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CISCO Futures
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dljones@cisco-futures.com
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. Internal market information comes from
profile reference points used as market flow variables, a new and more comprehensive way to
find market bias and
directionality. The goal continues to be to give the trader the 'edge' that comes from superior market knowledge.
Value Analytics, the Process
Value Analytics Product Page
Tutorial on Value Analytics
Value Analytics (VA) is a melding of the Market Condition analyses pioneered by CISCO (Ref. 1),
with a unique form of Market Profile analysis, one oriented to quantitative evaluation of reference points.
This is a radical departure from the standard Market Profile (Ref 2), a move from pattern recognition to
analytical evaluation of the profile intra-day markers.
Contrary to normal profile procedure,
Value Analytics starts with
Market Condition as the framework within which all trading takes place. Profile analysis
plays a subsidiary, but important, role, describing the infrastructure of the market,
the internal details that identify
market flow and market bias. Standard profile definitions are used, but not for profile
day pattern analysis. In Value Analytics the market is viewed as a continuum, a flow through time.
Profile variables are analyzed for their change over time, their relative values, rather than the
less useful absolute numbers used in regular profile analysis.
By quantizing the profile variables, Value Analytics removes
much of the mystery of profile trading; the pattern recognition and the holistic evaluation
of the motivations of the market's players (Ref 2, 4). Quantized profile data can stand
alone. Dyed in the wool profile traders might enjoy a profile methodology that is more analytical.
However, the synergism of condition and profile together gains much more market information
collectively than either can do alone.
Market condition has long been known to be the primary variable in market anlaysis (Ref 1). It
defines the environment and is always a guide for the trader. A balanced (congesting) market is the province
of the responsive trader, one who sells tops and buys bottoms. A breakout market, one that
begins a trend, is of interest to the initiative trader, the trend follower. Profile reference
points in balanced markets can show internal market bias and directionality, information not available
from the market condition analyses.
The end result of a day's Value Analytics analysis is a knowledge base from which
traders can construct a comprehensive trading strategy, their set-up for the next day.
The First Market Profile
The profile era was introduced via a product announcement
by the CBOT in 1985 (CBOT Market Profile) (Ref 2). Accompanying the announcement was a
user's manual also named CBOT Market Profile. Profile analysis came from reading
a price-volume chart, a 'market profile'. A profile chart for a run of the mill trading
day formed a quasi-bell shaped curve of price on the vertical and trading volume
on the horizontal, as in figure 1. The central 70 percent of the day's volume was defined as the
'value area' (VAU to VAL) to conform with the first standard deviation of a gaussian (normal)
distribution. Other chart elements were defined, such as the initial balance (price
range of the first hour of trading), range extension (trading beyond the initial balance),
tails (the high and low extreme price area of the profile), several day types, and
more. The manual estimated that it would take six to twelve months
to master the profiles and to trade effectively. The Market Profile, as advertised,
is pattern recognition combined in a holistic shell. A later release of CBOT Market Profile
(1991) (Ref 4) is much more extensive than the 1985 version, but the holistic thrust is the same.
The impact of the profile concept in 1985 was huge. Many traders, this author included, felt
they were getting an inside look at the details of markets. The profiles' creator, J.P. Steidlmayer,
had developed an eminently readable graphic of a day's market activity. In figure 1 the
viewer only needs to know that the letters (TPOs) represent half-hour time frames to be able
to read the market's activity. The open at 7:20 (>y) and the next two hours (z, A, B, C) traded
around 135800, Then an up move started in C period (9 to 9:30), spending
the rest of the day higher, trading around 136400. At the close, price moved yet higher (O period),
ending strong. Every trader was empowered by this new information.
Profile Report 07 11 07
and Segmented Auction
Future: -- DJIA (CBOT) Day SEP 07
Price TPOs (Profile) Segmented Auction
136800 O O
136750 O O
136700 JO J O
136650 JO J O
136600 JO J O
136550 GJN G |J | | N | <== VAU
136500 GJKN G |J |K | | |N |
136450 EGHJKLN E G H | |J |K |L | |N |
136400 EFGHIJKLMN E F G H |I >J >K >L >M >N > <== POC
136350 EFGHIKLMN E F G H >I | |K |L |M |N |
136300 EGHKLM E G |H | | |K |L |M | |
136250 CDEGKLM C D E |G | | | |K |L |M | |
136200 CDELM C D E | | | | | | |L |M | |
136150 CDLM C D | | | | | | | |L |M | |
136100 CDLM C D | | | | | | | |L |M | |
136050 CDLM C |D | | | | | | | |L |M | | <== VAL
136000 CD C |D | | | | | | | |
135950 zBCD z B |C |D | | | | | | |
135900 zBC z B |C | | | | | | |
135850 yzBC y >z | |B |C | | | | |
135800 yzBC >y |z | |B |C | | | | |
135750 yzABC y |z |A |B |C | | | | |
135700 ABC A |B |C | | | | |
135650 AB A B | | | | |
135600 B B
TPO Analysis
Center 136400
Value Area from TPOS
Upper 136570
Lower 136050
Figure 1. Meta-Profile Data for DJ Index, Jul 11, 2007
This day has two distributions, one centered at 135750, where the TPOs yzABC appear.
the times 7:20 - 7:30 (Z), 7:30 - 8 ($), 8 - 8:30 (A), 8:30 - 9 (B) and 9 - 9:30 (C).
The second, later distribution is centered at 136400 with times 9 - 9:30 (C) through 15 - 15:15 (O).
An extended, non compressed profile is Fig 1a. in the Appendix
Compression factor 5.
By the late 1980's, early 1990's a reaction had set in. Many traders were saying "the profile
does not work". What they meant was that the profile did not offer them a trading model.
Profile was never sold by Steidlmayer as a trading model in any of his numerous publications. It is
an information base. That means the user must still develop a model, a trading methodology
from the valid, market generated data. Most found it difficult to take the step from the data
to the holistic interpretation of that data.
At CISCO we had difficulties of a more technical nature, the solutions of which ultimately led to Value
Analytics and incidentally benefitted all profile traders.
Problems with Market Profile and their Resolution
The author's background in money management (1972 - 1988)
generated a real appreciation for any method like Market Profile that could open up
intra-day market anlaysis. But there were serious problems.
The first hitch came with the definition of Market Profile value. Value area is the price range
defined by the central seventy percent of a day's (cleared) volume. In order to find value, we
needed the volume: this was only available for CBOT markets (LDB data). We traded
a portfolio of 24 futures, only a fraction of which were CBOT. I discussed the problem
with an owner of the Market Logic School (an early source of training on Market Profile) and
was assured that indeed, value could come only from volume. Nevertheless, we explored other
avenues. By 1987 we had developed the Tick-TPO, or Meta-Profile methodology which proved
valid for value determination in all auction markets (Ref 3, 3a).
Meta-Profile removed our dependence on CBOT LDB data and also
became the industry de-facto standard for day value. Meta-Profile is reported in the subsequent
1991 Market Profile manual, (Ref 4, P33 "Steidlmayer says....") and in Mind Over Markets
1990 (Ref 5) in Appendix 1, also without attribution. The examples of Market Profile we
have seen from the wire services all use value area found from TPO's, not cleared volume.
Then we ran into a bigger snag--we could not find valid market condition from
a single day's data, as claimed in the 1985 CBOT manual. We found a surprising variation in
profiles from day to day, even in balanced markets. The intra-day movement was sometimes so large that
a five day set of data could look like three days of
down and then three days up or vice versa. Linearly combining the five days into one large profile (overlay)
might well show balance (see figure 2a. in the Appendix). These findings led to
development of the Overlay Demand Curve (Ref 1).
Also see: http://www.cisco-futures.com/overlaybkg.html
Our studies of Overlays showed that recognizing and measuring balance required a minimum of three
sequential days of profiles (Ref 1). An unanticipated benefit from the studies is that
balance also locates the upper and lower limits of value, i.e.
the classical resistance and support levels. These market turning points are
time frame sensitive, having different values for different balance periods.
The importance of market condition, balance in particular, is that without this
information one is trading blind.
You need to know that your market is congesting if
you are a responsive trader (who wants to fade a trend?). Trend trading in
a congestion is equally unrewarding.
As a researcher first and a trader second I became sidetracked. I saw that condition
was the starting point, not the profile. Balanced markets should be traded one way,
while movement out of balance required trading another way.
In fact, for the average trader, a knowledge of market
condition is the most important piece of information possible.
For some years CISCO has offered training courses based on market condition. We assumed
that self professed "profile traders" who took our courses and bought our trading
data were competent in profile methodology, needing only intra-day
generation of meta-profiles to exercise their strategies. Queries from customers ultimately
led to our realization that few of these traders followed the original profile holistic model.
We are continually being asked for quantitative ways of understanding the
profile reference points. We have lately come to believe that the requirements
of the holistic profile model are beyond the capabilities of the majority of traders.
Thus was born Value Analytics: The keystone is
market condition. Market internals, the reference points (some 30 of them),
are the the filler, the elements showing a market's stress and its directionality.
Value Analytics does require a certain trading maturity to learn and master. It
is not the pie-in-the-sky method sought by many beginners. It is a professional,
logically based way to obtain the market information on which to build a systematic
trading strategy, as detailed below.
Value Analytics and Market Condition
Value Analytics first finds market value (Part 1) and then, in Part 2, quantitizes the profile
reference points so they can be used to determine the market flow. There are limitations.
Many profile reference points are poorly defined in unbalanced (trending) markets.
For instance, value area has little meaning in a trend.
The standard definition of value area (the
central seventy percent of volume (or TPOs))
fails in a trend, in part, because there is no central grouping about which to locate
the middle price (point of control).
Within a certain time period, say ten days, the ten day time frame may be in balance, while
the most recent four days are trending. There is a value area for the ten day period, none
for the four.
Several examples of varying balance times are in Table 1 (extended list is in Table 1a in the Appendix).
Table 1 covers the period July 5 through August 2. The DJ market was essentially in balance
at all time frames from July 5 through July 11. All time frames broke out on July 12 and
stayed in trend mode until July 18. The close on July 11 is 136770 and on July 19, 140610,
so the Dow had been trending up; high close was 140500 on July 17.
On July 18 the 5 day time frame ended in balance.
At the close of July 19, 5 and 10 day time frames are in balance. They
stayed balanced until July 24 when the 5 day broke out.
If a trend is starting, the 10 day balance will break out next. This was a 'false'
breakout since the next day's five day time frame was back in balance.
The next day, July 25, both 5 and 10 day time frames ended in balance. The balance limits are:
Period Ulim Llim
05 140800 137600
10 140900 137500
Then on July 26, both 5 and 10 day time frames broke out. A trend started. The market direction
was down (close 135340 on 0726, a drop of 2160).
The next balance to appear is the 5 day on August 1. This seems to be a new start after
a sizeable price drop. Then on August 2 both 5 and 10 day balances appear. And so, a new "market unit"
begins (a unit is the time from balance to breakout and back to balance) (Ref 5).
5 Day 10 Day 20 Day O H L C
0705 X X X 136750 136800 136020 136500
0706 X x X 136668 137250 136270 137080
0709 X X X 137620 137600 137050 137400
0710 - X X 137030 137150 135730 135850
0711 X X X 135800 136800 135550 136770
0712 137150 139530 137100 139200
no balances July 12 - 17
0718 x - - 140250 140400 139000 140030
0719 X X - 140530 140900 140270 140610
0720 X X - 140050 140320 138750 139380
0723 X X - 139730 140450 139650 140110
0724 - X - 139730 139750 137700 138130
0725 x x - 138730 138850 137400 138410
0726 137500 137850 133950 135340
no balances July 26 - 31
0801 X - - 131950 134350 131750 134040
0802 X x - 134340 135500 133950 135270
0803 135200 135400 132100 132660
Table 1. DJ Sep 2007. Balances for nominal 5, 10 and 20 days.
Examples of Value Analytics at Work
Part 1. Market Condition
Responsive trading on July 11.
The limits as of the
close July 10 are: 137900 - 133850, with the middle of the distribution at 135600.
Using the balance limits, the responsive trader will set a high price as an alert
to sell and a low price buy alert.
For target prices we will take a deviation of 25 percent of the range from
the middle, 975, for a short alert at 136575 and a long alert at 134625. Price
was never low enough to trigger a long alert. The alert for short occurred at
12:38 when price exceeded 136575. A simple strategy of waiting at least 10 minutes
to avoid a 'noise' entry and then selling as price fell back through 136575 would
have triggered a short at 12:58. Price reached a low of 136050 at 2 PM and
closed at 136770. The trade had a potential of 525 (136575 - 136050).
Just exactly where to enter and exit is, of course, a function of the trader's
strategy.
Conditions at the Close of July 11
The close of July 11 records short, intermediate and long term balances.
The limits widen as the time frame increases. A responsive trader will stay
within the short, intermediate or long limits according to his/her taste
for risk, as illustrated above. An initiative (breakout) trader will key on
the upper and lower limits, looking for breakouts. A trading strategy for July 12 could include
a) purely breakout, b) purely responsive, or c) both. Normally, a complete
strategy would include set-ups for both cases.
Trading the Market of July 12, basis Condition Variables Only
For an upside breakout of the first alert is 137550 (5 day), same for the 10 day
and 137900 for the 20 day. In fact, the market opened at 137150 and climbed
steadily throughout the day. The long breakout alert (137550) was hit at 8:45,
and the confirming 20 day breakout (137900) came shortly after 9:45 AM. Close
was 139220 (the potential was 1670 from the first breakout).
At the Close of July 12, what is known?
There are no balances. The market is
trending up. A swing trader who is long is now looking
for a signal to exit, for signs of a slowdown, a move back into congestion (Part 2, profile
variables, can help here.)
Anyone who wants the edge that goes with the knowledge that comes with balances
will stay out of this market until the trend is over.
We know from Table 1 that
there are several days between now and July 18 when the 5 day time frame reports a new
balance. This dead period in the DJ is a good time to search other markets for trades.
A holistic trader will find it difficult to switch markets, to diversify. The Value
Analytics trader will not.
A Market that Starts, Breaks Out and Ends in Balance, July 9
We have just examined; a market that broke out and ran. What about markets that
remain in balance: what can the Overlay alone tell us there? Table 1 shows a pretty well
balanced series from July 5 to July 11. A closer look at the balances in Table 1a
and the closes in table 1, shows a good bit of movement day-to-day. The definition
of a balance is "a single distribution with the close inside". So in
a volatile market there can be quite a lot of shifting or "creep". e.g. There may be a
breakout move, followed by congestion later in the day, leading to a new balance level.
July 9 trading is a case in point. The open on the 9th, 137620, lies above the upper limit
of the close of July 6 (137150). The close on July 9, 137400, shows that there was a breakout
on the upside. So the market moved up and ended in a new balance (137550 - 135750).
There is no DJ overnight trading. But a trader following the evening action of the YM
would have caught the upside breakout (shortly after 8:15 PM July 8 (Sun)).
High price on July 9 of 137600 offered a potential to the breakout trader of 450.
The trader who waited for the open would have missed the trade because of the gap.
The jump up between the close of July 6 and open of July 9 is just one of the many
things a market may do. Can we predict them? Not likely. Understanding the market
condition prepared us to take action when a breakout event came along. Profitable
trades comes from preparation, not predictions.
Understanding the market's condition allows market selection and permits evaluation
of risk, based on parameters that come from the market itself. It is the starting
point for all market trading set-ups or strategy. Indeed, as just demonstrated, one
can trade on market condition alone.
Part 2. Profile Reference Points
There are some 30+ profile reference points. For illustration here we will
select a few to demonstrate the the methodology. The source for decision points
1 through 15 is Table 2a, in the appendix.
Over the past three trading days:
1. The price range is increasing (doubled): Trader interest is increasing.
2. Total TPOs are increasing: Trader interest is increasing.
3. Total tick count is increasing: Trader interest is increasing.
4. Trade Facilitation Factor (TFF) is decreasing: Trade is smoother, more inclusive.
5. Volatility is increasing: Trader interest is increasing.
6. Initial Balance range is widening: Trade is taking control.
7. Initial Balance range is a smaller fraction of the total range: Public is taking control.
8. Total TPO count in IB is stable: No bias, public or trade.
9. TPO count above IB much greater than below: Market most active above IB. Direction is up.
10. Point of Control price is dropping: Center of value is lower. Direction is down.
11. TPOs in Value Area: Fewer above POC indicates upside pressure. Direction is up.
12. Upper Tail ("O") in the graphic: ended higher on close: Auction still open on the upside. Direction is up.
13. Lower Tail ("B") in the graphic, complete: Auction on the downside finished.
14. Attempted Direction basis POC: Down
15. Attempted Direction basis Rotation Factor: Up
Reviewing the information in the profile reference points as flow variables:
Items 1, 2, 3 and 5 all showed an increase in trading in both activity and
breadth of market. Relatively, this market is getting hotter.
Item 4, the decreasing TFF means there are fewer TPOs per price, a wider range
and thus more traders are able to hit their target price. The market is opening
up to more trading.
Item 6, the Initial Balance would be the entire high - low range if the trade
were in control. Wider here argues for less market movement.
Item 7 shows the public gaining the upper hand in the day's trading.
The trade, the insiders, like a nice broad stable (congesting) base. Public
traders benefit more from movement, from trends.
Item 8, stable TPO count in the IB offers no information.
Item 9 shows the public trading above the IB. This is directional
information. The public is forcing price higher.
Item 10 indicates that value as found from the center of the profile value area
is somewhat lower. Normally, it takes a fair sized move in the POC to be
significant (remember the often large day-to-day moves of the profiles in balance?).
Here these moves show a relatively small bias toward downside directionality.
Item 11, indicates an imbalance in the bell shape. It is skewed toward the bottom. Fewer TPOs
above the POC can mean that the auction is not complete. The market moved
up strongly and was strongly higher at the close.
Item 12, the incomplete tail on the upside suggests that the auction is still
open to continuation. Possibly higher prices are on tap. Directional up signal.
Item 13, Lower tail shows a completed auction on the downside. No directionality.
Items 14 and 15. Attempted direction basis the POC is directionally up. Basis the
rotation factor, direction is down: Net attempted direction is neutral.
What information have the reference points as flow variables given?
The flow variables tell us that the market is heating up (Items 1, 2, 3, 5), it is
trading better (4), the trade is in control (6),
and the public is in control, normally presaging movement (7, 8).
The market is directionally up (9, 11, 12). And Item 10 is weaky directionally down.
The general picture as of the end-of-day July 11 market internals, is of an increasingly
active market with a bias toward upside movement. An appropriate trading strategy for
July 12 would be:
A. From the market condition part of our analysis we can be a responsive trader until
there is a breakout. Our individual approach to risk will determine how to trade the
several responsive levels. We know the trading day is starting with the market in congestion.
B. From the profile flow variables we know that the market is heating up and if there is
a breakout it will be most likely on the up side. We are prepared.
The profile chart of figure 1 is pretty clear. The market opened at 135780 and traded in
the region 135950 to 135600 until around 9 AM. Then it moved up, finding
balance in the 136400 region. The up move at the end of the day was still
in effect at the close, which was the high of the day. Observation of
the profile dovetails pretty well with what we got from the flow variables.
The only thing left is to formulate our trading set-up, our strategy for
July 12. Each trader will know their risk parameters. All will have a
clear picture of the market situation they are entering, the expected
"what if's" and an immediate recognition if the market makes an unexpected
turn.
A Sample Trade Set-up: Close of July 11 for Market of July 12: Condition + Profile
From the paragraph above on trading Condition alone: From Market Condition 20 Day Upper Limit 137900 10 Day Upper Limit 137550 5 Day Upper Limit 137550 ----------- Close 136770 ----------- 5 Day lower Limit 135750 20 Day lower Limit 133850 10 Day lower Limit 133650 From Profile Flow Data Positive readings Increased trading volume: (4 votes on activity) Initial Balance smaller part of day's range: 1 vote on activity Public trading above Initial Balance: 1 vote for Direction up Fewer TPOs above POC: 1 vote for Direction up Upside incomplete tail at close: 1 vote for Direction up Negative readings Wider Initial Balance: 1 vote for less activity POC slightly lower: part of a vote for Direction down No vote Stable TPO count in Initial Balance Lower tail completed Attempted direction Net of flow variables Increasing activity argues for movement (4 to 1) Directional up votes (3 to 1) Value Analytics Analysis as of 6 PM on July 11: The market is in balance The guess is that the market is liable to break out because of the growth in activity If there is a breakout, the market's tendency is up Each trader has the data above. This is the information about the market that provides the "edge", the goal of Value Analytics. Purely as an example, we will pick some trade prices to illustrate using the data. An alert to breakout up comes with price at 137550 A strong confirmation of breakout is at 137900 An alert to breakout down comes with price at 136050 A strong confirmation of breakout is at 133850 Another confirmation of breakout is at 133850 The congestion trader would consider a short at 137225 with a target of 136770 The short point is 1/8 the range of the Upper limit - Lower limit of 5 day balance Target is the middle of the distribution, 136770 Stop loss point is the Upper limit, 137550 The congestion trader would consider a long at 135975 with a target of 136770 The long point is 1/8 the range of the Upper limit - Lower limit of 5 day balance Target is the middle of the distribution, 136770 Stop loss point is the lower limit, 136050 In fact, July 12 was a breakout day, as noted in the paragraph above: "Trading the Market of July 12, basis Condition Only". On another day when the market remained in balance, the profile part of Value Analytics could be used exclusively.
A CISCO five day Meta-Profile display
SOYBEANS (CBOT) DAY JUL 06 First date: 6 7 6 Last date: 6 13 6
7 8 9 12 13
6050 IJ
6044 IJ
6040 IJ
6034 DIJ
6030 DGHIJK I
6024 DGHIJK I
6020 DEFGHIK HI
6014 DEFGHIK GHI
6010 J DEFGHK EGHI
6004 J DEFGK EFGHI
6000 J DEFGK EFGHI
5994 J DEFGK EFGI
5990 JK DEFK DEFIJ
5984 JK DEF DEFIJ
5980 IJK D DEFJ
5974 IJK D DEFJK
5970 DHIJK D DJK
5964 DHIJK D DJK
5960 DHK D DJK
5954 DGHK D DJK
5950 DGH D DJK
5944 DGH DK
5940 DGH D
5934 DEG D
5930 DEFG D
5924 DEFG D D
5920 DEF DJK D
5914 DEF DEJK D
5910 E DEJK D
5904 E DEFHJK D
5900 E EFGHJK DEG
5894 EFGHIJK DEFG
5890 EFGHIJK DEFGHI
5884 EFGIJK DEFGHI
5880 EIK DEFGHI
5874 EK DEFGHI
5870 EK DEFHIJK
5864 E DEFHIJK
5860 E DFHIJK
5854 FHIJK
5850 FIJK
5844 FIJ
5840 FIJ
5834 IJ
FIVE DAY OVERLAY
** ALL TDG PERIODS INCLUDED FOR VOLUME CONSISTENCY **
VOL DETAIL VOL HITS 1=NEAR, 2=NEXT BK,...
6050 10 2 22
6044 26 2 22
6040 59 2 22
6034 73 3 222 <== Upper Balance Limit
6030 100 7 1222222
6024 129 7 1222222
6020 153 9 112222222
6014 215 10 1112222222
6010 152 11 11112222225
6004 168 11 11111222225
6000 186 11 11111222225
5994 149 10 1111222225
5990 166 11 11111222255
5984 200 10 1111122255
5980 121 8 11112555 <== VAU
5974 171 9 111112555
5970 214 9 111255555
5964 153 9 111255555
5960 133 7 1112555
5954 84 8 11125555
5950 88 7 1112555
5944 58 5 11555
5940 35 4 1555
5934 55 4 4555
5930 87 5 45555
5924 135 6 345555
5920 147 7 3444555
5914 100 8 34444555
5910 95 6 344445
5904 75 8 34444445
5900 119 10 3334444445
5894 194 11 33334444444
5890 197 13 3333334444444 <== POC
5884 159 12 333333444444
5880 150 9 333333444
5874 110 8 33333344
5870 89 9 333333344
5864 112 8 33333334
5860 88 7 3333334
5854 52 5 33333
5850 35 4 3333 <== VAL
5844 53 3 333 <== Lower Balance Limit
5840 21 3 333
5834 2 2 33
Figure 2a. Five days of profiles for soybeans, with the accompanying five day Overlay.
The profiles start high, fall for three days, gap up and have three up days.
Note that the profiles have quasi-bell shapes; the five day Overlay does not.
Overlays are expected to have flatter tops.
Compression factor = 2.
References 1. Overlay Detection of Long Term Market Condition, D.L. Jones, The Profile Report, Vol 2, Oct. 1988
2. CBOT Market Profile Manual 1985, Chicago Board of Trade
Out of print
3. Determining the TPO Value Area, Don Jones, Market Logic School Alumni Letter, April 13, 1987, P4
3a. Estimating the Market Profile Value Area for Intraday Trading, D.L. Jones, S&C Mag., Sep 1987
4. CBOT Market Profile Manual 1991
Free download on CBOT site: To download: CBOT Market Profile Manual
5. The Market Unit
http://www.cisco-futures.com/marketunit.html Appendix Overlay Table DJ Sep 2007 July 7 - August 2 Five Day Overlays Dte Ov F Dl Yr ULIM LLIM CLO $RNG U-OCT MID L-OCT Tst 0705 05 DJ 9 7 S 136750 134750 136500 2000 136500 135750 135000 T 0706 05 DJ 9 7 S 137150 134750 137080 2400 136850 135950 135050 T 0709 05 DJ 9 7 S 137550 135750 137400 1800 137325 136650 135975 0711 05 DJ 9 7 L 137550 136050 136770 1500 137363 136800 136237 T 0718 05 DJ 9 7 L 140900 139200 140030 1700 140688 140050 139412 T 0719 05 DJ 9 7 S 140900 139200 140610 1700 140688 140050 139412 0720 05 DJ 9 7 L 140900 139000 139380 1900 140663 139950 139237 T 0723 05 DJ 9 7 S 140900 139000 140110 1900 140663 139950 139237 0725 05 DJ 9 7 L 140800 137600 138410 3200 140400 139200 138000 T 0801 05 DJ 9 7 S 135800 131900 134040 3900 135313 133850 132387 0802 05 DJ 9 7 S 135500 131900 135270 3600 135050 133700 132350 Ten Day Overlays Dte Ov F Dl Yr ULIM LLIM CLO $RNG U-OCT MID L-OCT Tst 0705 10 DJ 9 7 S 136750 133650 136500 3100 136363 135200 134037 T 0706 10 DJ 9 7 S 137150 133650 137080 3500 136713 135400 134087 T 0709 10 DJ 9 7 S 137550 133650 137400 3900 137063 135600 134137 0710 10 DJ 9 7 S 137550 133650 135850 3900 137063 135600 134137 0711 10 DJ 9 7 S 137550 133650 136770 3900 137063 135600 134137 0719 10 DJ 9 7 S 140900 139200 140610 1700 140688 140050 139412 * 6 0720 10 DJ 9 7 L 140900 138900 139380 2000 140650 139900 139150 T* 7 0723 10 DJ 9 7 S 140900 138900 140110 2000 140650 139900 139150 * 8 0724 10 DJ 9 7 L 140900 137700 138130 3200 140500 139300 138100 * 9 0725 10 DJ 9 7 L 140900 137500 138410 3400 140475 139200 137925 T 0802 10 DJ 9 7 S 135800 131900 135270 3900 135313 133850 132387 * 6 Twenty Day Overlays Dte Ov F Dl Yr ULIM LLIM CLO $RNG U-OCT MID L-OCT Tst 0705 20 DJ 9 7 S 137900 133700 136500 4200 137375 135800 134225 0706 20 DJ 9 7 S 137900 133750 137080 4150 137382 135825 134268 0709 20 DJ 9 7 S 137900 133850 137400 4050 137394 135875 134356 0710 20 DJ 9 7 L 137900 133850 135850 4050 137394 135875 134356 0711 20 DJ 9 7 S 137900 133850 136770 4050 137394 135875 134356 0726 20 DJ 9 7 L 140800 134700 135340 6100 140038 137750 135462 T 0730 20 DJ 9 7 L 140800 132900 134110 7900 139813 136850 133887 T Table 1a. DJ Sep 2007 Delivery Balances for 5, 10 and 20 day nominal periods: July 5 - August 2 On the right margin the notation T* 7 indicates the market close is near a limit (either upper or lower) and the * 7 means that this nominal 10 day balance is in reality only 7 days of balance. *Data from CISCO Daily Bracket Screen
Value-Analytics Market Condition Report: Copyright CISCO 2007 #Ticks 310
Value Trading, A Page of Clues
DJ 07 09 07:20 15:15
20070709 20070710 20070711
# Price Lines 45 53 86
# TPOs - Total 242 169 361
# TICKS 297 183 355
Td Facil Factor 5.38 3.19 4.20
VTY: 30 Min Bar 162 236 280
IB Range 10 13 15
IB Rng % of Day 22 24 17
IB TPO Total 58 60 58
IB TPOs Abv/Blo 146 38 2 107 286 17
VA POC 137450 136920 136400
VA TPOs Upper 75 64 94
VA TPOs Lower 153 87 252
Tail Upper #Pri 1 2 3
Tail Lower #Pri 4 4 2
AD: POC -- DN DN
AD: Rotn Fac 5 -8 4
Table 2a. Value Analytics 'Value Table' DJ July 11, 2007 (abbreviated).
Trade Date 20070711
Number of Prices: 86
1 136800 1 O O
2 136770 1 O O
3 136750 1 O O
4 136730 2 JO J O
5 136720 2 JO J O
6 136700 2 JO J O
7 136680 2 JO J O
8 136650 2 JO J O
9 136630 2 JO J O
10 136620 2 JO J O
11 136600 2 JO J O
12 136590 3 JNO J NO
13 136580 2 JN J N
14 136570 2 JN J N
15 136550 3 GJN G J N
16 136530 3 GJN G J N
17 136520 3 GJN G J N
18 136510 3 GJN G J N
19 136500 4 GJKN G JK N
20 136490 5 EGJKN E G JK N
21 136480 5 EGJKN E G JK N
22 136470 6 EGJKLN E G JKL N
23 136460 6 EGJKLN E G JKL N
24 136450 7 EGHJKLN E GH JKL N
25 136430 8 EGHIJKLN E GHIJKL N
26 136420 9 EFGHIJKLN EFGHIJKL N
27 136410 9 EFGHIJKLN EFGHIJKL N
28 136400 10 EFGHIJKLMN EFGHIJKLMN
29 136390 9 EFGHIKLMN EFGHI KLMN
30 136380 9 EFGHIKLMN EFGHI KLMN
31 136370 9 EFGHIKLMN EFGHI KLMN
32 136360 9 EFGHIKLMN EFGHI KLMN
33 136350 9 EFGHIKLMN EFGHI KLMN
34 136330 7 EFGHKLM EFGH KLM
35 136320 6 EGHKLM E GH KLM
36 136300 6 EGHKLM E GH KLM
37 136290 6 EGHKLM E GH KLM
38 136280 6 EGHKLM E GH KLM
39 136270 7 CEGHKLM C E GH KLM
40 136260 7 CEGHKLM C E GH KLM
41 136250 7 CDEGKLM CDE G KLM
42 136240 5 CDELM CDE LM
43 136230 5 CDELM CDE LM
44 136220 5 CDELM CDE LM
45 136200 5 CDELM CDE LM
46 136190 4 CDLM CD LM
47 136180 4 CDLM CD LM
48 136170 4 CDLM CD LM
49 136160 4 CDLM CD LM
50 136150 4 CDLM CD LM
51 136140 4 CDLM CD LM
52 136130 4 CDLM CD LM
53 136110 4 CDLM CD LM
54 136100 4 CDLM CD LM
55 136080 4 CDLM CD LM
56 136070 4 CDLM CD LM
57 136060 4 CDLM CD LM
58 136050 4 CDLM CD LM
59 136040 2 CD CD
60 136030 2 CD CD
61 136020 2 CD CD
62 136000 2 CD CD
63 135990 2 CD CD
64 135950 4 $BCD $ BCD
65 135930 3 $BC $ BC
66 135920 3 $BC $ BC
67 135900 3 $BC $ BC
68 135890 3 $BC $ BC
69 135880 3 $BC $ BC
70 135860 3 $BC $ BC
71 135850 4 Z$BC Z$ BC
72 135830 4 Z$BC Z$ BC
73 135820 4 Z$BC Z$ BC
74 135800 4 Z$BC Z$ BC
75 135780 5 Z$ABC Z$ABC
76 135770 5 Z$ABC Z$ABC
77 135760 5 Z$ABC Z$ABC
78 135750 5 Z$ABC Z$ABC
79 135730 3 ABC ABC
80 135720 3 ABC ABC
81 135700 3 ABC ABC
82 135680 2 AB AB
83 135660 2 AB AB
84 135650 2 AB AB
85 135620 1 B B
86 135600 1 B B