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CISCO Futures
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Value Analytics (tm): A New Paradigm in Profile Analysis
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, the Process
Value Analytics Product Page
Tutorial on Value Analytics
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).
Preparation
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.
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