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Re: [amibroker] Market profile, Value Area, POC etc

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hi Tomasz,
 
Similar to classic pivot levels and Camarilla levels I would like to use the Value Area of the previous day to plot on the current day and use it for backtesting purposes, similar to the Camarilla level chart I added in my previous post.
 
For instance I could imagine a function in Amibroker that looks like
 
VAH = getUpperValueArea(inDaily,70,-1);
 
which would give me (using the 5-min chart) the upper value area where 70 percent of the volume in concentrated of the previous day.
 
Ofcourse, I am not sure how this could best be implemented in Amibroker, but it is pretty tough to program in AFL when you want to keep it speedy.
 
regards, Ed
 
 
 
 
----- Original Message -----
Sent: Tuesday, October 13, 2009 11:30 AM
Subject: Re: [amibroker] Market profile, Value Area, POC etc

 

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
 
etc., see site found by Reinsly: http://www.trading-naked.com/MarketProfile.htm
 
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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