Thread: Auction Market Value Theory and Analytics

6 Structure (s)

Originally Posted by ;

This is remarkably interesting. Thank you very much. I'll attempt to implement this within my own spreadsheet B.

I'm responding to your post, as an excuse to re-post....people tend to only read the final page of a thread only. If I re-post it will be on a fresh page and hopefully viewed longer.

Serial Correlation....
The deficiency of daily serial correlation in market markets is frequently the starting point for random market concept. Studies as early as Labys and Granger (1970) confirm the daily randomness. Even in trending markets, the expectation of upward price or down price for the following day is still about 50-50. Even odds in non-trending markets isn't hard to comprehend; in trending types it is not so obvious. A market that's trending up or down will possess an enhanced probability from the fashion direction; it is simply pretty nicely masked by the random element that's always present. By way of instance, a tendency of one cent per day (on average) is practically lost in the average daily trading range of, say, ten cents. By egory, nevertheless, the random element can be averaged from the underlying price movement could be seen. We'll illue this point.

Assessing one day's information to the previous days information (or comparing one candlestick into the next candlestick, or comparing one price to the next price) following the market this manner, are examples of linear steps.

Now if you follow the information, linearly, day to day in sequential/chronological order, the market appears to move randomly. There is no day to day signs of a underlying trend.

This is the point where the random theory conspiracist's view this as some type of evidence that the markets are a random walk. When you take a look at the information in a linear, chronological, sequential, string (time series) it merely appears to be random This demones is that even in a fashion there is no day to day serial correlation. Even in trending markets, the expectation of upward price or down price for the following day is still about 50-50


instead of linearly stick to the information price to price. Lets begin measuring the exact same exact information, using non linear steps used in market analysis. Here we'll use a two day sample of information. As opposed to following the information day to day in sequential order. The results look just as random as following the market daily. There is still no signs of the underlying downtrend Even with a two day sample of information.


Let us look at a three day sample of information.... Now things begin to get interesting..Same exact data. . Still using non linear measures.Now you begin seeing some signs of the underlying downtrend. By using a three day sample of information you started to filter from the day to day random changes (random element )


It also becomes more apparent with the 4 day sample of information.


What exactly does this prove? .... Do the mathematics


Testing a Trend for Serial Correlation
There is one long downward trend from March 6, 1991, through July 10, 1991. This conduct covered 88 trading days (127 calendar days) or just over four weeks. The entire price fall is 121 cents or 1.375 cents per trading day. The daily trading-range average over the 88 trading days is 8.17 cents, which range between a high of 29.25 plus a low of 3.25 cents. Table 1-5 has the prices along with a list of higher/lower prices on the basis of 1 day, two days,... through 5 times.

Considering that a downtrend has been Pre-selected, we've added a bias to the downside.
Therefore ties those cases in which the compared prices were that the same-will be given to the H, or higher count. That contributes to Table 1-6

One of those basic fundamentals in AMVT is an understanding that the markets are not linear. Employing linear steps to explain analyze a non linear market is similar to using a tape measure to measure how many gallons it takes to fill a bucket

Should you set your information, group prices over the correct sample of period (price over time) rather than look at the information linearly, day to day through a string of candlesticks, you find the markets are in no way a random walk.

A market that's trending up or down will have an enhanced probability from the trend management

To examine that statement in a downtrend using the data beginning with the 1 day sample of information.
If you traded in the course of the last day's tendency (following price) with the probability of trading with the underlying trend, you would have correctly traded in the direction of the underlying tendency 52% of the time and you would have been incorrect 48% of the time. Correctly trading in the direction of the underlying trend following price day-to-day is still pretty much a coin toss.

Let us look at the two day sample.had you traded in the direction of the underlying trend following the two day samples of information rather than following price, you would have correctly traded in the management of the underlying tendency 62 percent of the time and you would have been incorrect 38% of the time.

Now things get interesting. .

Let us look at the three day sample.had you traded in the direction of the underlying trend using the three day samples of information rather than following price, You would have correctly traded in the direction of the underlying trend, 70 percent of the period and incorrect 30% of their time.

4 evening sample you would have been correct 73 percent of their time and incorrect 27% of the time.

5 day sample you would have been correct 76 percent of their time and wrong 24% of the time.etc.

This is what you call proof of principle...

This is remarkably interesting.

Thank you very much.

I will Attempt to implement this within my dictionary

B.

Originally Posted by ;

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audnzd

Thank you for the clarifiion. Yes, I find that poc only applies to bracketing overlays. I was confused because the indior computes poc for nonbracketing overlays, which didn't make sense in light of the illuions of chapters 6 of vbpt.

TPO counts have other uses besides above below the POC. TPO counts (measured in different ways) are employed in other ways and other references.
TPO counts above below the POC has importance in bracketing conditions. In non bracketing markets, TPO counts (measured in different ways) are employed in other ways.

POC has a specific importance in bracketing conditions, In non bracketing markets, POC has little importance in the context of tpo's above or below. However POC for a reference (is used measured in different ways) comparative other references providing other kinds of info.

You're looking at the raw data............it'll always show an abv/bl tpo count as the counts are used for other functions, not only above below the POC
POC has little significance in non bracketing markets. However POC for a variable is used in conjunction/relative to other factors providing other kinds of info.

Those familiar with the source material, would have discovered to discriminate when and under which circumstances to use references and if they do not apply to the situation at hand.

Not all reference points are important in any 1 case. You must learn about each of them and how to discriminate. In some profile instruction the operative word is'holism', looking into the pot together with some 30 or so components and divining which restrain the flavor today. Value Analytics goes another way, dividing the components, measuring them and their flow individually and removing those which do not apply to the situation in hand.

Feedback is involved: if your comprehension of a specific thing (say trade facilitation) is in error and you always make that mistake on your market egy; your mistake will become clear to you fairly quickly. This illues the value of isolating the reference points and analyzing them individually.
Https://www.forexforum.co.za/cryptoc...et-system.html

Each variable gives an individual piece of information about just what the market is performing, independently of all of the others. If the volume is increasing over the previous 3 days, that is a part of information separate from becoming concerned about what the, say range expansion, is performing. Increasing volume is an alert to some coming breakout in a balanced market or of a continuing tendency in a distributing market. You have two dozen extra reference points which may or may not confirm that observation. But each is analytic, i.e. includes a numerical value that permits you to understand it as it changes with changes to market state. Value Analytics enables you to consider each variable separately. Once you've done that, now you can consider how they fit together, what the principal tendency is. Https://www.forexforum.co.za/cryptoc...ndior-mt4.html

A high-profile in a balanced market stage would be interpreted differently than the same profile inside a trending market.
Https://www.forexforum.co.za/cryptoc...ines-time.html


The complex nature of the market is a strong argument for a phenomenological approach to market theory. A market has several aspects, components which are functional components, but still with a large degree of independence in their own behavior. As one of those elements varies, that changed behavior is returned into the market through the feedback mechanism. While elements like volume, volatility, range, timing behaviour and the like are individually measureable, they all combine to form the market one studies or trades. Each element has to be discovered and analyzed on its before there is a thought of contemplating how it impacts the entire world. The vital question of extreme market behaviour such as big, rapid changes in value, has to be understood. It is the thesis of Auction Market Value Theory that all the market components can be isolated and has to be understood prior to forming a coherent description of a market. The experienced trader collects all of the market information available, assesses each piece, ending with an awareness of the market position. Not all pieces are necessarily needed to find the market's condition. Sets that are different will be used at different times.
https://www.forexforum.co.za/broker-...unt-trade.html

Originally Posted by ;

At a bracketing overlay covering longer periods, more tpo's above the poc typically infers downward pressure because more traders above the poc are trading short than buyers under trading extended -- pure auction action at a balanced market (if I have that wrong, then...).

In that you're correct....

The total TPO figure above the point of control represents other timeframe traders prepared to sell and remain short above value, while overall TPOs beneath the point of control represent other timeframe traders prepared to buy and remain long below value

Originally Posted by ;

I've mixed views though when non-bracketing states exist and where one should specify the poc, which impacts additional references, as you mentioned.

That's the point you cant. In a trending market there is not any POC

Based on MP profile nomenclature:
To calculate a value place you loe the central 70 percent of tpo/volume,
The count begins at the price with all the summit tpo's/volume (Point of Control)
At MP profile nomenclature daily assumes equilibrium (VA).

AMVT is not MP. This was studied and discussed many times from the source material already posted into the thread..explaining the 70 percent formula fails. .

Just imagine a market in which price rises steadily, at the exact same rate, throughout daily. There'll be exactly the exact same amount of TPOs at every price. Such a distribution has no POC by which to start the count. More to the point, what is'value' in a trending market? Value comes from a consensus at a bell shaped distribution. There, some traders believe value is higher than the POC; an essentially equivalent number think value is lower than the POC. This stand-off explains the quasi-bell shaped curve of the profile in congesting markets. Moving markets generally do not have a bell shaped distribution. In the non-balance situation the snapshot calculated value is misleading at the least. At worst, it may lead to trading to the wrong motive.

So the key is that valid value can only be found while the market is at a balanced (congesting) state. Thus, a precondition for valid value determination is equilibrium; therefore then we must specify what balance means in market measureable terms.
https://web.archive.org/web/20150630..._day_rule.html

Originally Posted by ;

. Contemplating a 20 afternoon overlay at which the POC defined at 1000 15 days ago and price is now at a clear (but smaller) node at 900, where one believes the POC, will greatly alter the tpo's thought above and under and whether or not there is buying/selling pressure for that overlay at the time the 20 day tpos are measured.

This isn't MP, we're not using a series of MP's or even POC's from 15 days past, nor do we utilize or compare this 20day distribution with the preceding 20 day supply, you're trying to understand AMVT using MP methodology....Again, this is not MP, nor is MP methodology applicable to what we do here.... I don't think you understand how overlays construction is used for analysis from AMVT

People put far too much emphasis on a single reference..If you read VBPT you'll see POC isn't even mentioned in the index.

The concept of POC implies Value/balance. This isn't MP..the notion of a 70% value place doesnt apply to overlays. Those familiar with the source material have learned this...

The common thread running through all our studies is validity of the information. If trading is to be a science, then the data used in the analyses must be legitimate. The initial Market Profile analyses, and today, treats any calculated value place as a valid measure of value; with additional analyses moving from that assumption. But our job on Market Condition has proven that a one day snapshot profile may not be representative of a market and often isn't. Therefore, relying on easy reference points (purpose of control, value place ) can give an entirely misleading read of a market. If your data is not valid, how do you possibly succeed by following it? ....
https://www.forexforum.co.za/cryptoc...-alter-ea.html

In a bracketing overlay covering longer periods, more tpo's over the poc typically infers downward pressure because more traders over the poc are trading brief than buyers below trading long -- pure auction activity in a balanced market (if I have that wrong, then...). I've mixed opinions though when non-bracketing conditions exist and in which one ought to specify the poc, which impacts other references, as you noted. Considering a 20 afternoon overlay where the POC defined at 1000 15 days ago and price is currently in a clear (but smaller) node in 900, where a person considers that the POC, will greatly alter the tpo's thought above and below and whether or not there is buying/selling pressure for that overlay at the time the 20 day tpos are measured. It is an inquiry to me personally.

Originally Posted by ;

I have been reviewing document presses from the composite indior and'm interested in TPO above and below counts for overlays that are bracketing versus not-bracketing. Perhaps I'm mistaken, but it appears that the POC level (and hence the TP above/below counts) is determined by exactly the exact rules for bracketing versus not-bracketing overlays. If that's the case, it looks like the TPO ratio could badly reflect buying and selling pressure for bigger overlays, particularly when price action has been busy for days around a new node away from your overlay POC. Thank...

there are various ways tpo count is used for analysis. TPO count in the circumstance where you speak, (above/below). Carries significance in balanced/bracketing in conditions. However tpo counts are used as various other references i.e. TFF (trade facilitation variable ), LTF control, etc.. Tpo counts in a variety of manner tell you different things about the market. Depends on the context. The raw information itself is pretty much useless unless you have learned how to utilize the information first...

in the circumstance where you speak, (above/below), it is not about the values themselves, it is what the counts . Knowing if there are more tpos above or below carries no informational value with no understanding the logic of why how.

Let us make sure we're on precisely the exact same page and we have and comprehension of the exact same basic auction market fundamentals....TPO count in the circumstance of above/below....

At a bracketing state what does more tpo's above the poc infer? And can you explain why?

At a bracketing state what does more tpo's below the poc infer? And can you explain why?

Originally Posted by ;

Edit: but then again, that buying and selling pressure should be clear on the lower overlays.

Not necessarily....


Edit: I'm surprised nobody canoff the top of their minds, answer the question. I thought for sure blot would have replied, once I asked the exact same question a pole or two ago...

I have been reviewing document outputs from the composite indior and'm curious about TPO above and under counts for overlays which are bracketing versus not-bracketing. Perhaps I'm confused, but it seems that the POC level (and hence the TP above/below counts) is determined by exactly the same rules for bracketing versus not-bracketing overlays. If that's the case, it looks like that the TPO ratio could badly reflect buying and selling pressure for larger overlays, especially when price action was active for days around a new node away in your overlay POC. Thank you. Edit: but then again, that buying and selling pressure ought to be evident on the reduced overlays. Maybe I answered my own question lol

Originally Posted by ;

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