improving Volume Profile, Market Profile, Auction Theory
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- Опубліковано 12 вер 2024
- Auction theory was a great theory for its time, but more recent research has refined our understanding of markets. We'll go into some backtesting, and how we can incorporate more recent research into our trading.
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Hypothetical Performance Disclosure:
Hypothetical performance results have many inherent limitations, some of which are described below. no representation is being made that any account will or is likely to achieve profits or losses similar to those shown; in fact, there are frequently sharp differences between hypothetical performance results and the actual results subsequently achieved by any particular trading program. One of the limitations of hypothetical performance results is that they are generally prepared with the benefit of hindsight. In addition, hypothetical trading does not involve financial risk, and no hypothetical trading record can completely account for the impact of financial risk of actual trading. for example, the ability to withstand losses or to adhere to a particular trading program in spite of trading losses are material points which can also adversely affect actual trading results. There are numerous other factors related to the markets in general or to the implementation of any specific trading program which cannot be fully accounted for in the preparation of hypothetical performance results and all which can adversely affect trading results.
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Coming from a student of market profile, I have to say the beginning hurt my feelings a bit but loved the entire piece of content, especially when we started talking about the walruses, lol no but I really do appreciate this. I’ve seen your other video you referenced but I’m going back to take a new gander with fresh eyes. Thanks for your time & great video 🫡🔌
Great theories. Very interesting to think about. - thanks
Hey Seth just discovered you on reddit today. Really appreciate the solid and quality content. Can you do a video about how what's behind and to interpret some patterns or "confluences" of technical indicators that a lot of people seem to teach here as being a sure thing.
Is that jigsaw on the monitors ? Is it any good ?
A walrus auction does sound kinda fun though.
Ok but is the walrus the item or the auctioneer?
@@melissaellis1534Both the auctioneer and the bidders. But not the item because I don't think Walruses are slaveholders.
Clicked the like button. Thanks Seth.
imo auction theory (and all the other theories like smc, price action, technical analysis and so on) are born as *an attempt* to rationalize how markets move and to help with building a framework that allows one to condense information, not really as a scientific explanation of why and how markets move (even though they are marketed like that). personally i use it just to gain a bit of context on the longer term, i certainly don't take a trade based on what the profile looks like. and i know a few traders that are way more experienced and way richer than me that use it, and from what i've seen, they all look at different things and none of them uses it the same way.
so all of that was to say that i agree with you (and with empirical evidence lol) and the results of your backtest didn't really surprise me. what did pick my interest though, was all the explanation of metaorder execution towards the end of the video (also the topic of liquidity holes and how one with enough size could try to build one on purpose), could you provide some resources to dig deeper into the topic?
The study I was mainly referencing is here: arxiv.org/abs/1506.03758
May I suggest look into what happens when price opens in previous days value area.. this is where the previous days POC becomes significant;)
Yup this is true!
wow Seth thx for this input ❤🙏🏼🧿🤲🏼🙋🏻♀️⚘🕊 greetings fellow earthling
Why I feel like that volume profile and TPO profiles are Super advanced tools of grand paas those can very well turn a Trending Market into a mean reverting rotation.
So meta orders get filled during a market repair inside low nodes…..
These areas usually end up being the POC / high volume nodes when they're done.
Hey man question,
The first back testing data I would presume is going to not work as you’re using the va that is developing on an intra day but on the back test it would be the set VA. We can’t know what that’s going to be so surely it wouldn’t work when actually using it as it can change. Better would be to use the PD VA data surely? Interested to hear your thoughts
If you said previous day data I missed it and I apologise
@@burrmax2312 Exactly. The line that the indicator plots is the previous day's POC/VAH/VAL otherwise the indicator could see the future.
However, we could potentially plot lines for current day's developing levels, but I have not seen a common setup for using that.
can you show on a footprint chart what the "
order flows look like"
7:08 why even backrest? , when price is future time preference for future returns based on present investment.
14:05 ludwig von mises who institutionalized Austrian school of economics, said in real life there is never optimum point of intersection reached ever.
Have you read thesis of tarun chordia and Richard roll? they seriously claim that
liquidity is highly predictable, but there is no evidence
of predictability on daily market returns...
and predictive power of volatility is only marginal,
I did a similar thing with CSVs that stored daily values of things so they could be grabbed for historical calculations. That's very useful when your computer is aging, as mine is.
I wonder if your poke at "conspiracy theorists" relates to the view that the institutional traders/market makers do things such as stop hunting, etc. Mind you, there are criminal investigators who search for market manipulation, so if that's what you're getting at, it's really the doubters who are the so-called "conspiracy theorists."
Anyway, interesting video. I was surprised to see you tackling these types of analysis given the (strong) opinions you've previously given regarding technical analysis. Maybe you've changed your mind?
The key is that you need to have something that predicts flows. Technical analysis doesn't do that very effectively. It's usually going to be something informational. If you're able to predict the flows then you can make a very good estimate of how it will play out using the technicals. There are stylized behaviors, but they aren't necessarily predictive.
Anyways I have another backtest to show you guys in a few weeks that really effectively shows the problem with some recent fad strategies.
@@SpeculatorSeth I think you're right. When you really dig into most indicators and strategies, they merely tell you what has happened. I'm inclined to say even many popular market theories fall apart upon further inspection (e.g. the auction theory you mentioned).
Have you heard of Edward Thorp? He's a mathematician and former professor I think you'd like. Making money on the stock market by creating mathematical theories is something he's tackled and been very successful at.
Here's a good interview:
ua-cam.com/video/CNvz91Jyzbg/v-deo.html
Proving yet again... A little knowledge can be a dangerous thing.
Very good content👍
19:52 value is by definition a subjective valuation of each individual, why there be any fairness in the value.. ? 5:50 that's why retail traders can never become quants. btw,its same Austrian economists carl menger, walras and bohm bawerk who have marginal-ism and subjective theory of value.
AI, write some code that does everything Seth's does but with slightly longer backtesting just to spite his hard work😂🤖"
please teach ninjascript from zero to expert.thanks
im going to scream. this video is too much for me
Volume profile is BS coz volume are highly manipulated things which can be manipulated
🤣
too much of your face to little of charts, pictures ,examples etc. etc. not an atractive class video
Seth, sincerely, i lost brain cells watching this video
great tips! do you have a business e-mail or other social media account where i can shoot a message? thanks man