2 10:56: 0 0 0 0 0 0 10:57:59 132000 132000 131920 131920 3 11: 0: 0 131950 131950 131850 131850 5 11: 2: 0 0 0 0 0 0 11: 3:59 131800 131800 131750 131750 2 11: 6: 0 0 0 0 0 0 11: 7:59 131800 131800 131800 131800 1 11:10: 0 0 0 0 0 0 11:11:59 131750 131750 131750 131750 1 11:14: 0 131730 131750 131730 131750 2 11:15:59 0 0 0 0 0 11:18: 0 131700 131700 131700 131700 1 11:19:59 131670 131670 131650 131660 3 11:22: 0 131700 131750 131700 131750 2 11:23:59 131700 131800 131700 131800 5 11:26: 0 0 0 0 0 0 11:27:59 131900 131900 131900 131900 1 11:30: 0 132000 132000 132000 132000 1 11:32: 0 131980 132050 131950 132050 6 11:33:59 132080 132080 132050 132050 2 11:36: 0 0 0 0 0 0 11:37:59 131950 132020 131950 132020 3 11:40: 0 132050 132050 132050 132050 1 11:41:59 131950 131950 131950 131950 1 11:44: 0 131900 131900 131900 131900 1 11:45:59 131850 131900 131850 131900 2 11:48: 0 0 0 0 0 0 11:49:59 131880 131900 131880 131900 2 11:52: 0 131850 131900 131850 131900 2 11:53:59 131820 131820 131820 131820 1 11:56: 0 131850 131900 131850 131900 2 11:57:59 131950 131950 131950 131950 1 12: 0: 0 132000 132000 132000 132000 1 12: 2: 0 0 0 0 0 0 12: 3:59 0 0 0 0 0 12: 6: 0 131950 132050 131950 132050 2 12: 7:59 0 0 0 0 0 12:10: 0 132150 132150 132150 132150 1 12:11:59 132100 132120 132100 132120 2 12:14: 0 132150 132150 132150 132150 1 12:15:59 132100 132100 132100 132100 1 12:18: 0 0 0 0 0 0 12:19:59 0 0 0 0 0 12:22: 0 132000 132000 132000 132000 1 12:23:59 131950 132000 131950 132000 2 12:26: 0 0 0 0 0 0 12:27:59 132050 132050 132050 132050 1 12:30: 0 132150 132150 132150 132150 1 12:32: 0 0 0 0 0 0 12:33:59 132100 132100 132100 132100 1 12:36: 0 132050 132050 132000 132000 2 12:37:59 131950 131950 131860 131900 3 12:40: 0 131950 131950 131850 131850 4 12:41:59 131800 131800 131760 131760 2 12:44: 0 131780 131780 131650 131650 4 12:45:59 131690 131720 131650 131720 6 12:48: 0 131750 131750 131750 131750 1 12:49:59 0 0 0 0 0 12:52: 0 0 0 0 0 0 12:53:59 0 0 0 0 0 12:56: 0 0 0 0 0 0 12:57:59 131700 131700 131650 131650 2 13: 0: 0 131550 131600 131550 131600 2 13: 2: 0 131650 131660 131550 131600 6 13: 3:59 131550 131650 131550 131650 3 13: 6: 0 0 0 0 0 0 13: 7:59 0 0 0 0 0 13:10: 0 131600 131610 131550 131580 5 13:11:59 131550 131700 131550 131700 4 13:14: 0 131780 131800 131780 131800 2 13:15:59 131780 131780 131750 131750 2 13:18: 0 131800 131800 131800 131800 1 13:19:59 0 0 0 0 0 13:22: 0 131700 131700 131700 131700 1 13:23:59 0 0 0 0 0 13:26: 0 131650 131680 131650 131680 2 13:27:59 0 0 0 0 0 13:30: 0 131700 131700 131650 131650 4 13:32: 0 131600 131600 131600 131600 1 13:33:59 131670 131670 131670 131670 1 13:36: 0 131700 131700 131700 131700 1 13:37:59 131680 131750 131680 131750 3 13:40: 0 0 0 0 0 0 13:41:59 0 0 0 0 0 13:44: 0 0 0 0 0 0 13:45:59 131700 131700 131620 131650 4 13:48: 0 131600 131600 131600 131600 1 13:49:59 131550 131550 131550 131550 1 13:52: 0 131450 131450 131450 131450 1 13:53:59 131430 131430 131400 131400 2 13:56: 0 131370 131370 131350 131350 3 13:57:59 131250 131250 131200 131230 3 14: 0: 0 131250 131400 131250 131400 7 14: 2: 0 131450 131450 131400 131400 2 14: 3:59 131450 131450 131450 131450 1 14: 6: 0 131500 131500 131500 131500 1 14: 7:59 131450 131450 131450 131450 1 14:10: 0 131400 131400 131380 131400 3 14:11:59 131420 131500 131420 131500 4 14:14: 0 0 0 0 0 0 14:15:59 131480 131480 131480 131480 1 14:18: 0 131500 131550 131500 131500 4 14:19:59 131450 131450 131400 131400 2 14:22: 0 131370 131370 131320 131320 2 14:23:59 131200 131280 131180 131250 6 14:26: 0 131200 131200 131080 131080 4 14:27:59 131050 131200 131050 131150 6 14:30: 0 131200 131300 131200 131250 4 14:32: 0 131200 131200 131150 131150 2 14:33:59 131110 131200 131100 131200 5 14:36: 0 131250 131250 131230 131230 2 14:37:59 131200 131200 131130 131150 4 14:40: 0 131000 131050 131000 131050 2 Low 131000 14:41:59 131000 131200 131000 131200 2 Potential 132040 - 131000 +1040 14:44: 0 131230 131230 131230 131230 1 14:45:59 131150 131200 131150 131200 2 14:48: 0 131300 131350 131300 131300 5 14:49:59 131350 131350 131250 131250 3 14:52: 0 131300 131470 131300 131470 5 14:53:59 131520 131520 131450 131500 6 14:56: 0 131400 131400 131350 131400 5 14:57:59 131320 131320 131300 131300 2 15: 0: 0 131400 131500 131400 131400 6 15: 2: 0 131350 131350 131350 131350 1 15: 3:59 0 0 0 0 0 15: 6: 0 131400 131530 131400 131530 5 15: 7:59 131500 131550 131500 131550 4 15:10: 0 0 0 0 0 0 15:11:59 0 0 0 0 0 15:14: 0 131600 131650 131580 131650 9 Exit short 131650 In 132040 +390 Figure 4. Two minute tick-bars for DJ Sep 7, 2007