Friday, October 12, 2012
Variable time Market Profiles
Having listened to some webinars by Peter Steidlmayer, I decided to implement his "variable time profile" idea. Actually, variable profiles were on my "TO-DO" list anyway, but I hadn't worked out a good way to do it. The system he describes in the video was simply to start a new profile when the price broke the range of the last 9 bars, of a profile which is at least 12 bars old (although these parameters are changeable of course).
It is very simple algorithm (much simpler than I was thinking of), but seems to work remarkably well.
Here it is on 1 hour chart. It does a reasonable job of splitting the price action into distinct profiles, such as 'b', 'P', 'D' and 'B' profiles.
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You might also find the following link useful (see below), which I had blogged about previously. It is an idea called the "Run-Pause Profile" - the idea is to split the price action into congestion (pause) and non-congestion (run) sections. It is similar idea to Peter's I guess.
Peter also talks somewhere (I forget which of his papers) about IPM (Initial Price Moves), which is the initial breakout from a balance region, when the breakout move starts to form balance then it results in a 'P' or 'b' profiles. By manually splitting the profile at he IPM you can split your chart into a series of balance / non-balance areas. Of course, these are also variable-time profiles since they do not start/end at set times, but rather they follow the price.
(Can't post link yet, as I do not have enough posts - but do a google search for "CISCO futures Run Pause Profile"
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