I believe that many are using the previous seesion VA numbers to current price. i.e. something like this chart: http://tinyurl.com/valuearea-png
--- In [email protected], "Tomasz Janeczko" <gro...@...> wrote: > > The problem is that Market Profile by nature looks into the future (i.e. the > bars displayed at the "beginning of the day" cover entire day going forward), > so when trying to backtest this you will know at 9:30 what "all-day" levels > are and you will be looking into the future that way. > > Best regards, > Tomasz Janeczko > amibroker.com > ----- Original Message ----- > From: Edward Pottasch > To: [email protected] > Sent: Tuesday, October 13, 2009 9:15 AM > Subject: Re: [amibroker] Market profile, Value Area, POC etc > > > > > > to elaborate a bit on this (maybe Tomasz Janeczko is reading and I know > this stuff is planned to be added to Amibroker) personally I am most > interested to be able to access levels to be able to do backtesting. > > For instance the chart below shows intraday Camarilla levels that can be > used for support and resistance and I can test stratigies to use them for > trading. So you want to be able to define the time interval you want to > derive the "market profile" from and expand the resulting data to the > timeframe in which you like to use these "market profile" levels for trading. > Levels are: > > POC > VAH > VAL > > etc., see site found by Reinsly: > http://www.trading-naked.com/MarketProfile.htm > > rgds, Ed > > > > > > > > > ----- Original Message ----- > From: Edward Pottasch > To: [email protected] > Sent: Tuesday, October 13, 2009 8:53 AM > Subject: Re: [amibroker] Market profile, Value Area, POC etc > > > > > Keith, > > pretty simple. The value area is the price range where in 70% of the > volume is traded and the point of control the price interval / step at which > the most volume is traded that day. > > here an example chart: > http://www.enthios.com/blogs/images/EE%202008-03-11-0609.png > > it are areas where traders look for support and resistance and this stuff > is very popular at the moment with traders so there is where you need to be. > It is with all these levels, classic pivots, Camarilla etc they work because > lots of traders use them. This subject on the market profile I believe is > first described by: http://www.profiletrading.com/book.htm > > To find the VA (value area) you need to step through the entire price > range of the day and find how much volume is traded within a certain price > interval / step. This is a very time consuming process and to my knowledge > Amibroker's AFL language is not very suitable for these type of calculation. > Because in Amibroker arrays by default span the entire data range and for > these type of calculations you need to be able to define smaller arrays and > be able to do array based operations on them. > > regards, Ed > > > > ----- Original Message ----- > From: Keith McCombs > To: [email protected] > Sent: Monday, October 12, 2009 11:38 PM > Subject: Re: [amibroker] Market profile, Value Area, POC etc > > > > Ed -- > I'm just returning from, Investopedia.com, EliteTrader.com, or > AmiBroker Help. So, I give up. What are Value Area and POC? > > Thanks, > -- Keith > > Edward Pottasch wrote: > > > > Keith, no started this today. Wanted to know if somebody programmed > the market profile (POC and VA) in Amibroker Formula Language (AFL). I found > some code and done some myself but this is real slow. Link to existing code > on inditrader.com board I posted in a later post. > > regards, Ed > > > ----- Original Message ----- > From: Keith McCombs > To: [email protected] > Sent: Monday, October 12, 2009 7:55 PM > Subject: Re: [amibroker] Market profile, Value Area, POC etc > > > > Ed -- > It looks to me as if you are continuing a discussion regarding some > AFL. But you changed the Subject name, and deleted any previous posting from > your posting. > > So, in light of the above, when you ask, "anyone managed to program > this in AFL or a plugin?", what in h... AFL are you talking about? > -- Keith > > > Edward Pottasch wrote: > > > hi, > > anyone managed to program this in AFL or a plugin? There are > several AFL's on the net that basicly are designed to display the last few > days. I am interested in code that generates the upper/lower value area and > POC for backtesting purposes. But it seems you need some clever programming > to make this usable else it will be very slow. The code I found sofar is slow > indeed and I can't come up with something smart either. Try loading 2 years > of 5 minute data and AB locks up completely. Camarilla is a nice substitute > but as I read somewhere "Camarilla is the poor man's Market Profile", > > regards, Ed >
