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Tomasz,
With the volume profile, is it possible to provide a means to use the peak value of it? I am thinking of using it to calculate the value area, and standard deviation.
Cheers,
Scott
--- In amibroker@xxxxxxxxxxxxxxx, "Tomasz Janeczko" <groups@xxx> wrote:
>
> Yes, that would be the only reasonable way to use it.
>
> Best regards,
> Tomasz Janeczko
> amibroker.com
> ----- Original Message -----
> From: "johncw_97" <johncw_97@xxx>
> To: <amibroker@xxxxxxxxxxxxxxx>
> Sent: Tuesday, October 13, 2009 11:04 PM
> Subject: [amibroker] Re: Market profile, Value Area, POC etc
>
>
> >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 amibroker@xxxxxxxxxxxxxxx, "Tomasz Janeczko" <groups@> 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: amibroker@xxxxxxxxxxxxxxx
> >> 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: amibroker@xxxxxxxxxxxxxxx
> >> 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: amibroker@xxxxxxxxxxxxxxx
> >> 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: amibroker@xxxxxxxxxxxxxxx
> >> 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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>
------------------------------------
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