V.6:12 (448-449): Market Profile Part 5 by Thomas P. Drinka, Stephen M. Ptasienski and Robby L. Humes

V.6:12 (448-449): Market Profile Part 5 by Thomas P. Drinka, Stephen M. Ptasienski and Robby L. Humes
Item# \V06\C12\Mktprof.PDF
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Market Profile Part 5 by Thomas P. Drinka, Stephen M. Ptasienski and Robby L. Humes

To make the information from the Chicago Board of Trade's Market Profile and Liquidity Data Bank reports more useful to traders, we have tabulated time-and-sales as well as volume data on 12 futures markets to determine what could be considered "typical" behavior.

We analyzed 38 contracts (Figure 1) between February 1 and April 22, 1988 a relatively brief period which means that the volatility and trader participation may not reflect long-term measures. Rather, these are the type of analyses that Market Profile traders should conduct on a day-to-day basis. This way, when the market becomes more or less volatile, hard data will show it and your "feel" for market activity will be backed up by facts.

Day structure

J. Peter Steidlmayer, who formulated the Market Profile/Liquidity Data Bank information service, has observed the market over many years and identified six types of day structure (see Stocks & Commodities, December 1987). Generally, in futures markets, he has found that non-trend days account for 5% of the trading sessions, normal and normal variation days together account for 80% of the trading sessions, trend days occur 5% to 10% of the time, neutral days 8% and running profile days 2%.

In our three-month period of analysis (Figure 2), some of the futures markets, especially CBOT corn, confirmed Steidlmayer's observations.




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