Saturday, December 21, 2013

HFT video: "Money & Speed: Inside the Black Box"

OrderFlow trading : BookMapPro

Just saw the BookMapPro system. It seems really interesting. Of course, it is just for futures markets, and I think only for Interactive Brokers currently. It provides a DOM (Depth of Market) view, but also tracks this historically over time, to provide a really useful insight.

Of course this only works where DOM (Level 2 market information) is available, so the concept will not work with Trading Station / MarketScope.

If we wanted something like this in spot forex market, where order book is not available, we would only be able to deduce the position of large blocks of orders once price had visited the area (e.g. because price probes were quickly rejected).

A look back at the markets for 2013

Currency Strength Meter ...

Individual currencies ...

Wider markets (stocks, gold, oil, etc.)

(These charts were produced on FXCM MarketScope, using Currency Strength Meter and Multi-Compare. The scale is %change, since 2013/1/1).

Thursday, December 19, 2013

Wednesday, December 18, 2013

Financial Juice

I highly recommend any trader to seriously look at the Financial Juice site. It is free - funded entirely by adverts and sponsors - but they are not intrusive.

It contains:
  • News items / alerts (filterable)
  • S&P "Tick Strike" ("crickets" and "pop-corn")
  • Squawk Box
  • News, articles, etc.
  • And more !

Simply, it is an incredible resource for any trader, especially for active / day-trading.

Tuesday, December 17, 2013

Christmas Discount on "Mega Bundle" of MarketScope Indicators

The "Mega-Bundle" of indicators is already a great deal (being 25% discount on individual prices). Now, for a limited time only, I'm giving a further 25% discount !!!

Currently retailing at £150, for a limited period I am offering it at £100 !!! A whopping 50% discount off individual prices.

So, if you were thinking about buying some of my indicators, but didn't yet decide - well, now's your chance to get a great deal! Offer ends 31/12/2013.

The "Mega-Bundle" contains all my Market Profile based indicators, Currency StrengthMulti-CompareSession LinesWeis Wave and Line Sync.

Full details of the indicators and costs can be found here.

Free 15-day trials available on all indicators on request.

EUR/USD and GBP/USD dollar spike down to demand level

The day before FOMC minutes are released, and a USD spike down causes EUR/USD and GBP/USD to move sharply. Where do they go? To nearest demand level.

Here we can see that EUR/USD and GBP/USD both spiked down towards key POC / HVN which had previously been a strong demand level, and demand was still there, since the price quickly retraced.

Sam Seiden would ask something like ... "Who's on the other side of this trade? Who is going to sell EUR/USD or GBP/USD after a sharp decline of price into a demand level? Answer: the retail / novice trader. This is buying opportunity for the banks / big players. Trade along side the banks not with the novice".

Monday, December 16, 2013


Remember this trade from last week? Well, it hit the target. Unfortunately, I already closed the trade on Friday (didn't want to hold it over the weekend), so I only got about 30 pips in the end.

Sunday, December 15, 2013

Anatomy of Candle Profile Chart

The Candle Profile indicator constructs a price (or tick volume) profile of the aggregated price action of the instrument, for each candle/bar on the chart. This profiling concept is similar to Market Profile or Volume Profile.

The indicator utilizes a lower-timeframe data stream which is loaded separately (and in the background) to the main chart. For example, a for a daily chart (where each candle/bar represents 1 day duration), the Candle Profile can construct a profile using 1min bars (or 5min, 15min, etc.).

The technique is really useful, allowing you to easily see what happened to price action “inside the candle”, without the need to constantly refer to lower-timeframe charts (which can often present too much data to analyse effectively anyway).

In the chart below, you can see 3 charts: (left) 4H candles of GBP/JPY; (centre) 1min data of the same period; (right) original 4H candles + CandleProfile indicator showing the price profile of the underlying 1min data. You can clearly see from the right-hand chart, that the price 168.8 is going to be a key level when price revisits the level. Price will certainly react there - this could be a good place to take profits, exit a trade or enter a new one. This would not be at evident from looking at just the 4H chart on its own.

Saturday, December 14, 2013

"Multi-Compare" Indicator is now on FXCM Apps

The "Multi-Compare" indicator is now up on the "FXCM Apps"site.

The version on FXCM is more or less identical to the one on my blog, only the license key code and default instruments are currently different. You can choose where to purchase. In general the version on my blog should be more up to date (because it takes FXCM quite a long time checking the indicator as well as other compliance checks).

Friday, December 13, 2013

GBP/USD trade using Supply/Demand levels and Candle Profile

I've been re-reading / watching Sam Seiden's supply/demand technique again. Sam's technique looks at small clusters of bars from where the price rallied (or fell) sharply. This can involve scrolling back through the chart a long way to find such clusters.

Instead, I'm using the Candle Profile. Clusters of bars appear as a High Volume Node (HVN), and if price rallied sharply from here, this should be evident as a big bar up with a thin volume profile.

The chart below shows such a trade. I'm using 4H chart, with 5min CandleProfile. GBP/USD was down this morning on USD strength. Stops from recent lows were taken, and I looked for a price to buy this. I identified a zone from 27/11/2013, which gave good risk:reward, and so I placed a trade with limit entry order.

This trade is currently in profit, with 50% scaled out, and remainder at break-even. I will scale / trail stop on this, as I suspect that the USD with strengthen again soon.

Candle Profile : See inside the candle

The Candle Profile indicator uses a lower time-frame data source, to construct a profile of the aggregated price action, for each chart candle/bar. For example, when applied to a 4H chart of GBP/USD, the indicator can load 1min data to construct the profile for each 4H candle/bar on the chart.

The above screenshot demonstrates the concept with 3 charts: On the left is the original 4H candlestick chart, in the middle is the 1min data for the same period, and on the right is the 4H candlestick chart with the CandleProfile indicator.

The Candle Profile works on any time-frame, and the graphics auto-scale to the chart, as can be shown in the short movie below.

Candle Profile Release 6

Release 6 of Candle Profile uploaded. This version has a minor bug-fix (it was missing the last tick before a new bar was created). It is now fixed.

The "Mega Bundle" and "Market Profile Bundle" packages contain Candle Profile, so they have been updated also.

Updates are available on the download site.

Tuesday, December 10, 2013

GBP/JPY trade

JPY is still weakest currency, and I was looking for a pull-back today on various pairs. GBP/JPY was the first one that hit my order. The entry was taken at a High Volume Node (HVN) using the CandleProfile indicator. Initial stop was below the tail of the doji, and target is the HVN just below the highs, which I hope will get re-tested. Stop currently at break-even.

Here's Currency Strength Meter chart:

Here's the trade on GBP/JPY chart:

Financial Juice - A great trader resource (news feeds, squawk and more)

Financial Juice is a great resource for traders, featuring news feeds, live bulletins, squawk box and more.

Sam Seiden Supply / Demand webinars

I've always been a big fan of Sam Seiden and his supply/demand trading techniques. From time to time, I watch one of his webinars for a "refresher" course.

Here are several useful webinars, from FXStreet:

Check out FXStreet for more webinars by Sam.

Here's a webinar from YouTube about Sam's "Odds Enhancers".

More on "Odds Enhancers" from Sam here.

Sunday, December 8, 2013

Christmas Discount on "Mega Bundle" of MarketScope Indicators

The "Mega-Bundle" of indicators is already a great deal (being 25% discount on individual prices). Now, for a limited time only, during the run-up to Christmas, I'm giving a further 25% discount !!!

Currently retailing at £150, for a limited period I am offering it at £100 !!! A whopping 50% discount off individual prices.

So, if you were thinking about buying some of my indicators, but didn't yet decide - well, now's your chance to get a great deal!

The "Mega-Bundle" contains all my Market Profile based indicators, Currency StrengthMulti-CompareSession LinesWeis Wave and Line Sync.

Full details of the indicators and costs can be found here.

Free 15-day trials available on all indicators on request.

Friday, December 6, 2013

Currency Strength Meter 6/12/2013

Well, this last week has seen some increased activity, and now that BoE and ECB rates are out of the way, and some of the dust has settled, we can see that GBP has been knocked off the top-spot as strongest currency. ECB maintained its 0.25% rate (no more talk of negative rates or new measures - just gentle reminder that they can more if they need to), much of it was already factored in anyway, so EUR rebounded, and CHF with it.

Thursday, December 5, 2013

Algorithmic Trading "The Wall Street Code"

Just watched this interesting movie on YouTube.

Profile Release 13

Profile (Release 13):
  • Bug-fix for wrong intraday colouring when using the "bar" styles

Christmas Discount on "Mega Bundle" of MarketScope Indicators

The "Mega-Bundle" of indicators is already a great deal (being 25% discount on individual prices). Now, for a limited time only, during the run-up to Christmas, I'm giving a further 25% discount !!!

Currently retailing at £150, for a limited period I am offering it at £100 !!! A whopping 50% discount off individual prices.

So, if you were thinking about buying some of my indicators, but didn't yet decide - well, now's your chance to get a great deal!

The "Mega-Bundle" contains all my Market Profile based indicators, Currency Strength, Multi-Compare, Session Lines, Weis Wave and Line Sync.

Full details of the indicators and costs can be found here.

Free 15-day trials available on all indicators on request.

Currency Strength Meter 5/12/2013 (big news day today)

Big news day today, with BoE and ECB rates and news conferences and don't forget tomorrow is Non-Farm Payrolls in US.

Currency Strength stands like this...

The GBP is still strongest, but look at the slope, definitely moving down.

Here's the EUR/USD chart, with CandleProfiles. EUR/USD made a pre-session push this morning taking out buy stops above the range.

Tuesday, December 3, 2013

EUR/USD, Candle Profile (former support becomes resistance)

I spotted this opportunity yesterday, but missed it this morning, I was involved with other things. There was a clear resistance level formed from 3 POCs (Point Of Control) from last week. Price sliced through this yesterday (actually showing little support): the old adage "former support becomes resistance" comes into play here, and as expected this level was now resistance to the EUR/USD up-move this morning. This would have been a good target for yesterday's long (I already closed it), or a possible short entry.

Monday, December 2, 2013

Shadow Trader Video

Shadow Trader has a YouTube channel, where he provides some useful analysis (mainly futures, e.g. ES-mini), often using Market Profile. It's useful to see some good analysis like this - helps you understand what is happening and what to look out for.

EUR/USD trade using Candle Profile

A raft of good PMI data from Europe sent the USD higher, causing EUR/USD to tumble. However, I saw this as a short-term buying opportunity, and waited for a good level to enter.

Using the Candle Profile, allows me to see "inside the candle", and High Volume Nodes (HVNs) where price was traded become obvious. These HVN's initially act as magnets to price ("mean reversion trades"), but once rejected they become support/resistance zones.

I entered 2 trades here. The first did not get very far, and I closed for 5 pips. The 2nd trade was better, and is currently at 12 pips, with 50% scaled out already. I may add to the position later.

The ability to see inside the candle like this is really useful. The Candle Profile uses lower time-frame data (in this example it was m5 data) which is then aggregated into a price/volume profile for each candle (on 4H chart in this example).

Turtle Forex site & signals

Joe from "Turtle Forex" uses a combination of custom and classic indicators and fundamental analysis, along with sound risk management, to develop a trading method that provides the "edge" needed to trade consistently and profitably. Check out his site. He provides a couple of subscriber signal packages.

You can also follow him on Twitter. Well worth a follow.

Thursday, November 28, 2013

Currency Strength Meter : 'Thanksgiving'

Here is Currency Strength Meter chart for 28/11/2013 (Thanksgiving in US - happy Thanksgiving by the way). As expected things pretty flat. Biggest upset was on GBP where governer Mark Carney announced the removal of FLS (Funding for Lening Scheme - which was intended to help house buyers). This caused GBP/USD to spike to new highs.

Here's the Multi-Compare chart showing the main global indices - as expected, very flat.

Wednesday, November 27, 2013

New Release of Composite Profile

Addition of "N-hours/days/weeks back" mode. This makes it really easy to create a profile, of say last week, or last 5 days, or last 10 weeks, etc.

Release 11:
  • Added "N-hours/days/weeks back" mode

The new version can be found on the download site.

Composite Profile allows you to "anchor" the profile to the left of right edge of the chart. So, you can easily add 2 profiles with different profiling durations. In the chart below, I added a profile of the last week ("N-weeks back (N=1)") on the left, and profile of the last 4 hours the right ("N-hours back (N=4)").

Tuesday, November 26, 2013

Currency Strength Meter : 26/11/2013

GBP still looking strong. JPYgaining strength. AUD still under pressure.

Uncorrelated DAX

The DAX has been out of sync with other markets this week. Yesterday it made a huge move up whilst S&P was side-ways to down, and FTSE was down. Again, this morning, it is holding ground whilst the other markets are slightly down.

The Multi-Compare shows a negative correlation of DAX and S&P. These 2 instruments are normally highly correlated. It seems that something is "odd" with this market this week.

New Release of Currency Strength Meter and Multi-Compare

I've just uploaded a small, but useful, update for the Currency Strength Meter and the Multi-Compare indicators. The change allows the "reference / start date" to be set according to "N-bars back", which is particularly useful if using one of the post-processing modes like MACD(1, 200) as it requires 200 bars of data for the moving averages.

Multi-Compare (Release 7):
  • Added "N-bars back" mode

Currency Strength Meter (Release 11):
  • Added "N-bars back" mode

Existing users can download the updates from the download site. The indicators can be purchased from the products page.

Currency Strength Meter (in "Top Paid" section of FXCM Apps)

The Currency Strength Meter continues to be very popular, and features on FXCM's "Top Paid" section of their FXCM App Store site. You can also get it direct from my blog.

Monday, November 25, 2013

Currency Strength : 25/11/2013

Currency Strength Meter. GBP still strong, but sliding slightly. NZD made a recovery, and back to neutral. AUD and JPY still weak.

Here's the ranking according to Tyler Yell off DailyFX. Strongest & weakest are same as my Currency Strength Meter again.

Friday, November 22, 2013

Composite Profile : new mode added

I just added a new mode for the Composite Profile indicator. It now supports "N-bars back", "N-hours back", "N-days back" and "N-weeks back" for constructing the composite profile.

In this 4H chart of GBP/USD, I've used the "N-weeks back" mode (with N = 5).

NOTE: the "N-bars back" mode is a 'rolling' profile, i.e. every new bar it constructs a new profile from the previous N bars. However, the other modes are fixed at the time that you add the indicator to the chart (or modify it).

This new development is in testing, and will be incorporated into the next version.

Currency Strength : 22/11/2013

Today's post of the Currency Strength Meter.

The top chart is the distance from the currency to its 200 EMA on 4H. The slope of the line is important information as well as the absolute position. GBP still strongest currency, but slowing down for sure.

The bottom chart is RSI on 1H. Over-bought (70 level) and over-sold (30 level) are marked. However, it is normally usual to wait for the level to cross below the 70 / 30 levels.

This indicator is available on my blog or at FXCM Apps.

Thursday, November 21, 2013

Doctor Copper ?

"Market lingo for the base metal that is reputed to have a Ph.D. in economics because of its ability to predict turning points in the global economy. Because of copper's widespread applications in most sectors of the economy - from homes and factories, to electronics and power generation and transmission - demand for copper is often viewed as a reliable leading indicator of economic health." (source Investopedia)

Here I use the Multi-Instrument Compare to compare various stock indices, USDOLLAR, gold, oil and copper. This chart is a daily chart for the current year (i.e. since 1/1/2013). I've enabled the correlation matrix, and high-lighted the row for copper.

Copper is moderately negatively correlated with the stock indices for this period (e.g. -0.7 for S&P500, -0.8 for DJI). On the face of it, it would seem Dr Copper hasn't been doing so well lately.

This article also high-lights the anti-correlation of copper and S&P, and cites it as proof that the stock market rally will soon be over!

Currency Strength 21/11/2013

Today's Currency Strength Chart. GBP is clearly on top. NZD which was strong for much of the past week, is on decline. EUR looking fragile after yesterday's negative rate talk, but currently holding.

EUR/USD : PMI down / PMI up

EUR/USD made some nice moves on PMI news this morning. French PMI was weak, and EUR/USD went down, unfortunately I had a small long position on and was stopped out on the trade. Price traded right down to a High Volume Node (HVN) that I've had my eye on for the last few days, so I re-entered long here. 30mins later and German PMI sent the Euro back up. My net trade was just profitable because of the earlier loss.

News (like the poor PMI) can spook the market, but generally speaking these are just opportunities for the big boys to make money from the retail traders. Price will be marked-down sharply to a volume node, where they will then buy back (covering shorts and accumulating new longs).

Candle Profile shows the aggregated price action inside a bar/candle. Knowing that there was an HVN there was crucial to entering this trade.

Wednesday, November 20, 2013

Currency Strength

A quick look at the currencies. The upper indicator is the delta from the 200 period Moving Average. The lower indicator is RSI.

FTSE100, floor pivots and news

Well, the news wires were alive today with ECB prospect of -0.1% interest rates, plus comments about FED December tapering (again).

Anyway, when the market panics, floor pivots seem to become obvious targets, as you can see when R1 was hit, and instantly rejected.

Other pivots, acted as significant reaction levels all day.

Tuesday, November 19, 2013

Currency Strength Meter: MACD display mode

The Currency Strength Meter calculates an average value for a base currency from analysing a basket of constituent currency pairs (e.g. for computing the USD value, it computes the geometric mean of EUR/USD, GBP/USD, USD/CHF, USD/JPY, AUD/USD, USD/CAD and NZD/USD).

The Currency Strength Meter can display this 'raw' data as % change from some reference datum (e.g. N-days back, or a specified time). It can also post-process this data using RSI, SMA or MACD.

The MACD mode is particularly interesting when used as follows...

A MACD consists of 2 moving averages, one slow and one fast. The MACD is simply the difference of these 2 averages (i.e. fast - slow). A positive value indicates increasing momentum (strength), and negative value indicates decreasing momentum (weakness). A traditional MACD usually has a 3rd average which smooths the result, but the core computation is the use of the slow/fast moving averages.

Using a MACD(1, 200) (fast average = 1 period, slow average = 200 periods) may seem curious, but an average using 1 period is just the value itself, so this configuration actually computes the difference of the raw value and its 200 period moving average.

The use of the 200 period moving average in this way is a commonly used technique for currency strength analysis, and is used by DailyFX presenter Tyler yell (@ForexYell). The analysis can be done by hand or spreadsheet, but the use of the Currency Strength Meter automates the process, as well as being more flexible.

If you have access to DailyFXplus then you can see a recent archived webinar by Tyler, where he uses and explains the 200 period moving average technique on 4Hour charts.

The following chart shows 2 instances of the Currency Strength Meter. The upper one is using 4H data, and MACD(1, 200). The lower one is using 1H data, and MACD(1, 20). The strategy would be to look for currencies that are strong in the upper chart but weak in the lower chart, i.e. try to buy short-term weakness in the longer-term strength.

Currency Strength Meter Release 10

I just released a bug-fix version for the Currency Strength Meter. Actually, this version was made some time ago, but I didn't get around to updating the documentation and release package.

Release 10:
  • Bug-fix for missing historic data

The fix relates to some calculation errors when very old historic data is used (e.g. back several years), which has some holes is some currency pairs. This was causing odd calculations. Now, the calculation is only valid when data for all pairs is available.

Monday, November 18, 2013

Currency Strength (Strong to Weak)

Just listening to Tyler Yell of FXCM's DailyFX. He's talking about ranking currencies (strong to weak). The technique he's using is looking at 4H chart, and seeing how far each currency is above its 200 period moving average.

With the Currency Strength Meter, you can do something very similar. Using the MACD display mode with the fast period set to 1, and the slow period set to 200, this essentially gives the same result (since average of 1 period is just the raw value). (Make sure the chart covers at least 200 bars for the 200 period moving average to be valid).

So, the ranking using this technique, the ranking (strong to weak) would be GBP, NZD, USD, CAD, EUR, CHF, AUD and JPY.

Here's Tyler Yell's ranking, as shown on live webinar today.

Same result.

Multi-Instrument Compare Release 6

I added RSI, MACD and SMA display modes to the Multi-Instrument Compare indicator some time ago, but never got around to updating the release. Well, here it is at last.

Release 6:
  • Addition of post-processing modes: RSI, Moving Average, MACD
  • Addition of fixed ‘70/30’ lines for RSI

Existing owners can get the upgrade for free from the download site. The product can be purchased form this page.

Friday, November 15, 2013

Comparison and correlation of markets this year

Here the Multi-Compare indicator is used to compare major markets (including USD/JPY, gold and oil). The correlation matrix (in lower-left) shows the correlation of each instrument with every other.

Nikkei Rally !

Nikkei up 7.5% since start of the week! Dovish comments from Yellen. We're still in bull territory folks!

Multi-Compare allows different instruments to be compared relatively to each other. Uses a fixed reference datum (e.g. N-days back, specified date, etc.) and then calculates the change in value from that datum, and displays the change as % value.

Thursday, November 14, 2013

Floor trader pivots

Floor trader pivots are simple calculation-based support/resistance levels. There are many formulas, and variants ("Floor trader", "DeMark", "Woodies", etc.). I've been using "Floor trader" pivots. Some of the formula seem slightly different, but often it is the same formula just expressed in slightly different way.

Wednesday, November 13, 2013

Market Profile Indicator Release 12

I've just completed the documentation changes for the latest release of the Market Profile indicator.

The first thing to point out is that I've changed the name. The indicator is now called "Profile".

("Market Profile" is a registered trademark of the CME Group. Although the term "Market Profile" is often used generically to describe similar TPO profile and even Volume Profile systems. However, I decided to avoid using the name, and have adopted the simpler name of "Profile").

Release 12:
  • Improved graphics 
  • Bug-fix and other performance improvements 
  • Some changes to input parameter names and order 
  • Changed the indicator name to “Profile”

Existing owners can get the upgrade for free from the download site. The product can be purchased form this page.

Al Brooks on Big Mikes Trading Forum

This is an older webinar hosted on Big Mike's Trading Forum, which I watched again recently.

Monday, November 11, 2013

MTS Webinars Presents: Danny Riley – “Trading Rules 101″ in effect

Webinar by Danny Riley.

Candle Profile : what "period" data source to use?

The CandleProfile indicator creates a price/volume profile for each bar/candle of the instrument by using a lower timeframe data source. For example, the profile of a 4H bar can be reconstructed from 1min data.

The following charts are of EUR/USD using 4H bars/candles. The CandleProfile indicator is applied using 1min, 5min, 30min and 1H data sources. It should be obvious form the charts that the smaller time-frame data source gives a higher level of detail in the completed profile. Using 1H data for a 4H candle is particularly poor (since the profile uses only 4 data points per 4H candle/bar). However, even still, it is somewhat similar (and recognisable) to the other profiles.

There is of course a trade-off: 1) lower timeframe data takes longer to load, and 2) there is a 15000 bar limit for any data source in the current version of FXCM TradingStation II.

The 15000 bar data limit is important since it will limit how much data the indicator can load, and therefore limit how far back it can draw the profiles. To put it into context, there are 1440 x 1min bars in a day, so 15000 bars is just over 10 days. Or, 96 x 15min bars in a day - which would be just over 156 days, etc.

The indicator can also use tick data, but in this case there is a 5000 tick limit. For an instrument like EUR/USD, 5000 ticks is often less than 1H ! However, for something like FTSE100, it can be several hours.

Sunday, November 10, 2013

Composite Profile Release 10

I've just put release 5 of the Composite Profile indicator on the download site.

Release 10:
  • Improved graphics
  • Bug-fix and other performance improvements
  • Some changes to input parameter names and order

Existing owners can get the upgrade for free from the download site. The product can be purchased form this page.