Wednesday, February 27, 2013

FootprintChart.com

This site seems dedicated to MarketDelta's Footprint charts, there is some good information on it.

FootprintChart.com

Tuesday, February 26, 2013

Footprint with volume tracking symbols

I refined the volume tracking for the Footprint. It can be turned off, and there are options to position the tracking symbol. The "look-back" period can be specified also. Now I need to evaluate to see how useful it is (or isn't). I don't think it will be a real game changer, but everything helps.

Here it is on the FTSE100.

Volume Tracking on Footprint

This is an experiment. I'm not sure if it will be useful yet.

I have implemented a 'volume tracking' system into the Footprint indicator. The idea is to store statistics of the historic volume at price, and then to compare the current volume to these historic levels.

Statistically significant differences (i.e. greater or less than some number of standard deviations) are marked with "+" or "-" signs.


The concept may be similar to Dr Keppler's Volume Tracking indicator. I don't know how that works, it is proprietary, but it occurred to me that if you wanted to track volume at price over time, then you would compare the current volume with previous values and look for significantly bigger or smaller values.

Monday, February 25, 2013

S&P500 Footprint shows the selling volume

I managed to catch this selling volume entering the S&P using the Footprint chart. The initial 15mins of the pit session were fairly balanced, but with a couple of resistance levels above. When price reached these levels, I saw increase in selling volume, which resulted in a big sell-off. The "bulge" that forms at the high seems to be a good clue that selling is coming in (since price is always capped on the upside, and rotates downwards). Eventually, the price breaks away from the bulge (downwards in this case).

I actually took the trade on the DAX, which plummeted over 100 pips during this sell-off. Unfortunately, I didn't expect such a big sell-off, so only took 25 pips on that one.


S&P did eventually sell-off significantly from this chop zone. Here's the impact on FTSE100.


And DAX (I managed to re-enter later on, and made some good profit today).


PS: S&P500 close. Wow! Open, test higher, then drive down all the way.

Saturday, February 23, 2013

LineSync tool for MarketScope 2.0

The LineSync tool has been developed to aid trading with multiple charts. For instance, when you manually draw support/resistance lines, trend lines, pivot points, or other key levels onto a chart; it’s often really useful to have these same levels and lines copied to a different chart, e.g. a lower timeframe chart of the same instrument. LineSync can do just that.

It uses an internal database to allow lines to be shared across multiple charts. You can find out more about it here.

However, since this is an add-on, and not part of MarketScope itself, the interface for drawing lines is different. It takes a little bit of getting used to, but I find it an invaluable tool.

I created a very short video demonstration for it. This was my first video and I had terrible problems trying to get it uploaded to YouTube (eventually had to change browser!). There's no sound or captions, but it should be obvious. I'll try to do a better one later now I know how to do it.

Anyway, here's the video.

Thursday, February 21, 2013

Gap trade information

Some useful links on trading gaps:

Some videos on trading gaps:


Here's an interest study from Kurtosis Trading on gap-fills for DAX and ESTX50.

Gap-down on DAX and FTSE after yesterday's FOMC

The main stock indices were down significantly after yesterday's FOMC minutes in the US. There were gaps down on DAX and FTSE100, which made little or no attempt to close, and there was further sell-off this morning. Currently sitting around the weekly lows.

Here's the FTSE100.

Here's the DAX. 

Using LineSync indicator to show significant levels from higher time-frame chart. Using GapHighligher to show the gaps (including 'inside gaps'). NOTE: GapHighlighter set to 2 pips for FTSE100 and 3 pips for DAX (since 2 pip gaps will occur regularly during normal trading).

Wednesday, February 20, 2013

DAX Footprint shows the selling zone

DAX opened today without a gap. Once numbers and London open out of the way there was a rally, but the long wicks with volume shows the (hidden) selling. I marked a selling zone on the chart, and as price entered this zone, there was evidence of selling all throughout the day. Eventually after US open there was sell-off, causing DAX to break out of the range.

I scalped throughout the day to the downside, making some pips, but missed out on the breakout move.

Here's the morning session.


Here's the afternoon session.


People often say that the majority of the trading volume is in the body of the candle. Whilst this can be true much of the time (for nice balanced markets). When the volume is biased towards the top or bottom wick, this is a very good indication that something is going on.

Remember, "big money" needs to sell into up-bars and but into down-bars (to hide their selling and maintain their price). If "big money" has bought (or sold) at some price, then they are likely going to sell (or buy) when favourable - this could be later in the day, the following day, or later in the week. This is accumulation / distribution cycle: buy cheap, mark up price, sell at the highs, mark-down the price, start again.

I'm using Footprint indicator, Buy/Sell Volume indicator and LineSync (to mark key levels from higher timeframe chart). The Composite Profile was also on the chart, but was not really used.

Tuesday, February 19, 2013

Buy / Sell Volume

I just made a formal release of the Buy/Sell Volume. An early version was previously placed on FXCodeBase. The new version has some additional features, including the same tick-based classification models as used by the Footprint indicator.



See here for more information.

Footprint Release 6

I made a small, but useful improvement to the Footprint indicator.

Footprint Release 6
  • New display style “Bar style 2”
  • Font size for the “totals labels” can be set separately


The new release is available on the download site. Send me an email if you need assistance.

For more information on the Footprint indicator see here.

Market Profile Release 8

I made a couple of small improvements to the Market Profile indicator.

Market Profile Release 8
  • Addition of “Combined” style which shows TPOs and tick volume lines 
  • Ability to set the scaling factor for lines (tick volume only) 
  • Ability to reverse the direction of lines (tick volume and TPO count) so they are drawn to the left of the profile

Here's the "Combined" style with TPO letters and tick volume lines.


Here's two Market Profiles attached to the same chart, the tick volume profile is using the "reverse" feature. This enables separate parameters for resolution, colours and styles. Here the VPOC is in green and the POC is red.


The new release is available on the download site. Send me an email if you need assistance.

For more information on the Market Profile indicator see here.

Morning gaps on DAX and FTSE

Yesterday's trading was very flat and narrow range, since US was closed, and no big numbers out. Today DAX opened with a very small gap-down (less than 10 pips). It did not close straight away, but went further down to a marked support level from last week. Shortly after London opened (which also opened at a previous support level), the DAX made a very large move upwards. Gap was closed, and continued on upwards. Not really sure what the reason for the risk-on move was.


FTSE100 also opened with a gap-down (reasonable size). It found support at a key level from last week, and then the gap closed nicely. Price continued on upwards, but not as bullish as DAX.


Using LineSync to mark support/resistance levels from higher timeframe chart, and Footprint to observe the gaps and buying/selling.

Monday, February 18, 2013

Buy/Sell Volume and Footprint

I've just completed a modification to my Buy/Sell Volume indicator (formally available at FXCodeBase). The addition is for a text only display - which shows all the values numerically.

Just for comparison, I have a Footprint indicator on the chart below. Now, one thing to note is that the Buy/Sell Volume indicator uses a "bulk" model for buy/sell classification. On the other hand, Footprint is a tick-based model. They result in different values. The "bulk" model is the same as used on the Better_Volume indicator. I was working on another statistical model last year, but I didn't complete the work. I may go back to it soon. Alternatively (or possibly additionally) I will include the Footprint's tick-based model into the Buy/Sell indicator. So watch this space.

Friday, February 15, 2013

Asteroid 2012 DA14 affect on stock market

Asteroid 2012 DA14 made its closest approach to earth at 19:25 GMT, at a distance of just over 27,700 km (or 17,200 miles) that was very close.

It left its fingerprint in the stock market. Here's the S&P500 chart, showing large dip down, then a return to normal after the asteroid had passed by the earth safely.


This was an interesting end to the week. The chart is using my Trend Line Cluster algorithm (still in development). You can see the place it eventually found support is a cluster of nearly horizontal lines going back a 2 or 3 days.

Well, apart from a few bits of rock causing sonic booms over Russia - we seemed to have survived. Well done us! Have a nice weekend everyone.

Footprint Release 5

I just completed Footprint Release 5. It is now on the download site.

The changes from the previous version are actually quite small. I've added 2 new display styles.

Footprint Release 5:
  • New display styles “Shaded cells” and “Shaded cells and text”

I've very pleased with the "Shaded cells and text" style it is very easy to read, since the text is black. The "Shaded cells" has the advantage that it could be used when the chart is zoomed-out.

Shaded cells and text
Shaded cells

The new version is on the download site, or email me if you need assistance.

Further information on the Footprint can be found here.

Indicator license keys

Some of my indicator software requires a license key. The indicator is entered into the indicator as an input parameter. The documentation mentions how to use the key, but in case it is not clear I've made this small post.

After entering the key you are recommend to use the "Set as Default" option of MarketScope, which will then remember the settings (including the key) for next time. This is so you don't have to enter the key each time.

Thursday, February 14, 2013

Combined TPO + tick volume

Another idea in the pipeline. I had a request to show the tick volume + TPO chart with the same indicator.

I've did a very quick prototype of this. Basically there are 2 ways to do this.

Option 1: enhance the indicator to draw both TPOs and tick volume lines
Option 2: use 2 separate copies of the indicator to draw the TPOs and tick volume lines



Option 1 requires duplication of many of inputs, e.g. the resolution, size, various colours, etc. Plus you'd have to decide whether things like NPOCs were based on TPO count of volume (i.e. NVPOCs). Option 2 is actually easier to implement and more flexible, but a little bit more cumbersome.

I'm still evaluating. Comments welcome.

Here's the 2-indicator approach again.


Although the 2-indicator approach is simpler to implement, the convenience of the 1-indicator approach is obvious.

Wednesday, February 13, 2013

Some more changes in the pipeline

I've implemented a new display mode for the Footprint. It uses coloured cells and plain text to show the Footprint value (e.g. Buy & Sell volume). This actually looks quite nice, and is a little bit clearer to see.

The change is still under evaluation.


I've also been asked for a modification for my Buy/Sell Volume indicator. They request uses a similar style with coloured cells and plain text, which is drawn as an "oscillator" (i.e. not on the price chart but the bit beneath it). Since, this is very similar I will do this as well, and will probably release together.

Monday, February 11, 2013

Footprint Release 4

I have completed testing of the latest changes to the Footprint indicator.

Footprint (Release 4):
  • Buy/Sell classification is attributed to the previous price level, e.g. if price up-ticked from 7509 to 7510 then a “buy” is attributed to the 7509 “price bin”.
  • Added several options for the “totals labels”, e.g. Total Volume, Total Delta, Delta Volume, Delta Delta, etc. 
  • Addition of a “Mixed” colouring effect, which will nicely blend the colours from buy colour à neutral colour à sell colour.
The 1st change gives much better results for the footprint. The buy/sell allocation per price bin seems more correct, and sensible.

The 2nd change is the addition of enhanced labels for the "totals". There is now a new input parameter called "Totals style". This input parameter can be set to Off, Total volume, Total buy/sell, Total delta, Delta volume, Delta buy/sell or Delta delta.

When set to “Total volume”, the total tick volume recorded for the bar is show above the candle (in bold italics font). When set to “Total buy/sell” the total buy-ticks are displayed above the candle, and the total sell-ticks are displayed below. When set to “Total delta” the total delta (i.e. difference between buy-ticks and sell-ticks) is displayed above the candle. The “Delta” options display similar information, but as a difference from the previous bar. Thus, “Delta volume” will display the number of ticks difference from the previous bar (as a positive or negative value), etc.

Finally, I added a new colouring effect called "Mixed" - it uses colour mixing to create a nice colouring effect as the buy/sell delta goes from net buying through neutral to net selling.

This version is available on the download site.

More information on the Footprint indicator can be found here.

Friday, February 8, 2013

Update to Currency Strength and Multi-Compare indicators

The Currency Strength and Multi-Compare indicators have both been updated with a new feature.

The feature relates to how the reference date is specified. This date is required in order to compare the different currency indices or instruments. There are now several options:
  • Chart (use the start of the chart as the reference)
  • Specified date&time (enter the date as "YYYY/MM/DD hh:mm" - time part is optional)
  • N-hours back (where "N" is an input parameter)
  • N-days back (where "N" is an input parameter)
  • N-weeks back (where "N" is an input parameter)

The latest version can be downloaded from the download site, or contact me if you require further information.

DAX and FTSE gap

A small gap-up on the open. I entered a short trade to close the gap, but price had a real tough time breaking through a level. As London opened I scratched the trade at just 1 pip, fearing a spike up as FSTE was also expected to gap-up.

FTSE did gap-up as expected, and to the expected level, but not before DAX finally closed the gap. Anyway, I had another entry order (long) on the close of the DAX gap, which moved up for nice profit. Unfortunately, I moved to break-even too soon, and was caught by a spike down, before the trade move on up for 30 pips.

Two near perfect entries, but messed up the exits. I learn from things like this.

Here's the DAX.


Here's the FTSE100.


By the way, the blue dashed lines on both charts are significant levels drawn on a higher timeframe chart. I'm using my LineSync tool here to keep lines automatically synchronized across multiple charts. It's really useful.

Thursday, February 7, 2013

Great price action on the DAX

Today's volatility in S&P500 affecting DAX too of course. DAX already had a big down move this week and looking over-sold, so people looking to buy it. The pull-back caused by the S&P looks like a good buying opportunity on the DAX - nice long green wicks on the Footprint.

But wait! S&P not finished yet, it goes lower. Now, one thing to think about is where all those DAX longs put their stops... right under that long wick. As price drops lower, I saw an opportunity for a quick stop run. With a sell stop order 1 tick below the wick and a 2 tick limit, my trade was filled and over quick as a flash. Well, that's what the professional traders are doing - I'm just piggy-backing.

If there is a big pop you can get additional pips slippage (in your favour). If you place multiple lots, it can be nice. But you don't want to let it go against you. In and out - no delay.

This chart is using Footprint, and my new Trend Line Cluster indicator. You can see the resistance level was touched nicely too. Unfortunately, today I was too busy and distracted with other things to take advantage of most of this action, and ended up break-even for the day, but mentally/emotionally positive.


Oh, and the higher timeframe chart shows the POC being tagged nicely too.

Some interesting price action on S&P500

Well, this morning I posted about confluence of overhead resistance on the S&P500. During European morning the price was pushed (I'd say "marked-up") through this level to nudge at the highs. Pushing up through resistance takes effort, why would you do that? So you can sell at higher prices! European session is lower volume than US session, but has enough volume to move the market (Asian is usually more of "reversion to mean"), so this is perfect time... push it up in the London morning, get people expecting another rally, and then sell it down hard.

The point at which it broke down was itself a confluence of trend lines and support. During US morning, the prices were marked down, pulling the rug from under the feat of this latest rally. Prices plummet to a lower support level. Process starts again. This is text book VSA price action stuff!

Footprint indicator change

I am currently testing a change to the Footprint indicator. In the current version of Footprint, the buy/sell classification is applied to the current tick price. However, I recently wondered whether this was correct, and perhaps it should be applied to the previous tick.

For example, suppose the price of DAX is 7610 and it down-ticks to 7609. The current version of Footprint will classify this as a "sell", which is attributed to the "price bin" for 7609. However, in my current test version, I apply this "sell" to the 7610 "price bin". Now, depending on the selected resolution these 2 price levels might actually be assigned to the same bin. However, with small bin sizes, and big moves, this could make a difference.

The following 2 charts of the DAX have the same settings, except for this change.

Here's the version with the old method:


Here's the version with the new method:


There are definitely significant differences. (Ignore the fact that the last bar is 1 tick higher in the first case, that's just because I took the screenshots a few seconds apart).

For example, f you look at the last 2 bars, you can see that the buy/sell around the POC is inverted. The new method looks to be a lot more robust, and shows (hopefully correctly) selling on upper wicks, and buying on lower wicks.

I'll release an update with this change as soon as possible.

I also have another pending change for the bar colouring, so that default colours can be used for the bars/candles or you can specify your own.

S&P500 trend line clusters

SP500 failing to make any further progress higher overnight (as expected), and the Trend Line Cluster indicator showing a large amount of overhead resistance.


PS: Well, after posting, it pushed through those trend lines and resistance levels during the Europe morning session (thinner volume that US). Currently attacking the recent highs. When US opens they won't like it!

Tuesday, February 5, 2013

S&P500 and Trend Line Clusters

This is SP500 from few minutes ago, as the market opened today. The new "Trend Line Cluster" indicator working quite well, showing the support and resistance levels caused by the intersection of trend lines and horizontal levels. When resistance is broken, there is usually a pop, and then "resistance becomes support".


Here's a screenshot from a couple of hours later. The price is really trying to push up through resistance, you can see the choppy long-wick / small body candles. The easier path would be to wait for pull-back to lower channel line, so why is it taking the hard route? Something is going on here in my view.

Anyway, I tried to take a short when it reached resistance levels from last Friday, but the trade didn't really move, and since there still seemed to be some upward pressure, I scratched the trade at break-even.


Final chart as the day closes. I was right in scratching my short trade. They pushed up the price through resistance, took out previous high by 1 tick and then it came down again. Interesting that there wasn't a big stop run as they took out the high - on previous occasions over last few weeks, there's been more of a rally as previous highs were taken out. Maybe this is a sign, that the appetite for further highs is finally over?

Monday, February 4, 2013

Trend line clusters

This indicator is currently under development. The indicator creates and tests many combinations of trend lines, and calculates their intersections - which are shown as red shaded areas in this implementation.

For clarity, the trend lines are not actually drawn here. The red shaded areas represent dynamic support / resistance lines. Here's the indicator applied to DAX.


The idea behind this indicator, is to use these as guides where the price action might reverse, stall or break through.

Many traders use trend lines, price channels, or horizontal price levels. However, they are using different time-frames, different criteria for drawing the lines, and different criteria for entering a trade. As price moves up or down due to the auction process, traders may enter trades according to their entry criteria and proximity to their drawn trend line. Of course, where traders agree there will be a stronger reaction. This is the intention behind the trend line clustering algorithm; rather than try to create just a single "best" trend line, it creates many potentially valid lines, and where they align or intersect with other lines the signal will be stronger.

It needs more work, but I think it has some potential.

Watch this space.

Week starts with big risk off move

European equity indices took a tumble today. DAX was right back to December's level pre-fiscal cliff solution rally!

S&P was also risk off, but more modest in my opinion - a normal correction, although there may be more to come. The rally from last Friday's NFP was erased, and prices found support at last week's VAL (Value Area Low). Staying above this level is key for further gains.

Footprint

I made a small bug-fix to the Footprint indicator. I found that it did not update the chart every tick, but always 1 tick behind. This is now fixed. Nothing else was changed. It is on the download site as Footprint3a.zip.

Trend line clusters

I'm working on a new indicator. This is still very early development, but so far it looks quite good.

The indicator is similar to many "auto trend line" indicators; it connects price pivots to generate trend lines. My indicator goes a little but further than this and also computes the intersections of trend lines, so-called 'trend line clusters'. The red shaded areas in the chart below show the intersections. The more intersections there are, the deeper the colour.


Currently the lines all of have the same 'weight', but eventually I will qualify the lines a little better, e.g. number of times it was tagged, the strength of the pivot points that generated the line, etc.

DAX Footprint and opening gap

Small gap-down as the markets opened on Monday. I tried to trade the close of the gap, but it didn't really move (+1 pip / -1 pip for extended period). Sometimes the DAX waits for London to open before doing anything, and as it approached 7:45 I  closed the trade (at break-even). I was right, and there was a spike down as London opened - which would have taken my stop. The R:R on this trade was low, and I didn't consider it to be worthwhile to pursue, although the gap did close eventually.

Friday, February 1, 2013

FTSE100 Footprint and NFP

FTSE100 opened with a gap-up, which did not close today. It was NFP today (Non Farm Payrolls) - often a volatile time. The results were pretty much in-line with expectations, and so no strong (adverse) reaction. Actually the candle for 13:30 (GMT) when NFP was released spiked down on low volume to a prior POC area which had shown demand (because price rallied from it), and it rallied further from this up up and way.

DAX Footprint

I've not been using the Footprint chart much recently. However, today I tried out the new release, which shows gaps in the price data, as can be seen in the screenshot below.

The Footprint doesn't work so well on very small time-frames on CFDs like DAX, because the ticks per bar is quite low, and so the statistical information is not so robust. A 15min chart is about as low as you can go. With forex you could probably go to 5min chart.

Things to note are:
  • The position of the POC (the purple highlighted zone)
  • Any HVN and LVN in the body of the candle; look out for when these prices are revisited in following bars
  • The candles wicks; does the volume taper out? And if so, is this at prices that were previously high volume?