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Multi-Pane Footprint ChartTo showcase a practical application of the new multi-pane capability of the Footprint chart I put together a chart showing the April and May crude oil. At the bottom of the chart is the spread between the two. The first screenshot shows the entire trading day over a 5 minute period as a Footprint Profile. The width of the profiles is obviously based on the volume and the color is based up on the delta. It is really nice to be able to stack the “legs” of a spread like this and see when one of the legs takes out a known reference point and see how much volume is entering and what the other leg is doing at the exact same time.
This screenshot is similar as the above one but offers a more zoomed in view. I could see this being use in any market that spreads a one against another. Another good application would be to stack up inter-market symbols that are correlated or ones that may be highly uncorrelated. A good example of an inter-market relationship worth watching would be the SPY vs. QQQ or S&P emini 500 futures vs the Nasdaq 1000 futures. You could probably think lots of other relationships worth watching. Session Statistics Indicator… RevisitedThe SESST (session statistics) indicator is an extraordinarily powerful indicator including even with the Standard edition. A few weeks ago I showed how the SESST could be used to display relative volume by time slot. But, the SESST can work on price data too. Here is a chart showing the highest high and lowest low of the first 60 minutes. Market Profile aficionados would recognize this as the Initial Balance area. Here is the chart definition. With the new Foot Print charts in 9.2, all the standard and special MarketDelta indicators can be applied, as in the SESST here. If using the Pro or Pro-Complete version, you can use RTL to create additional lines at various percentages of the Initial Balance range. For those wanting to tinker with this, use the SESST as your token and work out the math to project a higher (or lower price). You’ll need to create a custom indicator for each upper and lower line you want to add. A nice weekend project for some of you!
Volume POC Tracker with Delta Momentum ConfirmationI wanted to showcase some powerful new functionality that is available in MarketDelta version 9.2 and higher. It utilizes the new Volume Price Statistics indicator. With the evolution of the Footprint® chart, you now have the ability to apply ANY technical indicator in the library of technical indicators to a Footprint® chart. We have added a new technical indicator called the Volume Price Statistic solely aimed at unlocking the information contained with in a Footprint® and providing ways for traders to either track these unique statistics on the chart OR develop custom indicators and signals to appear on the chart when certain criteria are met. Below is a fairly simple example of a signal that looks at the high volume price within each bar and compares it to the high volume price two (2) bars ago to see if the current bar’s high volume price is higher or lower than that of two (2) bars ago. The second piece of logic for this signal is looking at the delta for the entire bar and comparing it against the delta from two (2) bars back. Essentially the signal will produce and up arrow (green) IF the high volume price for the current bar is GREATER THAN the high volume price of two (2) bars ago AND the delta for the current bar is GREATER THAN the delta of two (2) bars ago.
Of course any of these parameters could be modified to suit your needs. Watch the short video to see this firsthand. To learn how to add a technical indicator to your Footprint chart see this link. You must have version 9.2 or higher in order to do this. To download the chart definition for this chart click HERE. To learn how to import chart definitions visit this Knowledge Base FAQ. You MUST have the Professional Edition or higher to utilize this chart functionality. Here is a high resolution version of the VPS Volume POC Tracker video. (4 minutes) Smoothed Delta ColumnTake a look at this video and you will see it shows some pretty neat functionality coming in the new version of MarketDelta (9.2) due out next week. This is just a small piece of the total enhancements that will be available, but does showcase and simple strategy that some readers will really gravitate towards. Right now the software has the ability to calculate the delta for each price. The smoothed delta setting averages the delta of a user specified number of prices around each price. In this video “y” was set to 11. So the number you see in the smoothed delta column is the average of the delta for the 11 most nearby prices. The video below provides and good example of how this data might be applied in a real work trading situation. The video is just under 4 minutes.  Change and Continuation As Modes of the MarketLast week I did a webinar for the folks at IOAMT and the video is embedded below. I apologize for some user error issues during the video, as I was getting used to the presentation software for the first time on the fly. The crux of the discussion centered on seeing the market in a multi-dimensional way. Auction market theory proposes a vertical approach, whereas traditional chart reading suggests a horizontal approach. Neither is wrong or right, I submit when you put them both to use, a more profound understanding of price and volume movement can be achieved. A word of caution, a lot of time is spent on theory, so the webinar may not be everybodies cup of tea. During the webinar, I demonstrated the use of a simple custom indicator which projects ending volume for a minute based periodicity bar. The projection updates in real time and can be used with any minute based periodicity. Here is the chart definition, which contains the custom indicator. Once you import the chart definition, you’ll also have the custom indicator, which can then be added to any chart of your choosing. |
