Month: October 2011

Vtrender > Forum > 2011 > October

Here are the orderflow charts from last week.

These are for all the indices we track in the trading room including the MCX and NSE exchanges.

Bank Nifty :

 Copper :

Crude :

 Gold :

 Nifty :

Silver :

The system generates buy and sell triggers which are used to initiate as well as reverse an existing position.

We recommend part booking of profits on our in house Prime Levels system which is modeled on the pivot point system of trading.

For booking profits we have revisited the age-old pivot point system of trading and worked on it by applying principles of market profile especially volume profile.


Prime pivots explained :


The pivot point system works around the pivot point which is calculated by five different methods, that I know of. The system calculates the closing price, the high price and low price of the day and in some cases even the open price and arrives at the pivot point from where the remaining support and resistance levels are derived.


What we found  through our observations was  :


a) The high price and the low price of the day are usually areas of low volume, hence the system was biased towards low volume trades.


b) The closing price is actually an average price of the last 30 minutes of trade, and the relation of that with the next day’s activity wasn’t very clear.


c) If the open price is taken in the calculation it is also an area of low volume and in some cases odd ticks and even false trades.


We flipped the system around to arrive at a prime point zero or PP0 which is a combination of the highest volumes traded at the Volume point of control and the price point of control,  serving us as some kind of a centre point for the day.


We believe the market will be positive above this one number PP0 and attract buying efforts as long as it stays above it.Similarly it will be weaker below this PP0 level and attract selling efforts.


We also computed the Prime support ( PS1) and the Prime resistance ( PR1) about 70 % equidistant from this PP0 or 35 % above it. The 70 % ( actually 68.3 %) number comes from our computation of value area which is one standard deviation of price.


The remaining levels of Prime support 2 ( PS2) or Prime resistance 2 ( PR2) are calculated similarly.


The Prime Pivot system also called power levels is a trading system in itself with a bias becoming strongly positive as the market moves from PP0 to PR1 to PR2, PR3 etc.


Likewise the selling power increases from PP0 to PS1 to PS2, PS3 etc.

In the charts above, the buy sell triggers are given on twitter, as well as the part booking points are suggested to close a part of the trade in profit.

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Orderflow charts from last week

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Here are 2  end-of day charts of the Nifty and the Bank Nifty futures.

In the charts above you have daily candles of the current month’s futures with the series vwap and the profile for the month in the top pane.

The pane below is the effective volume which is the net of the Volumes traded on the buy side as well as the sell side.

The pane below that has the Open Interest.

The last pane has the volumes for the day.

In the Nifty the fairest price is at 5014 thus far and the series vwap is at 4982. We will continue monitoring that into expiry.

In the BankNifty the fairest price is at 9600 about the series vwap is at 9323.

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OI and Volumes with vwap

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This is a continuation from my last post on the subject : https://www.vtrender.com/2011/10/of-and-mp.html

This morning Market profile helped us set up an easy 80 % rule trade.

This is the definition :

” If a market opens above (below) value area and crosses value high (low) , then in 80 % cases it will go on to hit the Value area low for that day.

Have a look :

The value area High is shown as VAH in the chart and the value area low is shown as VAL.

Just to confirm we had a sell signal in the OrderFlow charts,

At the moment ( 1.00 pm IST) the value area low is also the low of the day.

The pull back from the day high has measured 81 points in keeping with the post we made on the weekend.

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OF and MP 2

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On Thursday the market attempted to auction lower in the afternoon session after it had met with resistance around 5130 levels and was managing to clear the anomalies mentioned in our blog post that day.

The auction however had lower volumes than the preceding day and was an indication that the market wasn’t really ready to break. Don’t confuse that with strength however.

We spoke about an acceptance above 5062 as a new bracket, and the lows were in that zone.

As we look at the new week from Monday, let’s look at the bigger bracket on the Nifty daily chart.

The above chart is that of the Nifty spot. It clearly shows the market approaching the upper end of the bracket ( in blue).

Trade location will be important at the start of the week. There could be traders pushing the market higher to trigger stops which are likely to be heavy in the two zones pointed out.

There could be new buyers, just as easily as new sellers would be waiting to enter at these levels again.

In the Trading room, following OrderFlow as a basis for taking the calls becomes vitally important. Blue and green to support will signal new buyers and red and pink will speak about sellers wanting to come back.

We also need to keep an eye on the reaction theory playing out within the bracket.

The above chart is a 30 minute reaction chart showing the activity of buyers and sellers.We spoke about reaction theory in our post last on Tuesday in this post
In this market which is trending up we have seen three major reactions, measuring 60 points, 86 points and 75 points respectively.Yesterday’s intra day reversal measured 38 points.
From the highest point of the coming week, if we see a bigger reaction than the ones we have noted above, then the pendulum would have truly shifted from the buyer to the seller in the coming week.

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Nf Profile check

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Here is the updated profile chart form yesterday with some observations on it.

This chart is posted on Vtrender- 2 every evening after the market closes.

Some other observations about yesterday’s auction :

Thursday’s charts :

1) A normal variation day with bias going to the seller for day time control.
2) Auction still at the upper end of the previous 4900-5060 bracket.
3) A balanced profile to describe the day
4) the balanced profile breakout can project a 180 point move
5) exit of range n value is the better trading approach.

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NF Profile

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I’m going to post a series of articles showing the correlation of OrderFlow with Market Profile.

Here is the first one from last afternoon to today.

As you know we were tracking a bracket high at 5060 and a break above it was a buy signal.

After the close we posted this chart on Vtrender-2 for our premium subscribers, which talked about a spike into the close and anomalies at 5094 and 5074.

Take a look :

 

These were the observations on the day’s auction which were posted at 5.30 pm last night.

Wednesday’s charts :

1) A neutral day in NF with a FA below and close at extreme
2) Upper profile is non- symmetrical and having anomalies, which means that it will be revisited
3) Acceptance above day high is however bullish
4) Resistance above is 5151 and then 5235
5) Staying above 5062, the previous bracket high will mean that a new range will develop.
6) FA at 5001 will be revisited between 1-5 days
7) An auction below 5000 will change the trend to lower.

Expecting a revisit into this zone at the top of yesterday’s profile and an auction to create symmetry.

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OF and MP

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