Period Value Zones

6 mar

Period Value Zones is designed to help traders understand where current value is being found by splitting the day into 3 key periods based on common reversal times recognized for intraday trading.

By splitting the day into 3 periods, we can more efficiently determine where short-term value lies by using only the data we consider relevant during these periods of time.

> Overview

This indicator is recommended for low timeframe trading during the New York RTH Session.
By only trading within this session, we can ensure that volume and volatility remain fairly consistent.



Within each Period, you will find on the chart:

• Value Area Points from Previous period (Value High(VAH)/Value Low(VAL)/Point of Control(POC))
  
• Volume Weighted Average Price (VWAP) Cloud, based on High and Low values during the period.
  
• Value Zone based Potential Reversal Zones.
  

Additional Displays:

• Potential Reversal Detection Signals with Invalidation Levels
  
• Forward Plotted Key Market times.
  

> Components

• Value Area Points

VAH/VAL/POC are important volume profile points which display where the market has previously held value.
We use these specific levels as support and resistance to confirm direction by monitoring interactions between price and these important levels.
The VAH and VAL lines change colors based on price's interaction with them to confirm whether that level should be regarded as support or resistance.

• VWAP Cloud

VWAP is a common metric used to determine the strength of a trend, and provides a point to look for re-bid & re-offer.
When price breaks out of our Fixed Value zone, VWAP helps us determine further direction.
Also included is VWAP deviation bands, for traders who would prefer to view the standard deviation away from this cloud as well.

• Value Reversal Zones

These Zones are calculated based on extensions of the Period Value Zone.
While in a balanced market, these zones have been shown to provide potential reversal opportunities.

• Potential Reversal Signals

These signals are based on an advanced method for confirming a higher-low or lower-high to reasonably create a signal that is not very laggy but also rooted in sound logic.
While helpful, These are NOT buy or sell signals, and you should always use further analysis to decide the next steps to take.
When a signal appears, an associated invalidation level is also displayed, if this level is crossed the associated signal is no longer considered relevant.

• Key Market Times

These are important times within the day that normally produce volatility caused by daily market catalysts.
Each key time is forward plotted 1 hour before it occurs to provide a clear heads up for potential opportunity.

• Opening Fuel: Known for having an increase in Volume after the formation of the 15min Opening Range.
  
• 1st Reversal: Common Area for seeing initial large positioning effecting the market, often causing reversals.
  
• Initial Balance Close: End of the first hour, a common positioning tool for futures traders.
  
• 2nd Reversal: Positioning is typically reactionary to IB Close, alongside Euro Traders Exiting Positions.
  
• Euro Close: Close of Europe Session, a common positioning tool for futures traders.
  
• Lunch: Usually Low Volume, traders are often out to lunch.
  
• Lunch End: Volume tends to re-enter, as traders come back from lunch.
  
• 1st Reversal: New Hour, common area to see large position re-enter the market.
  
• Bonds Close: Bonds markets close, Equities reacting to close of the bond market.
  
• 1st MOC: Initial Market on Close orders are places, market reaction is normally expected off of MOC positioning.
  
• MOC Close: As MOC orders are reported, volatility is likely found within the market.
  

> Methodology



This indicator can be used with the same principles as trading balanced volume profiles.

• Rule 1: Unless the price breaks and holds Value High or Value Low, we should expect buyers and sellers to maintain the current balance.
  
• Rule 2: If we break and push away from the Period Value High, we should treat that level as supportive on retest unless we look back below and sellers defend on retest.
  
• Rule 3: If we break and push away from the Period Value Low, we should treat that level as resistance on retest unless we look back above and buyers defend on retest.
  
• Rule 4: If we recover Value Low, and it becomes supportive, we look for our Period POC and Period Value High as our targets above.
  
• Rule 5: If we fail to hold Period Value High, and it becomes resistance, we look for our Period POC and Period Value Low as targets below.
  

Balance in the context of this indicator is considered as the area between Period Value High and Period Value Low

Acceptance outside of balance in the context of this indicator is considered as Period Value Low or High, becoming supportive or resistance.

> Examples

Theoretical Example:
In the bullish example below, price holds VWAP and makes POC supportive, showing interest from buyers pushing to Value High.


Real-World Example:
Below is an example of the same setup as the theoretical example, taking place on a real futures chart.



By utilizing these rules, we can look for opportunities at these levels and have a plan for how we should be interacting with them.
This will help us determine likely targets and risk-off levels that are based on volume and current "value" from participants.

12 mar

Note di rilascio

Bug Fix: On some contracts, Session Break Lines were being drawn horizontally across the chart. This has been fixed.

14 mar

Note di rilascio

Added Price Labels to Value Lines

19 mar

Note di rilascio

Added Value Shift Levels
Value Shift Levels are the previous period value levels pulled over to the current period for reference.
By utilizing these levels we can better determine what to expect from current auction.

15 lug

Note di rilascio

Added text-size options for value labels.