Trading market profile value area
Technical analysis using volume rather than derivative indicators gives the trader an extra dimension of data and can assist the trader in making better decisions based on probabilities.
With volume profiling, we can construct a market profile based on volume and get a better understanding of where market participants perceives as value, with opportunities arising when the advertised price moves away from areas of value.
In the next post, we will discuss how to determine if the market is trending or consolidating using volume profile analysis. This article contain insights and opinions provided solely by the author and no warranties of accuracy, reliability or completeness are given.
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Tags macd technical analysis market profile market profile trading volume profile volume profile trading volume profile trading strategy. Expert, Quality Advice Professional, fully accredited and friendly advisors can help tailor the perfect solution to your needs.
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Gateway to Americas, Asia and Europe Expand your investment universe outside of Austraila and reach across the globe. Speak to an Advisor Request a Callback: Rarely do they lie equidistant from the high volume node. If, however, you focus solely on the volume profile …your strategy of selling over-value and buying under-value as defined by the auction and lying greater than one standard deviation away from fair market value should still perform quite well.
Stephen I was trying to use your script in ThinkOrSwim but It is not working could you paste the full script to check it out? Luca, Adham, Thanks for the implementation. The idea behind this is to give you an insight to define an intraday edge. The strategy as you can see it by itself It wont be profitable.
However it can be another variable for more complete strategy. I am lately experimenting with strategies with probabilities and statistics of movements in the indexes. It would be nice to get in into the market first 2 hours and get out of RISk: Stephen pointed to some WSJ Options data at http: I'm hoping there is someone out there idealistic enough to want to scrape that and offer up for backtesting via fetcher for folks, seems if tried by anyone, they've been quiet, while surely significant upside potential in options data.
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Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. Hello, Have anyone code this rule or play with it? Here it is a nice paper that explains more in detail http: Erick Attached is my implementation of the value area from the file you provided, scenario 2 and 3 were tested.
There was an error loading this backtest. Backtest from to with initial capital. Returns 1 Month 3 Month 6 Month 12 Month. Alpha 1 Month 3 Month 6 Month 12 Month. Beta 1 Month 3 Month 6 Month 12 Month. Sharpe 1 Month 3 Month 6 Month 12 Month.
Sortino 1 Month 3 Month 6 Month 12 Month. Volatility 1 Month 3 Month 6 Month 12 Month. There was a runtime error. Sorry for the inconvenience. Try using the built-in debugger to analyze your code. If you would like help, send us an email. But here is the backtest and thanks to Adham for the original code. A test without commission and slippage. Please sign in or join Quantopian to post a reply.
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