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Geo Singleman wrote:
>It is not stricly 70% of the range, but one standard deviation around the
>Point of Control. POC is the fairest price of the day, price at which most
>volume occurred (if you are computing volume profile) or where most TPOs
>accumulate (where volume is not available or you are making a TPO profile).
>One SD approximates to 70%, but this 70% can be anywhere in the daily range.
>There is no rule that says the time brackets have to be 30 minutes, although
>this is how the CBOT market profile is structured. You can use any time
>bracket to build the profile.
>
>If TJ can provide a function to manipulate volume at price (VAP) with the
>ability to draw this on an intraday basis (volume at price overlay starts
>afresh each day). At least for the markets where volume is available (which
>is most of them except the pit traded futures), it will be possible to
>derive the profile real time and also have the profiles of prior days
>available for reference. To be useful, one must be able to build multiday
>profiles, i.e.gather the volume by price for any arbitrary period. Even for
>EOD version, VAP for specific periods will be useful for those analyze
>volume data.
>
>Most of the functionality is already there, as VAP is built on the basis of
>visible bars. It just needs user specified time period/duration, provide
>some way of reading the data (price and volume) and the ability to cusomize
>the display in AFL (color some bars and print values e.g).
>
>Geo
>
>
>
>
An estimate by Mark Fisher about the value area (pivot range) is plus or
minus the range abs((H+L+C)/3 - (H+L)/2) from the average price
(H+L+C)/3. He claims accuracy of 98%.
The following code plots a chart similar to Prostick.
// Calculate the pivot range
PivotBand = abs(Avg - (H+L)/2);
VaH = Avg + PivotBand;
VaL = Avg - PivotBand;
Plot(C, "C", colorLightGrey,styleBar);
PlotOHLC( VaL, VaH, VaL, VaH, "Pivot range", colorBlue, styleCandle);
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