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Re: [amibroker] Market profile, Value Area, POC etc
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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 -----
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
rgds, Ed
----- Original Message -----
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.
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 -----
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 -----
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
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- [amibroker] Market profile, Value Area, POC etc
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- Re: [amibroker] Market profile, Value Area, POC etc
- Re: [amibroker] Market profile, Value Area, POC etc
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