MarketDelta Strategy Guide

MarketDelta Strategy Guide
© Copyright 2007 MarketDelta LLC. All Rights Reserved.
MarketDelta Strategy Guide
Enabling you to "See INSIDE the CHART"
by MarketDelta LLC
MarketDelta® offers unique tools and analytics to empower
the trader to see more, do more, and make more.
Use this guide to learn more about the various ways to use
the Footprint® chart, Market Profile® and other tools
included in MarketDelta®.
MarketDelta Strategy Guide
© Copyright 2007 MarketDelta LLC. All Rights Reserved.
The MarketDelta software and User Manual are copyrighted with all rights reserved. No parts of this work may be reproduced in any form or by any means graphic, electronic, or mechanical, including photocopying,recording, taping, or information storage and retrieval systems - in whole or part without the written
permission of MarketDelta LLC. The information contained in this manual is subject to change without notice. No intellectual property rights or title to ownership in
and to the software and/or documentation or any copy,compilation, translation or other derivative work are transferred to the end user or any third party
hereunder.Products that are referred to in this document may be either trademarks and/or registered trademarks of the respective owners. No claim is made as to
these trademarks.The documentation and software are provided "as is" and without any express or implied warranties including, without limitation, merchantability
or fitness for a particular purpose. Similarly, there is no warranty as to performance, accuracy, or functionality. MarketDelta LLC makes no representation, warranty
orcovenant concerning the accuracy, sequence, timeliness, completeness or availability of the software and/or documentation or any other information or the
likelihood of profitable trading uses. The user assumes the entire risk of using the software and/or documentation and accepts full responsibility for any investment
decision or loss or expense whatsoever relating to the accuracy of the information furnished herein or for theuse thereof or for omissions therein. The user agrees
to hold MarketDelta LLC harmless from and against any such losses or expenses arising from provision or use of the software and/or documentation, regardless of
cause or form of action, whether in contract, tort, strict liability, statutory liability or otherwise.
Printed: July 2007 in Chicago
© 2007 MarketDelta LLC. All Rights Reserved. MarketDelta and Footprint are Registered Trademarks ofMarketDelta LLC. Microsoft™, Internet
Explorer™, Windows™, Windows 2000™, Windows XP™, are either registered trademarks or trademarks of Microsoft Corporation in the U.S.A.
and/or other countries. Adobe® and Acrobat® are registered trademarks of Adobe. E-Mini S&P 500™ and S&P™ are trademarks of the McGraw Hill
Companies, Inc. and have been licensed for use by the Chicago Mercantile Exchange. Nasdaq™ & E-Mini Nasdaq 100™ are registered trademarks of
the Nasdaq Stock Market, Inc. and are licensed for use by the Chicago Mercanitle Exchange. Dow™ is a trademark of Dow Jones & Company and
licensed for use by the Chicago Board of Trade. Market Profile® is a registered trademark of the Chicago Board of Trade. Other brand and product
names are registered trademarks or trademarks of their respective owners.
4
MarketDelta Strategy Guide
Table of Contents
Foreword
0
Part I Testimonials
7
Part II Strategy Guide Overview
10
Part III Anatomy of a Footprint
15
1 Bid / Ask Footprint
................................................................................................................................... 17
2 Footprint Profile
................................................................................................................................... 19
3 Delta Footprint
................................................................................................................................... 21
4 Delta Percent
................................................................................................................................... 24
5 Volume Footprint
................................................................................................................................... 27
6 Understanding
...................................................................................................................................
Periodicties
29
Part IV Footprint Strategies
38
1 S&P 500 e-mini
................................................................................................................................... 42
2 Russell 2000...................................................................................................................................
e-mini
49
3 Dow mini
................................................................................................................................... 53
4 Dax
................................................................................................................................... 58
5 EuroStoxx 50
................................................................................................................................... 63
6 Crude Oil
................................................................................................................................... 67
7 Gold
................................................................................................................................... 74
8 Grains
................................................................................................................................... 77
9 Bund
................................................................................................................................... 81
10 10 Yr Note ................................................................................................................................... 86
11 Currency Futures
................................................................................................................................... 90
12 Stocks & ETF's
................................................................................................................................... 94
© Copyright 2007 MarketDelta LLC. All Rights Reserved.
Contents
5
13 Market Profile
...................................................................................................................................
Strategies
97
Advanced Market
..........................................................................................................................................................
Profile Strategies
106
14 Miscellaneous
...................................................................................................................................
Strategies
117
Volume Cluster
..........................................................................................................................................................
Consolidating
..........................................................................................................................................................
Candy Striping
..........................................................................................................................................................
117
119
121
Part V Conclusion
125
Index
127
© Copyright 2007 MarketDelta LLC. All Rights Reserved.
5
Part
I
Testimonials
1
7
Testimonials
"I had wanted to let you know since I first discovered Market Delta, and I apologize
for not doing so, but as a former open outcry trader I can honestly say that your
system is about the closest I have come to true market transparency since being in a
pit. I do believe it can be a very useful addition to any traders arsenal."
- Damian H. — United Kingdom
" I traded at the CBOT for 20 years scalping in the 30 year Bond pit. I have since
been trading off the floor, on a screen, for the last five years. I related very much to
one of your clients testimonials. Since being off the floor, I have lost that edge of
sight, sound and intensity. If their is a way to regain some of that by using your
product, then their may still be hope in saving a 25 year trading career. I have always
felt that volume and price action along with who and how it is being traded, is the key
to trading off the floor. Unfortunately, I have tried several products and wasted much
to much money on indicators and software that were not even close. I have gone
over your website and can honestly say, I have not seen anything even close to this.
"
- Larry G. -- Chicago
"I got it all up an running today and watched many of your online video's. This seems
to be what I have been looking for as a final confirmation tool. I have been keenly
interested in volume and bid/ask pressure. This lets you see right through volume
structure. It helped me avoid two trades and see when to take two other trades."
- Blair C. -- British Columbia
"Just wanted to express my appreciation for bringing MarketDelta to market. I've
been looking for its functionality literally for years. It truly is an important innovation
especially for day traders. Its ease of use, flexibility in tailoring the settings as well as
the clarity of its displays are excellent. That said, what is most significant by far is the
positive effect MD is having on my trading. You talk about MD enabling a better
"feel" for the market's action. For me, (and I'm still in the early stages of tapping
MD's potential) this "feel" has already translated into more confidence and better
© Copyright 2007 MarketDelta LLC. All Rights Reserved.
8
MarketDelta Strategy Guide
timing on my entries, less anxiety in staying in my trades, and better results on exits
whether it's in cutting my losses or increasing my profits."
- Bob A. -- Toronto
"MarketDelta is just about the most amazing tool I have ever used. As a former floor
trader, I was used to gauging the speed and direction of a price move by observing
volume. Large and knowledgeable institutional traders are often the first to act in
anticipation of big move and on the floor I could see it all...both the intensity and
extensity of these traders buying and selling. Since the electronic medium is
anonymous and "spoofing" is so common these days, a tool like MarketDelta™ has
proved to be of invaluable help. I am able to gauge the same patterns and feel that I
had from the floor using this most amazing program. If you are a tick trader or
scalper, you gotta have to have this incredible piece of software."
- Gerard C. -- Singapore
"Thought I would drop you a line to let you know how thankful I am for your product. I
have been position trading the Australian and European markets for some years now
and MarketDelta has opened a new dimension for me in terms of execution.
Basically, MD has allowed me to zone in on those sweet entry and exit points, which
the traditional order book and course of sales helped with but never got me as tight
as MD has managed."
- Ray K. -- Australia
"Your software enables me to "look under the hood" of market action in a way I
hadn't imagined possible before I stumbled onto your website. Imagine -- a few
weeks ago, I'd never heard of Market Delta. Now, I won't place a trade without it."
- Peter O. -- Massachusetts
click here for more.
© Copyright 2007 MarketDelta LLC. All Rights Reserved.
Part
II
10
2
MarketDelta Strategy Guide
Strategy Guide Overview
This strategy guide will provide ideas on how MarketDelta® and the Footprint® chart
can be utilized. This guide does not even come close to all the possible uses and
strategies that are possible, but does provide a good foundation from which to begin
putting your ideas to work with some practical examples. Some of these examples
are taken directly from customer feedback, while a majority of examples are patterns
and strategies we have identified after years of working with the Footprint® chart.
Keep in mind the basic premise of the Footprint® is to help you understand
more fully what is taking place in the market and provide some context to all
the activity taking place. The Footprint® is NOT a system, but rather a
superior way of viewing price and volume interact. It will provide a means of
confirming much of what you already know to be true but offer a better way of
filter out the good trades from the bad.
The format of this guide is to provide the Anatomy of a Footprint® so that you
fully understand what the Footprint® is and begin to see the usefulness of it.
The Footprint® Strategies chapter will cover what this guide is all about: Real
life trading examples of patterns, setups, and strategies for many of the most
popular markets that the Footprint® is used for. Each market category will have
a couple examples that you will experience while trading. All of these examples can
be applied to other markets and are not exclusive to each individual market shown.
If you are new to MarketDelta®, the Footprint® chart it may look abstract at first. We
ask that you please give it a chance and look at it as just another chart, similar to a
bar or candlestick chart. Viewed in that manner, you will quickly realize the
Footprint® is simply not just another chart, but a tool you won't be able to do without.
Allow the natural way Footprints® breakdown each bar, price by price, to
communicate to you through color, shape, and numbers. You will see the additional
information is indispensable and something that can really compliment your current
strategies and skills sets.
© Copyright 2007 MarketDelta LLC. All Rights Reserved.
Strategy Guide Overview
11
A very important distinction of MarketDelta® is that it's NOT a buy-sell system.
MarketDelta® is instead a cutting edge decision support tool that combines
technology and instant availability of trade data with each trade. By taking advantage
of technology and using price AND volume, the Footprint® provides a very intuitive
and unprecedented view of the market. This provides traders with higher quality
information in a more precise format and allows them to act with more
confidence and decisiveness.
Interpreting MarketDelta's display and data will require grasping principles and not
just memorizing a few rules or setups. Even though the display looks very
quantitative with all the numbers and calculations being performed, it is more of an
art than science when it comes to applying it. It will be your task to interpret the
patterns and data within the innovative display called the Footprint®. Throughout
this guide there will be many examples and descriptions of what to look for, but this
guide is by no means comprehensive. You are encouraged to apply your
knowledge of the markets using the unique visual perspective the Footprint®
provides and see what other profitable opportunities you can discover. We
believe in empowering the trader and providing them with charts and analytics they
can learn to read into and adapt to their methodology of trading.
Those who make the effort to learn this valuable new way of interpreting data will
gain a priceless skill that hopefully will allow for further development of your trading
skills and provide context for evaluating the market. Because the Footprint® is not
some indicator or buy/sell system, you don't have to worry about it not working some
day. The Footprint® is providing a display and context of the market in a
dynamic manner to help you identify and then confirm trading opportunities.
The Footprint® will capture the changes in the market so you can adjust accordingly,
no matter what the market conditions do over time.
Why Consider the Footprint®
A good analogy of why the Footprint® is needed and why it makes perfect sense to
adopt it would be the following: We have all done a job in a particular manner and
thought we knew best on how that job could be accomplished. Then one day we
© Copyright 2007 MarketDelta LLC. All Rights Reserved.
12
MarketDelta Strategy Guide
come in contact with someone who is doing that SAME JOB differently and much
more productively by using a different technique or tool. You are amazed that you
did not think of doing it that way and immediately realize the benefits the new
technique provides. However, you also realize that to master the new technique and
become as skilled as the other person will take time and effort. Regardless of the
effort needed, you fully realize that to be competitive and productive you must adopt
the new technique. You also realize that if you are not to adopt the new technique,
others that do adopt will have an edge (advantage) over you. This little story sums
up how the other charting types compare to the Footprint® and why it will be
important for the success of traders to adopt and integrate the Footprint®. The
reason for this is the Footprint® chart is the only chart type to show a price bar
broken up by price and show the volume at each price. You now have more
information presented in a logical, visual manner....you now have the Footprint®!
Trading requires making a decision based on all available information. Current
charting methods are not giving all this information in an intuitive way for you to
make quick, informed decisions. Chart types such as line, bar, candlestick, etc. are
limited in the information they can provide. Granted, they do a good job of showing
a picture of price but that is what they were created long ago to do.....just show price.
With advancements in technology, electronic markets have come into being and with
electronic markets comes the ability to send out all the trade information at once.
Traditionally with non-electronic markets volume would not be known until possibly
the next day. By that time it is not of much use for short term traders. Exchanges
now send all this information with each trade as it occurs and give us the ability to
present this "newly available" data in much more efficient, visual, and useful ways.
Ask any database expert and they will tell you it's not what data you have but how
you are able to put that data to use. The Footprint® does just this: makes sense
of the data and provides real time context for traders in a very readable and
intuitive display.
The Footprint® can't predict the future, but then nothing can. What it can do is help
you to understand the present market conditions from multiple perspectives -- price,
volume, buy and sell pressure. And if you understand what's happening now, in
the present, you can make better decisions about what might happen in the
© Copyright 2007 MarketDelta LLC. All Rights Reserved.
Strategy Guide Overview
13
near future.
Traditional charts are one dimensional where the Footprint® is multi-dimensional.
This is because each data point (price) in the Footprint® contains not just
price alone, but also volume and a dynamic color which signifies more
aggressive buying or selling. The color is the result of whether more trading
occurred on the bid or ask. With all this additional trade data at each point, new
intra-bar patterns emerge that you previously haven't noticed because it simply
wasn't presented to you. Technology is what makes this all possible. So jump on
board and begin using what the professionals are adopting each and every day as
the default chart for the next generation of traders.
© Copyright 2007 MarketDelta LLC. All Rights Reserved.
Part
III
Anatomy of a Footprint
3
15
Anatomy of a Footprint
The Footprint® breaks a bar up by each PRICE and includes some metric
depending on which Footprint® you are viewing. The "metric" is volume or a
derivative of volume, usually delta. Each Footprint® is also shaded a particular color
based upon either volume or aggressive buying or aggressive selling (delta). The
Footprints® are Bid / Ask, Footprint® Profile, Delta %, Delta, Volume and a few
more Footprint® types not covered in this guide. Each is unique in the information it
provides and explained in detail individually throughout this chapter. The purpose of
the Footprint® is to provide a way to analyze price, volume, and order flow all
together and also to show what is happening intra-bar. Essentially, the Footprint®
provides a way to track the market, as well as how volume impacted price.
Footprint Type - This is the information within the actual Footprint®. The primary
types are Bid / Ask (seen above), Footprint® Profile, Delta %, Delta, Volume. There
are a few other Footprint® types which can be read more about in the Help Manual.
© Copyright 2007 MarketDelta LLC. All Rights Reserved.
16
MarketDelta Strategy Guide
Read each description throughout this chapter to fully understand and see
graphically the difference between these five Footprint® types.
Periodicity - Periodicity is the measure by which a new bar will be created. Each bar
consists of multiple prices (Footprints®). MarketDelta® provides various periodicities
that can be used to create new bars. One periodicity named delta is exclusive to
MarketDelta® and provides a very powerful way to follow and confirm prices
rotations and reversals. All traders are familiar with time based bars (1 minute, 5
minute, etc.). MarketDelta excels at providing all sorts of various ways to create new
bars, most of them being non-time based. This is very important because the
information the Footprint® shows may be more relevant when viewing non-time
based bars like tick bars, volume bars, range bars, reversal bars, and our latest,
delta bars. These prove to be very useful when looking at a Footprint® chart
because the Footprint® captures volume and the way that volume was transacted
(aggressive buyer or aggressive seller). As a market trades and has momentum in
the price swings, capturing how volume, tick activity, and price movement all
interacted is extremely important and useful. That said, you will notice many of the
examples throughout this guide will be with non-time based charts. It is not that time
based charts are useless with the Footprint® chart, but we encourage you to
consider other periodicities to confirm the time based charts. More information on
periodicities can be found in this special chapter.
Color Shading - Each Footprint® is colored one of two colors that you specify. By
default the Footprints® are red or green. Red signifies more aggressive selling at
that price (more trading occurred while that price was the bid versus when it was the
ask). Green signifies more aggressive buying at that price (more trading occurred
while that price was the ask versus when it was the bid). Each Footprint® is shaded
according to how strong the aggressive buying or selling actually was. This strength
is simply based on volume; how much volume traded on the bid versus ask. Traders
will gain experience in the use of the Footprint® chart and be more in tune to the
underlying market dynamics and changes in market activity.
© Copyright 2007 MarketDelta LLC. All Rights Reserved.
Anatomy of a Footprint
3.1
17
Bid / Ask Footprint
Bid / Ask Footprint® – Displays the number of shares or contracts that traded on the
bid price and the number of shares or contracts that traded at the ask price in real
time and in the periodicity you want. As the bid and ask change with price, the Bid /
Ask Footprint® adjusts accordingly. They display as (cumulative BID traded volume
x cumulative ASK traded volume). (Example: 1000 x 400). 'x' is a spacer and not a
mathematical operator in this notation.
·
·
·
·
·
·
·
·
Click the 'BxA' button at the top of the Footprint® window to view.
This Footprint® will help you keep track of the market action as it happens.
Better follow how the volume is coming into the market and driving price change.
Follow volume and momentum as it happens and let the color tell you who is being
more aggressive, buyer or seller.
Footprint® shows whether the volume was on the bid side or the ask (offer) side.
Confirm who is in control at key price levels.
See how many shares (contracts) traded.
See how many orders where involved.
The Footprint® provides context to all the price, volume and order flow in any time
frame you want and presents it in a simple, easy to read display. This allows the
trader to be nimble and focus only on what is important but still have the capability to
reference past data at any level.
© Copyright 2007 MarketDelta LLC. All Rights Reserved.
18
MarketDelta Strategy Guide
STRATEGY - The Bid/Ask Footprint® was our original Footprint® type. Because
there are a lot of numbers shown on this type, it may be best utilized focusing in
more on the color of the Footprint® than the numbers. Once comfortable with this
display type it is a great view because the volume can be seen, as well as, which
side of the market experienced greater volume. These numbers combined with the
color of the Footprint® and the open/close bar can keep you much more informed
while the bar is building instead of having to wait for it to close to evaluate what took
place. This is what we mean when we say "See Inside the Chart". You are
literally seeing inside each bar as it is being built, providing for more timely
decisions at key levels.
© Copyright 2007 MarketDelta LLC. All Rights Reserved.
Anatomy of a Footprint
3.2
19
Footprint Profile
Footprint® Profile - This displays a profile or vertical histogram of volume at price in
whatever time frame chosen. The color of each Footprint® within each profile is
based on the delta. Delta is the net buying or selling that occurred at each price.
Green represents a positive delta (buying pressure) and red represents a negative
delta (selling pressure).
· Click the 'FP' button at the top of the Footprint® panel to view.
· Popular view for those who are familiar with Market Profile® and allows a trader to
drill down and see inside the chart.
· This Footprint® Profile will help you track areas of high interest among many
participants in a nice graphical manner.
· Quickly track the high volume prices bar by bar to see if the market is attracting
more participants at higher/lower levels.
· See the shape of each bar in any time frame to reveal clues to the underlying
market structure.
· Use the color of each Footprint® to confirm the pressure being exerted at each
price. Combine this with the volume (shape of bar) and you will have a very good
understanding and representation of the market generated data.
© Copyright 2007 MarketDelta LLC. All Rights Reserved.
20
MarketDelta Strategy Guide
STRATEGY - This has quickly became one of our most popular Footprint® types.
Use it to visually see how much volume is occurring at any one price or series of
prices. Let the color, especially consecutive color, provide indication of the dominant
side of the market. When you see red Footprints® stacking up it is evidence the
sellers are in control. Using other factors like where the market is in relation to value
(and/or other factors), the Footprint® Profile can provide valuable insight to the
likelihood of the move continuing or reversing. Use the high volume nodes a
potential support/resistance on pullbacks.
© Copyright 2007 MarketDelta LLC. All Rights Reserved.
Anatomy of a Footprint
3.3
21
Delta Footprint
Delta Footprint® – Displays a positive or negative number. A negative delta value
represents aggressive selling. Specifically, it represents how many more
shares/contracts were sold on the bid versus when that price was the ask. A
positive delta value represents aggressive buying. Specifically it represents how
many more shares/contracts were bought at the ask (offer) versus when the price
was the bid. Delta is the term we use to describe the net difference between the
quantity traded on the ask versus the quantity traded on the bid. Delta Footprint® is
used to give a measurement of buying and selling pressure at each traded price in
real time. It also helps to quantify who, buyer or seller, is more aggressive (in turn
producing pressure) as price fluctuates.
· Click the 'Dlta' button on top of the Footprint® panel to view.
· Gives a true sense of buy and sell activity at each price.
· Very advantageous to see price runs sequentially. Begin to realize when a current
run is running out of fuel.
· See a price run strengthen as volume is captured by the Footprint to quantify
momentum.
· Know when and where the buyers are accumulating and the sellers are
distributing.
· See the prices where aggressive selling or aggressive buying kicked in and moved
price (provides potential areas of support/resistance if a pullback occurs).
· Takes up less screen space (width) than the bid/ask Footprint® and can be used
to see more bars.
© Copyright 2007 MarketDelta LLC. All Rights Reserved.
22
MarketDelta Strategy Guide
STRATEGY - Using this Footprint® a trader might look to identify potential areas of
intra bar support and resistance. Of course this would only be applicable if viewing
bars that tend to be longer term in nature (15 min to daily). In the graphic above, the
1521.50 and 1521.75 area could prove to be a good area of resistance if price were
to bounce back up to it. Those were the only prices we saw any considerable buying
enter during this time period. Over the course of the day each price ends up having
a delta (net buy and sell volume) associated with it and it can be very interesting to
see how this all adds up over time. To see this data, open the Footprint®
preferences window, select the 'Columns' tab, and check 'Delta'.
© Copyright 2007 MarketDelta LLC. All Rights Reserved.
Anatomy of a Footprint
23
STRATEGY - Use the bar delta values to monitor the strength according to volume
as each bar develops. For many instruments (especially ones that have some
volatility and momentum) the bar delta provides key insight into the strength of a
move. For instance, as price trades lower the expectation is to see a negative delta.
This would signify sellers are being more aggressive and hitting more bids. The bar
delta provides a way to monitor the selling coming into the market price by price and
bar by bar. Eventually the market has to stop. The Delta my reach an extreme level
or you my see buyers finally enter the market aggressively near the lows. If the
buyers finally step in aggressively, green Footprints® would immediately appear
alerting you to this fact.
© Copyright 2007 MarketDelta LLC. All Rights Reserved.
24
3.4
MarketDelta Strategy Guide
Delta Percent
The Delta Percent FootprintÒ - Shows the percentage of volume that occurred on
the dominant side of trading. It is essentially showing a ratio of bid traded volume
and ask traded volume but only showing the % of volume that occurred on the most
dominant side of the market. For instance, if the FootprintÒ is green (in the graphic
below) then it had a positive delta and the number shown represents the % of
volume that occurred at the ask price for that particular FootprintÒ. If the FootprintÒ
is red then it had a negative delta and the number shown represents the % of
volume that occurred at the bid price for that particular FootprintÒ.
Using the Footprint® preferences menu (click 'More' button to open the preferences
window) choose the General tab | Footprint Type | Delta Percent.
© Copyright 2007 MarketDelta LLC. All Rights Reserved.
Anatomy of a Footprint
25
STRATEGY - A general method for utilizing this FootprintÒ would be to look for bars
where the values are increasing in the direction of the trend. For instance, when
price is trading at higher and higher prices, are the Delta Percentages are increasing
as well? This would serve to confirm that more and more volume is occurring at the
ask price, signifying the aggressiveness of the buyers to get into the market. This
provides key insight to when a market is beginning to come into equilibrium.
STRATEGY - Another strategy would be if the Delta Percentages are very neutral
(between 50 and 60) at a breakout level, then the chances increase that the
breakout will not hold and revert back within the range. The logic behind this is at
© Copyright 2007 MarketDelta LLC. All Rights Reserved.
26
MarketDelta Strategy Guide
breakout levels we expect to see expanding volume and a significant portion of the
volume to be occurring in the direction of the breakout. This would be a green shade
for up-side breakouts and red for down-side breakouts. Failure to see large Delta
Percentage readings at these key levels and prices should give reason to question
the breakout.
STRATEGY - Look at the delta percent at the bottom of each bar. Sideways
markets will have a very neutral bar delta percent of somewhere between 50% - 59%
from our observations. When these readings start printing beyond 60% a directional
move could begin. This is a simple strategy but great way to monitor the underlying
directional order flow in real time.
© Copyright 2007 MarketDelta LLC. All Rights Reserved.
Anatomy of a Footprint
3.5
27
Volume Footprint
Volume Footprint® - Displays the total volume traded at each price, regardless of
whether it was bid or ask. This is helpful in showing where large volume occurs.
The calculation would be the bid traded volume + the ask traded volume = Volume
Footprint®. Using the Bid / Ask Footprint® example (1000 x 400), the Volume
Footprint® would be 1400. This will never be a negative number because it is the
sum of traded volume. Each Footprint® is shaded according to the level of volume.
The heavier the volume, the darker the Footprint®.
· Click the 'Vol' button at the top of the Footprint® panel to view. The left "Vol" button
is shaded for just volume as described above. The right "Vol" button is colored
according to the Delta of the Footprint®. The shading is still based upon the
volume.
· Know when and where active trading is occurring.
· Have the added context of volume price by price within the bar in any time frame
you want.
· Know at which prices the largest traders area comfortable trading at.
· You won't be fooled by orders that look like they traded but really didn't trade.
· Similar to noise on the trading floor, when applied to electronic markets, this tool
will let you know how and where the volume trades.
· Know how much traded at extreme prices. This is very helpful when prices are
capitulating.
· See pockets of liquidity. These provide potential support and resistance points.
© Copyright 2007 MarketDelta LLC. All Rights Reserved.
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MarketDelta Strategy Guide
STRATEGY - We have found many of the traders who like this Footprint® type trade
instruments that are less volatile and less driven by momentum. One example of
these markets would be fixed income markets. Traders we have spoken with say
the volume Footprint® is extremely useful because they can see inside the bar to
evaluate how much volume is trading at each price over whatever time frame they
want to see. This provides valuable information with respect to where the markets
are most providing the most liquidity and can assist traders and managers at finding
the best places to enter and exit positions.
© Copyright 2007 MarketDelta LLC. All Rights Reserved.
Anatomy of a Footprint
3.6
29
Understanding Periodicties
Periodicity Summary
We are dedicating a portion of this guide to understanding the various bar
periodicities MarketDelta offers. This is important because of the Footprint® chart
and the way we can now view and calculate trade data. This will particularly discuss
WHY you may consider some of these alternate periodicities and classify them into
three categories: Time, Volume, and Volatility based periodicities.
Periodicity is another word for "time frame". We use the word periodicity because
many of the periodicity options in MarketDelta® do NOT use time as a component.
This simply means the charts do not draw new bars based upon a clock, but rather
some other parameter. Generically this other parameter may be volume or a
derivative of volatility.
Time Based
Periodicities
Seconds
Minutes
Days
Volume Based Periodicities
Volume
Delta
Volatility Based
Periodicities
Price
Range
Change
Reversal
Tick
The primary difference between the three categories is what needs to occur for a
new bar to be created. This will result in how long it took for it to be created.
Time based periodicities will create bars based upon the tick of the clock. This is
certainly the most traditional way of plotting price and it gives a natural order to what
you are looking at. Each bar represents the same amount of time. For many traders
this is a very comfortable way to view price activity.
© Copyright 2007 MarketDelta LLC. All Rights Reserved.
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MarketDelta Strategy Guide
To change the periodicity on
traditional charts just type a
number and this screen will
appear.
To change the periodicity on the Footprint® Chart
simply type in the value for the periodicity and then
select what type from the drop down list. Another way is
to open the Footprint® Preferences window and make
the change.
Example: 10 minutes, 10 volume, 10 ticks, 10 prices,
etc.
· Seconds - Time-based bars composed of any number of seconds.
· Minutes - Time-based bars composed of any number of minutes.
· Days - Time based bars. Day bars are relevant only for multi-day viewing periods,
and allow multiple day bars to be seen on a single profile.
Volume based periodicity consists of two different choices. Volume builds each
bar based on a set level of volume you specify. For instance, specifying 10,000 will
create each bars that consist of 10,000 traded contracts or shares. This periodicity
normalizes the bars with respect to volume. There will be times when it might take a
long time to trade 10,0000 contracts and there will be other times that 10,000 will
trade in a relatively short period of time. Of course you can set this value to
whatever volume level you want.
· Volume - Activity based bars composed of any amount of volume. Each bar has
© Copyright 2007 MarketDelta LLC. All Rights Reserved.
Anatomy of a Footprint
31
equal amount of volume. Trades can be split into multiple bars. Volume Bars are
volume-driven bars, with each bar having a required minimum volume. Once the
volume requirement is reached, the next tick/trade will initiate a new bar (and
become the opening price of that new bar).
A 3000 Volume Bar chart of ES with volume can be seen here. Notice that the volume of every bars is
essentially the same. All bars have the required volume of 3000, with some having slightly
more depending on the volume of the last tick/trade that occurred in that bar. The current bar will
obviously have less than the required amount of volume while it is forming.
For Volume Bars, the volume or each bar is essentially held constant, while price and time are variables.
· Delta - A new periodicity which MarketDelta introduced to the trading world is the
Delta periodicity. Delta periodicity uses a user specified delta to create new bars.
Delta is the term we use to describe net buying or selling with respect to how
volume was created. For instance, if 50 contracts trade at the Ask price then it
would be +50 delta. IF 50 contracts traded at the bid price then the delta for that
trade would be -50. The delta periodicity is keeping a running total of how volume
is being transacted in the market and will closely follow and confirm the order flow
© Copyright 2007 MarketDelta LLC. All Rights Reserved.
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MarketDelta Strategy Guide
coming into the market. For instruments that have volatility and momentum to their
intra-day price swings the delta periodicity will open a whole new world to how you
look at the market. The delta is monitoring how the volume is being transacted
and will smooth out the rotations, provide more acute awareness to market
reversals, and most of all, show the underlying strength in the market which will
help capture more of the move. Below is a 5000 delta ES chart using the Delta
FootprintÒ. More information and settings can be found here.
Volatility based periodicity creates bars based up the actual movement of price.
This "movement" can be tallied in the five methods listed above. The basic idea of
volatility based periodicities is that time is not considered in the construction of a new
bar. If the market does not move around enough to meet the criteria for the
periodicity chosen then a new bar is NOT created.
· Prices - Volatility based bars composed of any number of prices. Similar to range
bars, except the magnitude is expressed in number of prices, instead of actual
price range.
· Range - Volatility based bars composed of any range of price. Each bar has the
same high/low range.
© Copyright 2007 MarketDelta LLC. All Rights Reserved.
Anatomy of a Footprint
33
Here is an example of a 2.0 range bar for the ES. This would be equivalent to 2
point or 8 ticks in the ES. Also notice that each bar opens at a price outside of the
high/low range of the previous bar. And last, notice that each bar closes at either it's
high or it's low. The way this would be entered for the Footprint chart would be "1.75
Range". These are the three rules of range bars.
· Each bar must have a high/low range equal to the range specified. The high/
low range of a bar can exceed the range specified in certain situations (gaps)
but can never be less that
the range specified.
· Each bar must open outside the high/low range of the previous bar.
· Each bar must close at either it's high or it's low.
With Range Bars (and Change Bars), new bars will only be formed when price is
moving. When prices gets stuck in a tight range for an extended period of time,
horizontal screen real estate will not be wasted with multiple bars that would have
formed had the periodicity been volume or time driven.
For Range Bars, the high/low range of each bar is essentially held constant, while
time and volume are variables.
© Copyright 2007 MarketDelta LLC. All Rights Reserved.
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MarketDelta Strategy Guide
· Change - Volatility based bars composed of any change of price. Change bars are
price-driven bars, with each bar having a required minimum open-close change (in
either direction). Once the change requirement is reached, the first tick to break
outside that change will begin a new bar (and become the opening price of that
new bar).
· A 0.50 change Bar chart of the ES is seen below. Notice that the magnitude of the
open/close change of each bar is 0.50. Also notice that each bar opens at a price
outside of the open/close range of the previous bar. And last, notice that each bar
closes at either it's high or it's low. These are the three rules of range bars.
· Each bar must have a open/close change equal to the
change specified. The open/close change of a bar can
exceed the change specified in certain situations (gaps) but
can never be less that the change specified.
· Each bar must open outside the open/close range of the
previous bar.
· Each bar must close at either it's high or it's low.
For Change Bars, the magnitude of the open/close change of
each bar is essentially held constant, while time and volume
are variables.
· Ticks - Activity based bars. Similar to volume bars, each bar is composed of a
user specified number of ticks. Tick charts start a new bar or column when a
specified number of ticks occur. A tick is defined as a single trade. Popular
settings would be 89, 144, 233, 377, or 610 tick charts, with many other popular
favorites. This type of chart provides more granularity than time based charts.
· Reversals - Volatility based bars, building upon the concept of Point and Figure.
This type of chart monitors price action and doesn't have a time component. Each
column is designated either up or down and alternates between up and down
accordingly. A new column is started only if price travels in the opposite direction
© Copyright 2007 MarketDelta LLC. All Rights Reserved.
Anatomy of a Footprint
35
that a column is designated. There are never to up columns or two down columns
back to back as defined by the charting method. The green (up) or red (down)
arrow at the top of the bar or column is called the column designator which is
simple stating the designation of the bar. This is important because once each
column is designated up or down, then the only other rule is to monitor the number
of price ticks from the high or low that occur. Each column will represent a price
run in a direction until a pre-defined number of price ticks is traded off the low of a
down move or off the high of an up move. When this preset number of ticks
happens, a new column is added, defining a new price run.
An example would be if the column were designated up and it was set to a 3 tick
reversal, then as soon as price trades 3 tick from the high tick of the current column,
a new column will start. The best way to learn would be to open a Footprint® chart,
set it to a 3 tick reversal and watch what it takes to produce a new column. The
reversal chart is one of the best ways to follow price action with the Footprint® chart
because it is more sensitive to order flow, momentum, and price action.
© Copyright 2007 MarketDelta LLC. All Rights Reserved.
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MarketDelta Strategy Guide
Key points to understand:
1. Footprint® series down.
2. Tick reversal set to three (3).
3. MarketDelta® waits for third price from the high or low of the current column to
signal a reversal within Footprint® series.
4. Shift column when third reversal price is traded.
5. New Footprint® series begins in up direction.
© Copyright 2007 MarketDelta LLC. All Rights Reserved.
Part
IV
38
4
MarketDelta Strategy Guide
Footprint Strategies
While reviewing the following strategy examples and pattern definitions, keep these
few rules in the forefront of your mind. Doing so will help to see the usefulness of
the information more clearly. Also, examples and strategies will work across many
markets and time frames, so do not be discouraged if the market you trade was not
covered in the examples. Simply take the ideas and adapt them to your market. If
you need any helps with suggestions for the market you trade just contact us and we
will be happy to provide some guidelines.
KEY OBSERVATION - DIRECTIONAL (TRENDING)
When the market is trending down you should expect to see dark red Footprints®.
When trending up there should be dark green Footprints®. These dark Footprints®
should comprise most of the bar if it is a strong trend. A sign of a strong trend is
when the upper (lower) prices of each bar are the darkest color (green for up trend,
red for down trend). This is best to witness early in the trend. If you see it late in the
move it could be interpreted as a last effort to get into the market by those not
already on board, and they will only it reverse in the near term (Figure 4-15).
Capitulation is a word often used to describe this "ending of the trend".
Understanding this will provide key insight when price is beginning to lose
momentum because inevitably you will see lighter shades or the other color appear
which is evidence of the price move being contested (Figure 4-2 shows an example).
KEY OBSERVATION - NON-DIRECTIONAL (SIDEWAYS or RANGE BOUND)
When the market is range bound (lacking the ability to trend) you should expect to
see variations of color comprising each bar. This means many of the bars will have
roughly 50% red and 50% green Footprints® combination, but certainly not all one
color. We call this pattern candy striping. This pattern will occur when the market
reaches an equilibrium and is content trading within boundaries, such as,
mid-session support and resistance, value area, etc. Often times in markets like this
you may see a cluster of dark green Footprints® come in near the high of the range
or a cluster of dark red Footprints® come in at the bottom of the range. Probability
suggests these are traders playing for the breakout and will be wrong. They are
© Copyright 2007 MarketDelta LLC. All Rights Reserved.
Footprint Strategies
39
being met with adequate supply to overcome their demand. Eventually a
breakout will ensue, but in the interim it is much wiser (and certainly more profitable)
to trade the probability of price mean reverting from the range extremes. Another
way to verify this more precisely is to use the Delta % Footprint® and note the delta
percent at the bottom of each bar.
Other times volume may simply dry up as it approaches support or resistance. This
is good information as well, because typically breakout's do not occur on light
volume (Figure 4-9 shows an example of rejection and a breakout). This can be
signaling a reversal or pause in the market. The Footprint® Profile is an excellent
tool for spotting these opportunities because you can visually see the volume price
by price and the delta as well.
BAR DELTA
This is the sum of all the Footprint® deltas for a particular bar. There are many ways
this can be used. One strategy is to confirm price direction. If price is trending up
delta should be positive for the bar to confirm aggressive buying is driving and
supporting price, thus sustaining the trend. The reverse is true for a down trending
market. There should be a negative bar delta to confirm more aggressive selling. In
a consolidating market the bar delta will typically flip flop back and forth from positive
to negative and back, or not show strong conviction either way. This helps to
confirm the type of market you are witnessing. If you are witnessing a consolidating
market but the bar delta's are all pointing one direction, then there is a greater
probability that price will exit the range in the direction of the bar delta (up if positive,
down if negative).
DARK COLORED FOOTPRINTS®
You will tend to see more clusters of dark Footprints® in trending markets than you
will in sideways markets. Trending markets exemplify direction and strength while
rotational markets exemplify lack of conviction and are directionless and exemplify
random behavior. For those who are familiar with Market Profile®, using the value
area and/or initial balance area can provide good trade location when combined with
the Footprint®. You will become much more confident in the trades you place once
this concept is understood and practiced.
© Copyright 2007 MarketDelta LLC. All Rights Reserved.
40
MarketDelta Strategy Guide
Sometimes you will see dark Footprints® (dark green if aggressive buying) and the
market will stop and reverse. A question we often get is why did this occur? A
pattern like this would signify aggressive buyers were present but there was
adequate sellers with working sell orders in the market who absorbed all the buyers
demand. Again, using key reference points will help to uncover the moves that have
potential to follow through versus the moves that will likely stop and reverse.
MARKET PROFILE®
MarketDelta® can be very effectively used to help read the conviction and underlying
market dynamics at key reference areas that you my have identified, as well as, the
value area extremes, point of control, and initial balance area. Combining the
information that can be obtained from the Footprint® chart with a thorough
understanding of Market Profile® can provide a powerful edge. Market Profile®
provides context and consistently identifies key reference areas. The Footprint®
chart provides real time context to what is going on when the market reaches those
areas, providing you with a perfect tool to compliment Market Profile® at the
execution level.
BASIC RULES FOR INTERPRETING PRICE & VOLUME & DELTA
Volume should increase (grow) in the direction of a health trend. In an uptrend
volume should increase as price moves higher and decrease (shrink) as price
retraces. In a downtrend volume should increase as price moves lower and
decrease as price retraces. An additional metric the Footprint® offers is Delta, which
is the net buying or selling at each price. The delta is made visible through the color
of the Footprint® and the delta for each bar located at the bottom of each bar. Pay
special attention to how the Footprint® uses color to compliment volume. It is often
very telling of the type of market you are witnessing.
Price
Rising
Rising
Volume
Increasing
Decreasing
Delta
Market
Increasingly Positive Strong (Up)
Decreasingly Positive Weak
or becoming Negative
© Copyright 2007 MarketDelta LLC. All Rights Reserved.
Footprint Strategies
Declining
Declining
Increasing
Decreasing
41
Increasingly Negative Weak (Down)
Decreasing Negative Strong
or becoming Positive
KEY PRINCIPLES
· All these examples can be applied in any time frame. Scalpers can take each of
the examples and just apply it on the micro level. The reverse is true for longer
term traders.
· Learn the trading principles that are exploited in the following examples. Don't just
memorize the example. LEARN them. Trading is not a one time test. There are
no shortcuts. You will have to continually re-apply your knowledge, ideas, and
abilities each and every day.
· Try to understand why the market developed the way it did. What is transforming
to eventually bring about the pattern? The benefit is recognizing the forming of the
pattern taking place before your eyes. The Footprint® will help you build the skills
necessary to recognize moves earlier in development because you are seeing
more of the trade information.
· Focus on how each Footprint® is related to the Footprints® around it and how the
current bar relates to the previous few bars. Also, pay special attention to the
column delta is developing. i.e. Is it increasing or decreasing on an absolute
basis? What has the most recent trend in deltas been? Positive and growing (up)
or negative and becoming more negative.
· This will build your skills and help to recognize moves earlier in development.
© Copyright 2007 MarketDelta LLC. All Rights Reserved.
42
4.1
MarketDelta Strategy Guide
S&P 500 e-mini
S&P 500 E-mini Summary
The ES is certainly one of the most popular instruments traded using MarketDelta®
and the Footprint® chart. Some of the primary reasons for this is liquidity and
volatility - two very important components. Volatility serves a vital role in the
development and construction of Footprints®. The Footprint® is monitoring not only
volume, but also which side of the market that volume occurred. It is the recording
of this information that gives Footprints® their color - green for more aggressive
buying (trading at the ask price) and red for more aggressive selling (trading at the
bid price). Volatility is important because it makes the color presented by the
Footprints® more valuable. Why? Because with volatility comes follow through to
price movement and because the Footprint® is showing how much volume takes
place and who is being more aggressive (buyer or seller) it provides a very good
picture of potential future market direction in the near term. Understanding this adds
clarity to why so many e-mini traders employ the Footprint® chart. In fact, really any
market that has significant price swings and some volatility are excellent candidates
for the Footprint® chart.
For markets that lack price volatility and are more of a volume trade (trade lots of
volume but don't have large price ranges typically) different Footprint® types and/or
strategies will be better employed. See the 10 Yr Note for an example of a lower
volatility market.
Core Principles
TRENDING - The definition of a trend is higher highs and higher lows for an up trend
and lower highs and lower lows for a down trend. A combination of the two would
represent a sideways market. In the definitions just given there is no mention of
volume. However, volume is a key piece of information when determining
STRENGTH of the trend. Current charting methods only allow for measuring of
volume with respect to time. None take it a step further.
When the market is trending down you should expect to see dark red Footprints®
and dark green Footprints® when the market is trending up. These dark Footprints®
© Copyright 2007 MarketDelta LLC. All Rights Reserved.
Footprint Strategies
43
should comprise most of the bar. A sign of a strong trend is when the high (low)
prices of each bar are the darkest color (green for up trend, red for down trend).
Watching these extreme prices in each bar gives a clue when price is beginning to
lose momentum because inevitably lighter shades appear. When approaching an
area of support/resistance volume AND delta will signal a reversal or pause in the
market.
A market can not keep going forever, but it may rest (retrace and consolidate) before
continuing the original move. In Figure 4-2 you can see all the dark green
Footprints® as price rallied. Notice as price pulled back during the retracement how
it lacked the momentum and strength it had during the initial rally. Consequently, the
rally resumed and carried price beyond the original high price and broke out with
strong volume in the direction of the trend.
The Footprint® assists in trend following in a breakthrough way. Each Footprint®
measures the buy and sell pressure through a thermometer of color. The color is
automatically determined by whether more buying or selling occurred at each price
and then automatically shaded dark or light. Notice in the Footprint® charts below
how the color of each Footprint® accurately reflects the general price direction of the
trend. Many times the price direction will be confirmed by the color of the
Footprints®. For example, in an uptrend typically you will see many more green
Footprints®. The darker the green the more conviction on the buyers part to drive
price higher. In a down trend typically you will see many more red Footprints®.
Look for blocks of dark reds or dark greens to confirm the direction of the
trend. These represent areas where aggressive buying or selling entered the
market and could be an area of support/resistance on a pull back, especially if
viewing longer term intraday Footprint® charts. But more importantly they are
showing conviction at consecutive prices. This is often a sign of dominant supply or
demand and can provide a great way to monitor the trend or lack of trend.
CONFIDENCE and CONFIRMATION - Many traders have found the Footprint®
useful in following the trend and has given them something to "lean" on and not get
shaken out at the slightest sign of price contention. Seeing the flow of volume and
painting it to the screen in the manner the Footprint® does has been a breakthrough
© Copyright 2007 MarketDelta LLC. All Rights Reserved.
44
MarketDelta Strategy Guide
for traders. Volume is a very important component of trade and in a trend it is very
crucial to know when volume begins to weaken and order flow reverse (supply
overcomes demand). The Footprint® constantly monitors the flow of volume as
price trends and will alert traders to the condition of the trend by a change in
color. Traders will be better equipped to make more timely and informed decisions
because they will know more about the price trend. Nothing is more visual and
reflects true market sentiment better than the Footprint®.
As price trends into an area of support or resistance, the Footprint® showcases how
volume is behaving. For example, if price has been trending up and pulls back to an
area of support, use the Footprint® to monitor the supply/demand at that point. This
helps to determine the overall strength of the trend by gauging the volume of the
retracements to known areas of support/resistance.
Unique to These Examples
Below are a few examples of the ES breaking out of balance (sideways trading) and
starting a late day trend. Figure 4-1 shows one of the most unique things about the
Footprint® chart - the delta periodicity. A new bar is only created when a user
specified level of delta is achieved. This periodicity is essentially based solely upon
order flow and volume entering the market. In Figure 4-1 the level was specified as
5000. So when delta for the bar reaches either +5000 or -5000 a new bar will begin.
This periodicity is not time based, but volume and order flow based. The logic
behind this type of chart periodicity is new bars are only created when supply
and demand levels become imbalanced. For this periodicity, notice how the
volume was low for each bar as the market began to rally. This confirms a high level
of buying because the +5000 delta was being achieved with little volume. Figure 4-2
is the same day and instrument but is a 5 minute chart. This is certainly a more
traditional way of looking at market data and it clearly shows the breakout and how
volume was expanding and aggressive buyers were present as demand overcame
supply at a key resistance level. Figure 4-3 shows each bar based on 10,000
volume. It removes time from the building of new bars and only builds them based
on volume. This gets back to our original discussion on volatility and activity. Price
volatility usually brings new participants into the market, thus increasing volume.
© Copyright 2007 MarketDelta LLC. All Rights Reserved.
Footprint Strategies
45
Complimentary Strategies & Uses
The market can not go in one direction forever. Looking for reversals of the trend
can be dangerous if you are wrong and do not manage losses accordingly.
However, catching a reversal correctly can be very rewarding. Using the bar delta at
extremes (HOD or LOD) can provide great opportunities to spot where supply over
came demand. We call this unique pattern delta divergence. This occurs when a
new high of day (HOD) or low of day (LOD) occurs and a delta occurs in the opposite
direction. For instance, a HOD with a negative bar delta would be a potential sell
signal.
© Copyright 2007 MarketDelta LLC. All Rights Reserved.
46
MarketDelta Strategy Guide
Figure 4-1
© Copyright 2007 MarketDelta LLC. All Rights Reserved.
Footprint Strategies
Figure 4-2
© Copyright 2007 MarketDelta LLC. All Rights Reserved.
47
48
MarketDelta Strategy Guide
Figure 4-3
For more examples, visit our Strategies page. Timely market examples are at
http://blog.marketdelta.com.
© Copyright 2007 MarketDelta LLC. All Rights Reserved.
Footprint Strategies
4.2
49
Russell 2000 e-mini
Russell 2000 E-mini Summary
This is another popular market for many of our subscribers. The primary reason is
there is lots of price action, good rotations, and lots of prices and opportunities to
trade in an out of. If you are a longer time frame trader, then this market offers some
very nice trends that you will be able to participate. Some nice periodicities to try
with this market besides time based are 10 Price (Figure 4-4), .5 Range, 233 Tick,
377 Tick (Figure 4-4), 1000 Volume, and 250 Delta.
Core Principles
Reversals are probably one of the most commonly recognized chart patterns. They
come in many forms, all of which can be read in any good book on technical
analysis. A few would be double or triple tops/bottoms, outside bar, and price
spikes. While this guide is not intended to cover all the different reversal chart
patterns, it is intended to show how the Footprint® displays some of these
formations and why it adds value to identifying these patterns. Volume helps to
confirm whether the trend is truly reversing or whether continuation is likely.
One of the key components of a reversal is volume. General trading rules to confirm
this are:
· Significant highs & lows are very often made on higher than average volume.
· A re-test of a top/bottom on light volume is often a sign that it is just a retest and
will not have the strength to push through the original high/low.
· A re-test of a support/resistance on increased volume provides traders with the
information that price may be violated during this probe.
· Volume helps to determine whether the price pattern can be trusted.
· Volume gives confirmation to trend direction. Use the Footprint® to gain the inside
view of when and how the market is reversing.
· Volume should increase in the direction of the trend and decrease when going
against the trend.
· Monitor where a bar is closing in relation to its range. If a bar breaks out but
© Copyright 2007 MarketDelta LLC. All Rights Reserved.
50
MarketDelta Strategy Guide
closes at its opposite extreme there is a good chance the breakout will not hold.
A quick history lesson: One of the primary reasons many floor traders were able to
be successful was due to the fact they could see and hear the volume coming into
and around the pit. This was a great advantage to them because they could
accurately gauge supply and demand at important levels throughout the
trading day. Many of these same traders have more difficulty trading from behind
the electronic screen. Why could this be? It is most likely because traditional
charting methods do not provide them with the flow and feel of volume that they
once had at their fingertips. The Footprint® chart was developed with both
perspectives in mind and fulfills this need in the best way possible.
Unique to These Examples
Figure 4-4 is an example of attempted continuation but lacked any follow through.
You can see the same example in Figure 4-5 but using a different Footprint® type
and periodicity. Figure 4-4 is the Delta Percent Footprint®. The important thing to
notice is the delta % for the continuation bar was only 56%. That is pretty neutral for
a bar that is putting in new hights and continuing the trend. We like to see it be
above 59% or 60%. In 4-4 it also closed on its lows and had selling enter in the very
next bar.
Complimentary Strategies & Uses
See some of the outside bar bar reversals examples and delta divergence reversals
through this guide.
© Copyright 2007 MarketDelta LLC. All Rights Reserved.
Footprint Strategies
Figure 4-4
© Copyright 2007 MarketDelta LLC. All Rights Reserved.
51
52
MarketDelta Strategy Guide
Figure 4-5
For more examples, visit our Strategies page. Timely market examples are at
http://blog.marketdelta.com.
© Copyright 2007 MarketDelta LLC. All Rights Reserved.
Footprint Strategies
4.3
53
Dow mini
Dow (YM) Summary
The YM is a great instrument to use all the Footprint® strategies throughout this
guide. It offers good liquidity, volatility, and momentum -- all key components to
making the most of the Footprint®.
Core Principles
Reversals can offer high return, low risk entry points. Identifying them can be
difficult but using the delta can help spot good opportunities and provide a way of
following volume and the direction of order flow as the market reverses and begins
moving the opposite direction. Delta is the net buying or selling that took place for a
given price or bar. It is calculated by monitoring all the tick data and determining
who initiated the trade, buyer or seller. If more buyers initiated trades then there is a
positive delta. If more sellers initiated trades then the delta is negative.
Bar delta is the sum of all the Footprint® delta's for a particular bar. There are many
ways this can be used. One strategy is to confirm price direction. As price is
trending up you would like to see a positive delta for each bar to confirm that
aggressive buying is driving price, thus sustaining the trend. The reverse is true for a
down trending market. There should be a negative delta to confirm more aggressive
selling. In a consolidating market the column delta will typically flip flop back and
forth from positive to negative and back, or not show strong conviction either way.
This helps to confirm the type of market you are witnessing. If you are witnessing a
consolidating market but the bar deltas are all pointing one direction, then there is a
greater probability price will exit the range in the direction of the bar delta (up if
positive and green or down if negative and red).
Unique to These Examples
A reversal pattern that is unique to MarketDeltaÒ, and one that you will see a lot of
examples on the website and blog, is the bar delta divergence pattern. This
happens when price trades at or near a new high/low or re-tests it and has a delta
opposite what is expected. At highs, if a negative bar delta appears when the bar
closes this shows supply entered the market and aggressively began to sell into the
market. Vice versa at lows. In Figure 4-6 there are actually 4 examples of this
© Copyright 2007 MarketDelta LLC. All Rights Reserved.
54
MarketDelta Strategy Guide
divergence. Figure 4-7 is a candlestick chart with a custom study applied called
Delta Divergence. This indicator is for sale separately from MarketDelta. However,
you can apply the delta histogram to the bottom of the candle chart by applying the
Volume Breakdown Indicator and just look for the pattern to occur. This pattern has
the highest probability of working at the highs or lows for the day. You will see them
occur mid-range and it may be a good signal, however, they will provide the most
opportunity at highs and lows of the day. Because this pattern is a reversal pattern,
if the market trades through the bar that had the divergence the trade should be
exited because it is not reversing. This pattern is looking for the market to reverse
and move away, not sit around that price level.
Figure 4-8 shows another excellent example of how sensitive the Footprint® is to
volume and order flow. This example had a chart periodicity of 300 Delta. One way
to apply this type of chart is to follow the delta color at the bottom of the chart. It will
offer a good way to monitor who is being more forceful in the market, buyers
or sellers. It also provides a valid way to gauge exit and entry opportunities.
Notice how it will turn color as the market reverse during each rotation. Also,
because it often confirms price direction, it can be used as a great tool to help
provide confidence to stay in winning trades longer and cut the losing ones if
the delta is opposite your position.
© Copyright 2007 MarketDelta LLC. All Rights Reserved.
Footprint Strategies
Figure 4-6
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MarketDelta Strategy Guide
Figure 4-7
To add the indicator shown on the candle chart choose the Volume Breakdown
Indicator from the technical indicator list.
© Copyright 2007 MarketDelta LLC. All Rights Reserved.
Footprint Strategies
Figure 4-8
For more examples, visit our Strategies page. Timely market examples are at
http://blog.marketdelta.com.
© Copyright 2007 MarketDelta LLC. All Rights Reserved.
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MarketDelta Strategy Guide
Dax
Dax Summary
The Dax is a German Stock Index composed of 30 stocks. It offers abundant
volatility and trading opportunities and is a very popular instrument to trade using any
of the strategies discussed in this guide. In order to avoid confusion, the Dax trades
in halves but some of the examples below show only whole prices. It has good
liquidity but due to its volatility large traders may have to trade at multiple prices in
order to execute size in this market. This helps to fuel the volatility and you will often
see the market move quickly and farther than what you expect. Because this is a
European instrument, it tends to have 2 surges of liquidity during the day. The first
during the open in Europe and the second during the US open. For traders in the
US, this can offer the opportunity to trade this instrument during normal hours and
not have to trade it from bell to bell. It is an excellent day trading contract.
Core Principles
In the examples below for the Dax we will focus on trading breakouts. Breakouts
occur when price is exiting an area of consolidation. This means many breakouts
occur when price is leaving a continuation pattern. A continuation is nothing more
than a pause in the current trend. Some of the most common continuation patterns
are triangles (ascending, descending, symmetrical), flags, pennants, wedges, and
rectangles. It is crucial that a trader understand what these patterns look like and
how each should be treated. The reason it is important is because the Footprint®
does a superior job at showing how volume is developing within each of these chart
formations.
Two other types of breakouts would be support and resistance areas and trend line
breakouts. Breakouts should occur on higher than average volume. Anything less is
very susceptible to being a false breakout. Using the Footprint® and it's intuitive
color display, its very clear when breakouts are occurring on low or high volume and
at which individual prices. The Footprint® also helps to show how much volume and
which side of the market volume is occurring prior to the breakout. This helps to
better determine the probability of the eventual breakout. Another very important
thing to following leading up to the breakout is the bar delta. Notice how in Figure
© Copyright 2007 MarketDelta LLC. All Rights Reserved.
Footprint Strategies
59
4-10 there was a slight positive bias in the market prior to the big breakout.
The Footprint® Profile offers traders a very good way to evaluate breakouts because
you can see the shape of each bar and see where more volume is occurring AND
the color each price (Footprint®) to determine more selling or buying is occurring.
All this information will update in realtime, so it offers a solid way to participate in
breakouts and not be left behind. Sometimes the sideways trading before a
breakout will begin to show a delta in the direction of the breakout. This offers a way
to be possibly enter the trade early in hopes of a breakout, but the trade must be
monitored closely in case the breakout fails.
The Footprint® also helps a trader understand whether or not aggressive
selling or buying is entering at a key breakout area. To better understand price
potential, it is critical for a trader to anticipate what to expect given the most likely
probable outcome. To do this we feel it is best to understand the underlying market
dynamics and structure for at least the current day. Simply having an idea of
whether the market has been trending or been range bound can help to anticipate
the likelihood of a breakout and provide a better perspective as to what the
Footprints® are telling you.
Unique to These Examples
Figure 4-9 offers a great example of a market that moved lower, consolidated, then
resumed the selling. The key points to notice is the breakout point. The volume
increased AND the selling increased immensely (denoted by dark red color). Also,
as a way to immediately confirm the breakout there should be follow through selling.
The very next bar at 4:31 continued to trade lower and have good volume with
continued aggressive selling. All the characteristics of a good breakout.
Figure 4-11 shows a 150 delta periodicity for the Dax. It is a fairly short term
periodicity by provides a good way to catch and monitor the rotations in the Dax.
After seeing the market like this nothing else will do. It is empowering when the
ability exists to track order flow and volume in this manner. It reflects price behavior
extremely well. Another observation we have witnessed is bar delta % readings
above 58 or so reflect the ability to maintain a directional bias. Keep this in mind
when monitoring each bar for strength. Extreme readings of 90 or greater could also
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reflect panic buying or selling and be the end of a move.
Figure 4-9
© Copyright 2007 MarketDelta LLC. All Rights Reserved.
Footprint Strategies
Figure 4-10
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Figure 4-11
For more examples, visit our Strategies page. Timely market examples are at
http://blog.marketdelta.com.
© Copyright 2007 MarketDelta LLC. All Rights Reserved.
Footprint Strategies
4.5
63
EuroStoxx 50
EuroStoxx 50 Summary
The EuroStoxx 50 is a futures contract based upon 50 of the largest companies in
the Euro zone. In the opinion of many it is similar to the S&P 500 in the US except it
is comprised of 50 European companies. It offers a great deal of liquidity and many
trading opportunities. It is not as volatile as the Dax but can experience some quick,
sharp moves. It trades in full prices, so that has some effect on the short term
volatility. This market is traded by institutions, speculators, and proprietary traders
alike. The EuroStoxx 50 tends to have less volatility due to the liquidity provided.
Because this is a European instrument, it tends to have 2 surges of liquidity during
the day. The first during the open in Europe and the second during the US open.
For traders in the US, this can offer the opportunity to trade this instrument during
normal hours and not have to trade it from bell to bell.
Core Principles
Liquidity, liquidity, liquidity. "The trend is your friend" - have you ever heard that?
What is the secret to identifying and sticking with this fleeting friend? We would
propose "delta". Use the FootprintsÒ to track the trend and uncover where it is
going and the underlying strength contained within it. Delta will prove to be a very
good measure in markets that have decent levels of volume and offer some volatility.
You may find that charts based on time will not make as good of use of the delta
reading as non-time based charts. This is part of the reason you will see so many
non-time based examples throughout this guide. The reason for this is delta is a
function of order flow and volume. The volume that is transacted in markets is not
linear. Viewing charts that are based upon a function of volatility or activity
may produce FootprintsÒ the more accurately reflect the underlying dynamics
in the market and allow for more precise ways of monitoring price.
Unique to These Examples
Figure 4-12 shows a market that was quiet and in balance (in this case it was trading
within the developing value area). As the market began to test the high of the
developing value area we see a sudden spike in volume at prices 4410 and 4411.
At 4411 we see is it dark green representing aggressive buying. This alone does not
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infer it will breakout. In fact, many times there will be expanding volume near
the highs or lows of the value area. It could represent adequate supply
matching up against the demand. In this case these were among the widest bars
for the day (4410 and 11). The buying continued and the market managed to
breakout and continue higher. There are two immediate rules to apply here: 1) If
you had been selling up against the value area high all day up until this point it
was a rewarding experience. In this example as soon as you see the
aggressive buying it may be time to exit and cut the losses. So it provided a
quick evaluation of unfavorable conditions to be short. 2) If you had been
waiting to get long on a breakout above value, this is your chance. The
breakout is occurring on expanding volume with good, aggressive buying in
the direction of the breakout.
© Copyright 2007 MarketDelta LLC. All Rights Reserved.
Footprint Strategies
Figure 4-12
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Figure 4-13
The ES is certainly one of the most popular instruments traded using the
MarketDelta® and the Footprint® chart. For more examples, visit our Strategies
page. Timely market examples are at http://blog.marketdelta.com.
© Copyright 2007 MarketDelta LLC. All Rights Reserved.
Footprint Strategies
4.6
67
Crude Oil
Crude Oil Summary
Electronically traded crude oil (and the energy markets in general) have become
popular contracts since going electronic. With energy prices firm and looking to stay
that way many users of MarketDelta® and the Footprint® chart have discovered key
insights to trading these markets. Sometimes there is confusion as to which crude
oil contract we are actually talking about, so the examples below will be the Nymex
WTI contract. It trades in $0.01. There is also a mini-crude contract that is popular
but it trades every $0.025.
The energy markets are such a great candidate for the Footprint® chart because of
the volatility and the prices swings they experience. The Footprint® provides key
insight into the underlying market dynamics and communicates this through color
and shape. It puts a face on supply and demand and allows you to trade with more
precise information.
Core Principles
Monitoring the trend for signs of weakness or strength has traditionally been
accomplished using a volume histogram applied to the bottom of a chart with a
series of over bought/sold indicators. The Footprint® chart offers traders a more
finite and accurate manner to accomplish the same thing. With the Footprint® chart
you are tracking volume and how it entered the market, price by price, each step of
the way. We are not proposing you follow every trade that enters the market. Let
the Footprint® do the work of classifying and keeping you more in tune to the
underlying fundamentals and supply and demand dynamics unfolding before your
eyes. This heightened sensitivity and way in which to view a bar will provide
more understanding to what is unfolding before you and in turn produce more
confidence.
Unique to These Examples
Figure 4-14 show a very nice example of a 70 cent break in crude oil and a
subsequent bounce from the lows. The teaching point in this graphic is what
happened at the lows. Price was contested 3 independent times before the sellers
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realized price was being challenged very well by the buyers who where presenting
adequate demand at these levels. The clue was how at 64.60 there was large sell
volume occurring but price could not move lower. As a trader, it is important to keep
in mind the market had just sold off 70 cents. This latest attempt to push price lower
was a little late and trades at that level were likely to get caught short in the near
term...at least until price consolidated for another potential move lower.
Figure 4-15 offers a great example of supply and demand at work. Because new
bars are only created when a delta of 250 has been reached, the only thing that will
advance a bar is more volume trading in one direction. This just means a delta of +
or - 250 much be reached. So as supply or demand enter the market this Footprint®
will capture it and provide an idea of whether it was aggressive supply (selling) or
aggressive demand (buying). In Figure 4-15 we see the first rally was swift and
without a whole lot of supply. However, we can see near the end of the move how
the 9:06 bar was much wider because supply was soaking up demand AND it turns
out this bar closed with a negative delta. This is keen insight for the astute trader. In
the second attempt to trade higher at 9:32 and 9:33 we see blocks of aggressive
buying (dark green) which covered just a few prices. While this is perceived
initially as aggressive buying because of the color, the underlying fact is there
must be large supply present to soak up all that demand within just a few
prices. This is where it gets interesting. Price could continue to rally and it will be
very important to see some follow through in the very near term with a positive delta.
However, if the breakout begins to fail we now have the knowledge of some large
buyers long at the highs. This can provide added fuel to the downside as the market
trades lower.
© Copyright 2007 MarketDelta LLC. All Rights Reserved.
Footprint Strategies
69
Another more advanced concept you can benefit from when using the delta
periodicity is the range and width of each bar. Short and narrow bars represent a
very high degree of directional order flow. Short and wide bars represent still a high
degree of directional order flow but not as high as when the bar is short and narrow.
The width represents more volume traded within the makeup of this bar indicating
supply and demand are more equally matched and more traders are attracted to
trading at these price levels. Tall and narrow and tall and wide bars represent less
overall directional order flow. These bars are long because price is trading around
but not with much conviction on the part of buyer or seller. That is why the delta is
not reaching the + or - extreme it needs to create a new bar. In other words, buyers
and sellers are near equally matched and not able to push the delta of each bar to
the threshold specified to advance to the next new bar. Tall and wide bars would
usually occur at inflection points or areas of value where there would be lots of
supply and demand present but buyers and sellers nearly equally matched in their
conviction. When these bars close it is important to see whether it was a positive or
negative delta. Tall and narrow bars usually represent illiquidity and show how price
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had to move more than normal to achieve the delta threshold specified. You will see
these in pre and post market hours and during times of illiquidity like on economic
releases or at price extremes. Do be deceived by these bars because price CAN
move a long way while creating the bar.
These rules are not set in stone. They are just observations we have noticed since
the release of this new periodicity. We welcome your feedback if you have other
ideas on how this could be interpreted and implemented.
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Footprint Strategies
71
Complimentary Strategies & Uses
Many who trade crude are used to volatility and the unexpected. With the energy
markets there seems to be a greater possibility that price will go farther than you
would have expected. Because this is often true, using the Footprint® to identify the
underlying strength in terms of volume and order flow can be very beneficial. There
are a large number of people who use Mark Fisher's ACD strategy to trade the
energy markets. The Footprint® can provide an excellent confirmation tool to that
strategy. Let the ACD define price levels to consider and make the decision to
execute the trade with a clear signal from the Footprint® and then monitor the trade
accordingly.
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Figure 4-14
© Copyright 2007 MarketDelta LLC. All Rights Reserved.
Footprint Strategies
Figure 4-15
For more examples, visit our Strategies page. Timely market examples are at
http://blog.marketdelta.com.
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4.7
MarketDelta Strategy Guide
Gold
Gold Summary
Like some of the other futures contracts, gold is a cross listed contract on more than
one exchange. A most liquid gold contract (as of this writing) is traded on COMEX.
The examples below are using the 100oz. electronic gold contract on COMEX.
Another important thing to keep in mind is gold does a decent amount of overnight
volume (US time), primarily when London opens.
Core Principles
Sometimes a consolidating market provides some clues as to which way it may exit
the consolidation. The only way to really get an understanding of this is to view the
composition of the Footprints® and the delta for the bars in consolidation. If viewing
the Delta % Footprint® then look for red deltas if looking price to exit the
consolidation to the downside. They don't need to be significant values (like 60 or
greater). Just the fact they are red indicates net selling within consolidation and
provides key insight to how the smart money was positioning within congestion. A
key thing to remember is the largest and smartest traders are usually not trying to
get into the market during the breakout. They are already in...they got in when the
market was in congestion and randomly trading within an area. This allows them to
enter with the size they need an not push the market all over the place AND then exit
the trade when everyone else is scrambling to enter on the breakout.
Unique to These Examples
Figure 4-17 utilizes the value area (often employed by those who use Market Profile
Ò) and shows the value area high and value area low. After the first hour or two the
current (developing) days value area can provide some solid reference points to
trade from if the market is exhibiting signs of being range bound. If the market is
showing a tendency to trend, the value area can provide solid support levels if the
market is in a more vertical state (trending).
© Copyright 2007 MarketDelta LLC. All Rights Reserved.
Footprint Strategies
Figure 4-16
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Figure 4-17
For more examples, visit our Strategies page. Timely market examples are at
http://blog.marketdelta.com.
© Copyright 2007 MarketDelta LLC. All Rights Reserved.
Footprint Strategies
4.8
77
Grains
Grains Summary
Grains have just started trading electronic during the day session in the last few
years and have already attracted many market participants. They provide great
opportunities for traders and investors looking for alternative investments. With
respect to MarketDelta® and the Footprint® chart we will only consider the electronic
contracts since those are the only ones we have tick by tick volume for in real time.
The grains have more of a seasonal volatility component compared to other markets,
so keep that in mind when considering the overall probability of large moves. The
summer months offer ample volatility to find some great opportunities.
Unique to These Examples
The agricultural markets are prone to "locking" limit sometimes after reports show
imbalances in supply or demand. While there is nothing that can be done leading
into reports like this except to be flat, the Footprint® can show how a market is
trading at those levels and provide you with and idea of how much traded, at which
prices, and if it was the result of the buyer or seller being more aggressive. In
Figures 4-17-1 and 4-17-2 we see a soybean market that was locked limit up.
Trading began to occur and then came off limit and quickly traded lower. Only the
Footprint® will allow you to see this information and make you one of the most
© Copyright 2007 MarketDelta LLC. All Rights Reserved.
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informed traders in your marketplace.
Figure 4-17-1
© Copyright 2007 MarketDelta LLC. All Rights Reserved.
Footprint Strategies
79
Figure 4-17-2
Complimentary Strategies & Uses
A popular way to trade the grains is using Market Profile®. It would be worthwhile to
open a Footprint® chart apply the value area and/or developing value area to the
chart. Figure 4-18 shows the previous days value area in gold on the left price scale
and the current days value area on the right price scale. The gold bars on the actual
chart are plotting the developing value area and help to keep this important
reference point visible AND show whether or not value is trending higher or lower.
This can prove to be a very useful way to find support and resistance points when
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the market is trending. When it is not trending the value area will be stable and not
continually put in higher highs or lower lows. In this case it would be more
reasonable to fade the market at the value area extremes and look for price to pull
back into the value area, as seen in Figure 4-18.
Figure 4-18
© Copyright 2007 MarketDelta LLC. All Rights Reserved.
Footprint Strategies
4.9
81
Bund
Bund Summary
The Bund is the European equivalent to the US 10yr Treasury. It is one of the most
liquid futures contracts in the world and offers good volatility and follow through.
One of the nice things for this fixed income contract is the way it "ticks". The tick
increment is 0.01, not fractions like the US treasuries. One of the benefits this
offers MarketDelta® and Footprint® chart users is more ticks from which to trade
from when compared to the US treasuries. More ticks means slightly more price
volatility which means more potential for the Footprint® chart to capture important
information. Remembering back to some of the previous concepts already
mentioned, price volatility lends itself well to the Footprint® interpreting the
underlying order flow. This essentially enables you see inside the chart and have a
better understanding of the markets.
Core Principles
We want to put forth a short discussion covering an advanced method for
interpreting price, volume, and order flow using the Footprint® chart. The Footprint®
Profile chart shows 3 unique things not apparent on traditional charts. The first is
each bar is divided by each price traded within that bar. The second is the shape of
the bar - wide at high volume prices and narrow at low volume prices. The third is the
color applied to each price - blue or green signifies more aggressive buying and red
signifies more aggressive selling. These 3 unique properties are discussed
throughout this strategy guide so what we will focus on here is the range and
periodicity type. This might not sound important at first but as you will see in the
following examples it provides insight into how the auction is occurring.
If the range is elongated it tells us a couple of facts. First it shows price is being
rejected or there is initiative activity under way. Second it tells us price is somewhat
unstable and searching for a level that will bring interest from other market
participants, either buyer or seller. This usually results at range extremes, high or
low of day, or on news releases. This is one of the benefits of non-time based bars
because the bars have been normalized to a specific criteria other than time, such
as volume per bar, ticks (trades) per bar, or delta per bar (new for version 8.7).
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There are other non-time based bars like range bars and change bars, but those will
essentially produce the same range for each bar and for the sake of this example
would not be applicable.
If the range is compressed it is inferring that there is lots of interest to trade at the
current price level on the part of BOTH buyers and sellers. They are trading heavily
within this area and transacting a lot of volume without pushing price all over the
place. This is more likely to occur at intraday support and resistance and general
price pivots that do not have a lot of interest from many sorts of traders, including
long term traders. There are instances like in Figure 4-21 where compressed bars
will occur at range extremes. This shows buyers and sellers are very active and
supply and demand are matching up within just a few prices. This is very insightful
information because typically at range extremes (HOD or LOD, etc) we see
instances of brief illiquidity with stop orders being triggered and producing price
volatility. In Figure 4-21 resting limit sell orders (supply) is absorbing demand. This
is powerful information because those buyers are most likely looking for near term
follow through to the upside and if price does not begin ticking higher they will be
caught long at the highs.
By also applying the color of the Footprints® within the range, the bar delta, the high
volume price within the bar and whether it is higher or lower than the previous bar, a
trader is armed with added information to judge the auction being facilitated within
the market.
As the market trades it is searching for a place that it can facilitate trading. All this
means is buyers and sellers are searching for an area where they can agree and
trade the most volume. As the market searches for this level, price is pushed around
by all types of traders, big and small, longer term and short term, buyer versus seller.
Highs and lows could be viewed as unfair prices or prices that were quickly rejected
and thus could not facilitate sustained trading. With all this in mind, using the
Footprint® Profile provides valuable insight and clues to where the market is more
likely to trade and establish value (volume).
© Copyright 2007 MarketDelta LLC. All Rights Reserved.
Footprint Strategies
83
Complimentary Strategies & Uses
Using the delta periodicity can provide a powerful way to track the rotations in the
market. Because the delta is based on volume and which direction it is flowing into
the market, you will often find it is a very good way to confirm price direction and
reversal points.
Figure 4-19
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Figure 4-20
© Copyright 2007 MarketDelta LLC. All Rights Reserved.
Footprint Strategies
Figure 4-21
For more examples, visit our Strategies page. Timely market examples are at
http://blog.marketdelta.com.
© Copyright 2007 MarketDelta LLC. All Rights Reserved.
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MarketDelta Strategy Guide
10 Yr Note
US 10yr Treasury Note Summary
Users of MarketDelta® who trade any fixed income market besides the Bund should
probably consider using the Footprint® chart in a slightly different manner than is
primarily talked about throughout this guide. The reason for this these markets
usually do not contain as much price volatility as other markets. This is a
generalization of course, but an accepted fact among traders. Because of the lack
of price volatility the trading occurs a little different. Because the fixed income
markets do not rotate aggressively and quickly (besides during economic releases)
heavy volume is transacted at each and every price. The directional order flow does
not offer as much insight in these markets because they are less likely to have a lot
of near term follow through. This tends to neutralize somewhat, the information
extracted from observing order flow. These are all generalizations but worthy of
mentioning so you have a better perspective while trading and how to possibly make
use of the delta information within the Footprint® chart.
Core Principles
Many of the traders we talk with that have found the Footprint® chart indespensible
in the fixed income arena use either the Footprint® Profile chart or volume
Footprint® chart. Many of those traders utilize our Market Profile® chart as well.
The Footprint® Profile offers traders a way to see mini-Market Profiles® in any time
frame they want. This helps to gauge the supply and demand at a closer level and
better evaluate areas to trade against, such as significant Market Profile® levels or
other pre-defined support and resistance. Another nice feature of the Footprint®
Profile is the shape it produces. This can be very helpful in seeing where pockets of
liquidity exist and see where all the volume is occurring.
Unique to These Examples
Figure 4-22 and 4-23 are from the same date. One chart is a 15 minute and the
other a 30 minute. Figure 4-22 shows the delta color shading. In Figure 4-23 we just
colored the bid and ask volume all the same color. This shows the volume
distribution without the delta color shading. It works well for those who just want to
see volume distributions in whatever time frame desired. Figure 4-24 shows a
© Copyright 2007 MarketDelta LLC. All Rights Reserved.
Footprint Strategies
87
non-time based periodicity of 1/8 of a point. Each bar represents 8 ticks, so once a
bar trades outside the 8 ticks a new bar is created. This offers a useful way of
seeing how much volume occurs within price ranges as long as price does not trade
outside that range. Bars will be skinny and contain less volume if they traded the 8
ticks quickly and did not spend much time there. Bars that are wide represent more
volume traded and probably spent more time within that range. This may offer a
unique way to confirm a Market ProfileÒ.
Figure 4-22
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Figure 4-23
© Copyright 2007 MarketDelta LLC. All Rights Reserved.
Footprint Strategies
Figure 4-24
For more examples, visit our Strategies page. Timely market examples are at
http://blog.marketdelta.com.
© Copyright 2007 MarketDelta LLC. All Rights Reserved.
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MarketDelta Strategy Guide
Currency Futures
Currency Futures Summary
All examples of currencies use the currency futures contracts. Spot forex (cash
market) does not disseminate volume with each trade while currency futures do.
This allows the Footprint® to work correctly since it requires volume with each trade.
Other features within MarketDelta® do work with spot forex because volume with
each trade in not required. Currencies are probably the most 24-hour market in the
world. This is important to understand when trading so you realize that there will be
times during the day when more liquidity is available.
Core Principles
Heavy volume is witnessed on the Footprint® very clearly through shape, color, and
numbers. Depending on which Footprint® you view, the numbers represent volume
in one form or another. In the case of the Footprint® Profile volume is represented
by the width of the bars. The important principle to grasp is how each Footprint®
relates to others around it. Some questions you might ask yourself are the following:
As price trades lower/higher is volume picking up? Is the POC (point of control or
high volume price) of the current bar higher or lower than the previous bar? What is
the color of the POC? How does one bars volume or delta relate to another? Are
certain prices exhibiting more volume that others? As price trades sideways what is
volume doing at the high and low of the trading range? What is the shape of the bar
if viewing the Footprint® Profile? These questions should all be able to be answered
with material presented throughout this guide.
Unique to These Examples
The Footprint® will help you answer these questions by providing the necessary data
for you to make the decision. Without the Footprint® the ability does not exist to
reference this very crucial trade data. In Figure 4-25 and 4-26 the Footprint® Profile
clearly shows where high levels of volume were transacted AND who had more
conviction to trade, buyer or seller. This conviction is depicted by color and in two
different ways: the first is Footprint® by Footprint®. The second is the color of the
bar delta located at the bottom of the window beneath each bar. This keeps track of
the net buying and selling that took place for the entire bar and should be used to
© Copyright 2007 MarketDelta LLC. All Rights Reserved.
Footprint Strategies
91
confirm the price move you are witnessing.
A move higher should be confirmed with a blue or green delta color for the bar. A
move lower should be confirmed by a red delta color for the bar. Any difference
should cause a trader to question the price move in the near term. One of the
reasons for this is aggressive buyers and sellers tend to be short sighted and want to
see payoff quickly. If the market is unable to move in their favor in the near term
they may exit the trade. Utilizing the Footprint® and the delta color can provide a
way to see through all the noise and gauge the underlying strength in a market in
whichever time frame you prefer.
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Figure 4-25
© Copyright 2007 MarketDelta LLC. All Rights Reserved.
Footprint Strategies
93
Figure 4-26
The ES is certainly one of the most popular instruments traded using the
MarketDelta® and the Footprint® chart. For more examples, visit our Strategies
page. Timely market examples are at http://blog.marketdelta.com.
© Copyright 2007 MarketDelta LLC. All Rights Reserved.
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4.12
MarketDelta Strategy Guide
Stocks & ETF's
Stock & ETF Summary
A majority of the traders using MarketDelta® and the Footprint® chart up to now
primarily trade futures. Until July 6, 2007 stocks could not be shorted on the down
tick. An was uptick is required in order to short stocks. This rule has been repealed
and should be good new for those interested in trading stocks using MarketDelta®.
More information on this topic can be found here. If you trade stocks in countries
outside the U.S. you should understand whether an uptick rule exists. The uptick
rule does not effect the total volume at each price, so viewing the Footprint® Profile
or volume Footprint® can be a very good choice for markets that contain an uptick
rule. ETF's do not have an uptick rule.
Core Principles
MarketDelta® can be used by traders who like to time entries, exits, follow reversals,
and take advantage of breakouts. The Footprint® provides an innovative view for
market timers using color shading to express buying and selling. Shades of blue
represent more buying and shades of red represent more selling at each respective
price. Market timers are looking for clues as to what the market will do next in order
to take advantage of their knowledge. The goal is to get in on the move early. The
Footprint® gives a unique perspective because it allows market timers to see HOW
the price is trading, not just where price is trading. This allows market timers to have
the "inside view" of turning points in the market because they are viewing volume
with price. The color shading jumps out at you when price begins to move or when
they coil up waiting to breakout.
Another way the Footprint® may be used by market timers is when price moves up
to new highs and advertises for selling. The Footprint® will show whether aggressive
sellers are entering the market at the new highs. By displaying red Footprints® at
new high prices, the Footprint® is advertising selling activity. Think of the Footprint®
as a big billboard flashing "aggressive selling" or "aggressive buying" when the
colors change. Simply put, this would indicate the sellers are becoming aggressive
at the highs. Footprints® light up dark red because the aggressive sellers are willing
to throw more volume at the bids rather than posting their offer. In this simple micro
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Footprint Strategies
95
pattern the sellers do not want to miss the opportunity to sell new high prices. More
times than not, if aggressive selling does not enter the market, price will move higher
until it brings in a response by the sellers.
Complimentary Strategies & Uses
Use the Footprint® to Confirm other Indicators - The Footprint® is also used to
confirm a signal given from other indicators. An example would be a moving
average or moving average crossover. As the signal is being produced from the
moving average, look to the Footprint® to confirm the signal and better time the
entry or exit. Stochastic's are another example. These can read overbought or
oversold for a very long time, causing big problems when trying to gauge buy and
sell opportunities. Using the Footprint® you can monitor how the market is trading at
the overbought/oversold points and confirm whether the market is turning or whether
continuation is likely. The idea is to increase the probability that your indicator is
giving a correct reading and not a false signal.
One of the most frequent compliments about MarketDelta® is not how many trades it
has put traders into, but rather, how many bad trades it has helped keep them from
taking. The reason for this is while your conventional indicators or tools give
signals, the Footprint® gives you the evolving real time view of the market and
how it is behaving at those points. Although viewed as just another chart, it is far
from being just another chart. It provides the most comprehensive trade information
available of any chart form available, thus providing more information for you to
make your trades. The Footprint® is not a leading or lagging indicator. Its job is to
present all the data in the most readable manner for you to make trading decisions.
When viewing stocks or ETF it may be useful to use the "scale" feature located
in Footprint® Preferences | Options Tab. A popular setting my be dividing
value by 100 or 1K.
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Figure 4-27
For more examples, visit our Strategies page. Timely market examples are at
http://blog.marketdelta.com.
© Copyright 2007 MarketDelta LLC. All Rights Reserved.
Footprint Strategies
4.13
97
Market Profile Strategies
Market Profile® Summary
Using MarketDelta® to confirm Market Profile® is one of the most popular ways to
apply the Footprint® chart. Market Profile® was created by Peter Steidlmayer in the
early 1980's. It categorizes market generated data in a unique manner and has
provided professional traders a methodology to base their trades upon for the past
25 years. Market Profile® provides a graphic that is statistically based and provides
a very good way of organizing market data into distributions. As a session
progresses, learn to determine who is attempting to influence the market – the "other
time frame" participant or the "day time frame" participants. As traders become
more aware of specific Market Profile® patterns and setups, it becomes
obvious how complimentary the Footprint® is at providing traders with a way
to qualify trading opportunities see on the Market Profile®.
Market Profile® + MarketDelta® = Greater Awareness & Increased Transparency –
Our Market Profile® offers many features you won’t find with other vendors. One of
the most important is the Footprint® chart is built into the charting software, allowing
traders to confirm entries and exits by “zooming” in on how the market is trading at
key levels and helping make more informed decisions.
Market Profile® will help determine where to trade and the Footprint® will help
determine when to trade. Many traders use Market Profile® to display the overall
structure of the market and gauge value. MarketDelta® compliments this by gauging
volume and order flow to help determine whether or not what you are witnessing on
the profile can be trusted. You can then use MarketDelta® to assist in more timely
entries and exits and monitor volume at critical levels. With a basic understanding of
Market Profile® you will be able to easily understand the examples below. For a
more in depth review of Market Profile® please see the MarketDelta® Help Manual
section entitled Market Profile®.
Core Principles
Like any methodology in trading there are numerous ways to interpret and define
trade signals. In the examples below we will look at some of the most conventional
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ways to apply Market Profile®, along with a few specialized applications.
Probably the most popular way of applying Market Profile® is by using the Value
Area. The value area represents the area where 70% of the trading has occurred
(approximately 1 standard deviation). The value area is based upon a normal
distribution curve. The benefit of identifying the value area is to see where price is
trading in relation to value and then apply logic, reason, and market structure to it. It
is typical to relate the previous days value area to where the current price and value
area are. Watching how this develops over time can clue the trader to "fair" and
"unfair" prices. Coupling this information with the Footprint® chart can provide the
trader with an acute view of underlying price and volume behavior and provide a way
to confirm the "fair" and "unfair" prices.
A second way to use Market Profile® would be for the various other statistics and
measures, such as the initial balance area, opening range, single prints, point of
control, etc. Identifying these levels and understanding how price may respond to
them can provide crucial knowledge to trade by. Using the Footprint® chart to
confirm these levels of support/resistance will provide added context to the Market
Profile® chart and assist in better trade placement and execution. You will find that
often the Footprint® will provide information that will suggest NOT entering the trade
at the level identified on the profile. This is where the benefits of the Footprint® are
apparent, as well as once you are in a trade for monitoring the position and
underlying strength or weakness.
A third way Market Profile® is often used and referred to is by the shape of the
profile. Some of the more popular terms to describe the profile are: Normal, Neutral,
Normal Variation, Double Distribution, and Trend Day. A very good book that details
each of these is Mind Over Markets by Dalton. Again, once a thorough
understanding of the profile shapes is achieved and a trader understands which way
a market is more likely to trade, the Footprint® chart becomes an invaluable tool for
confirming this further and providing optimal trade entry/exit location, as well as a
tool for gauging the position as the market trades.
Lastly, one of the core benefits the Market Profile® provides is context. Traditional
© Copyright 2007 MarketDelta LLC. All Rights Reserved.
Footprint Strategies
99
charts focus on price and volume and draw a chart over some time period. Market
Profile® takes all that information and provides the added context of "shape" and
creates a distribution and useful statistics from which a trader will gain added
perspective and context. The Footprint® chart draws upon the both the strengths of
traditional and Market Profile® charts and creates what many feel is a killer
application and view of the market.
Unique Examples
In Figures 4-28, 4-29, and 4-30 we see an interesting progression and method of
confirmation. Figure 4-28 shows 3 days of data for Crude Oil during the period of
June 28th, 2007 through July 2nd. It shows a basic Market Profile® with the initial
balance (black vertical bar to left of each profile) and the value area (blue vertical bar
to right of each profile). Figure 4-29 shows the same 3 days but "split". This
separates each letter (bracket) and shows the ranges and prices traded during each
particular bracket. This could be viewed similar to a bar or candle chart but lacking
the ability to see where each bracket closed. The letter "O" in each bracket signifies
the open for that bracket. The split profile view can be utilized to spot potential areas
of support/resistance and areas where a market was stable and unstable, i.e.
volatile. Figure 4-30 shows a 30 minute Footprint® Profile for July 2nd. It zooms in
on how volume is flowing into the market and affecting price. This can prove to be a
very good way to accurately confirm breakouts, range extensions, trends, and
rotations.
Figures 4-31 to 33 show the same progression except using the 30 year bond
contract which tends to have less volatility and rotate in tighter ranges more often.
Most of what is shown is self explanatory for those familiar with Market Profile®.
However, Figure 4-33 shows a Footprint® Profile with the developing value area
bars applied to the chart. Having these present on the chart can help keep this
important reference area in the forefront of your mind. It is also useful to see if the
developing value area begins to rise or fall, showing that value throughout the day is
shifting.
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Figure 4-28
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Footprint Strategies
Figure 4-29
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Figure 4-30
© Copyright 2007 MarketDelta LLC. All Rights Reserved.
Footprint Strategies
Figure 4-31
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Figure 4-32
© Copyright 2007 MarketDelta LLC. All Rights Reserved.
Footprint Strategies
105
Figure 4-33
Here is a 1 hour video presentation that was done for the Chicago Mercantile
Exchange on Using Volume to Confirm Market Profile® (65MB Windows media file).
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4.13.1 Advanced Market Profile Strategies
Variable Profile Splitter used in conjunction with the Footprint®.
(Note, This strategy originally was posted to our blog.)
This strategy uses the Variable Profile Splitter within the Footprint® chart and shows
step by step how to set it up and then how to read the results.
1. You will need to define two conditions in the Preferences tab:
2. A time period that the market must travel before it can “split” to a new profile.
3. A condition for a range of time periods that the market must “breakout” from in
order to “split.”
For traditional Market Profile® users, this new functionality will require you to take a
fresh look at markets. With the increased volume in “overnight” trading and the
vertical nature of today’s markets, the use of the standard daily Market Profile® may
have less functionality.
For ease of understanding, I have included a few definitions:
Split: when one profile changes to another. The old/traditional method “split” profiles
every day (via exchange defined open and close time). The new method splits
profiles based on time and price conditions (via market structure and user defined
time).
Traditional Market Profile® View: displays profiles in “bell-curved” shape profiles
based on the standard deviation measurements
Segmented Period Market Profile® View: displays each 30 minute period as it
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Footprint Strategies
107
occurred sequentially
Here are the settings we prefer for day trading:
1. 12, 30 minute time periods that the market must travel before it can “split” to a
new profile.
2. A range of 9, 30 minute time periods that the market must “breakout” from in order
to “split.”
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This is an example of the 12/9 splitter in the Segmented Period Market Profile®
View:
The profile split when “f” bracket (0630-0700 with my settings) broke the range of the
previous 9, 30 minute periods.
© Copyright 2007 MarketDelta LLC. All Rights Reserved.
Footprint Strategies
Here are the Market Profile® preferences used here:
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Here are the same Variable Profile Splitter in the Traditional Market Profile View:
Strategy and Application:
When the profile “splits” several possibilities could occur: the market trades
sideways, the market pauses and reverses, the market immediately stops and
reverses, or the market will drive in the direction of the split.
We recommend using the Footprint® Chart to help gauge the success/failure of the
“split” breakout.
In this case study we use the CBOT August 07 Gold contract on 6-6-07 and 6-7-07.
The first example on 6-6-07 shows a pause and reversal from the “split” breakout as
not enough aggressive sellers stepped in to drive the market lower.
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Footprint Strategies
111
On the Footprint® Chart, we highlighted the breakout price that corresponds with the
“split” example from above.
This picture shows the Delta action when the profile “split”:
Things to observe: Where is the value area? What is the Delta? How much volume
is present? How successful are the sellers? The buyers?
After the “split” lower and 1.5 hr pause, the Gold Market rallied ~ $4.00 before
putting in a single print selling top (as a bonus we included how the Footprint® Chart
captured the entry sell signal before the single print was “seen” in the Traditional
Market Profile® view).
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Below we see the sell signal generated by the Volume Value Area and Delta prior to
the single prints appearing:
The next example of Gold on 6-7-07 shows how the market “split” lower and multiple
aggressive sellers entered the market and drove it lower.
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Footprint Strategies
113
Below we see the Segmented Market Profile® View:
The profile split when “p” bracket (1100-1130 with my settings) broke the range of
the previous 9, 30 minute periods.
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Below we see the Traditional Market Profile® View:
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Footprint Strategies
115
The picture below shows the corresponding Footprint® Chart:
Things to observe: Where is the value area? What is the Delta? How much volume
is present? How successful are the sellers? The buyers?
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The picture below is the final result:
Please contact MarketDelta® and ask for Brian if you are interested in learning more
about the Variable Profile Splitter and its applications.
© Copyright 2007 MarketDelta LLC. All Rights Reserved.
Footprint Strategies
4.14
117
Miscellaneous Strategies
4.14.1 Volume Cluster
Volume Clusters – These are areas on a chart where price rotates back and forth
and distributes volume. These are best seen on the Footprint® Profile. They often
become support or resistance during pull backs in trending markets. Using the
cumulative profile on the Footprint® (located on the far left of the window) allows a
trader to spot longer term trading opportunities. Selling clusters can confirm
reversals and provide confidence that the market is truly reversing. See Figure 4-34
below for an example.
Buying clusters - These are areas within a bar or series of bars where it is apparent
accumulation is taking place. Buying clusters will be sequential blue (usually the
darkest blue) Footprints® back to back. Other times it can be assumed to be a
general area of the chart.
Selling clusters - These are areas within a bar or series of bars where there is
apparent distribution taking place. Selling clusters will be sequential red (usually the
darkest red) Footprints® back to back. Sometimes it can be assumed to be a
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general area of the chart where the Footprints® are not back to back.
Figure 4-34
Cluster Strategies
A popular "cluster" strategy is to first recognize what stage of development the
market is in - rotational (consolidation) or trend. Ask what has the market been
doing up until now. Trending or rotating back and forth? Look to see if clusters are
developing within the bars. Often times the clusters develop at important areas of a
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Footprint Strategies
119
distribution, helping to confirm acceptance or rejection of that particular area.
IMPORTANT - You will tend to see more clusters of dark Footprints® in trending
markets than you will in rotational markets. Trending markets exemplify direction
and strength while rotational markets exemplify lack of conviction and are often
directionless, random behavior. Non-trending markets will lead to a pattern we call
candy striping.
Another is a support/resistance strategy. Use the cluster areas as support and
resistance on pullbacks. Use the areas you identify as clusters as potential support
resistance. This will work best in trending markets when a market is consolidating.
The aggressive buyers/sellers will defend area the original cluster appeared.
4.14.2 Consolidating
A consolidating market is one which finds price rotating within a range or channel.
The rotating concept can be seen in any time frame, but these examples will consist
of intraday time frame examples using one days worth of data. Often a market will
rotate between support and resistance areas in what seems to be a very random
pattern, but having the perspective of the Footprint® can sure help. Due to the
unique manner in which the Footprint® displays information, unique Footprint® chart
patterns and traditional chart patterns will become more apparent and help you spot
trending and rotational markets more clearly.
It is crucial that traders understand what are reasonable expectations for the trades
they make. Understanding if the market has the potential to trend versus rotate
is very important if you want to become a successful trader. The Footprint®
does an exceptional job taking the task of identifying what type of day is developing
and visually makes more clear how expectations unfold while the market makes its
rotations.
Key observation - RANGE BOUND - When the market is range bound (lacking the
ability to trend) you should expect to see variations of color comprising each bar.
The means many of the bars will have roughly 50% red and 50% green Footprints®,
but certainly not all one color. This will happen when the market reaches an
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equilibrium and is content trading within boundaries, such as the value area or a
trading range. Often times in markets like this you may see a cluster of dark green
Footprints® come in near the high of the range or a cluster of dark red Footprints®
come in at the bottom of the range. Probability suggests these are traders playing
for the breakout and will be wrong as they experience the market trade right back up
to the high of the range. Eventually a breakout will ensue, but in the interim it is
much wiser (and certainly more profitable) to trade the probability of price mean
reverting from the range extremes. Other times volume may simply dry up as it
approaches support or resistance. This is good information as well, because
typically breakout's do not occur on light volume. This can be signaling a reversal or
pause in the market. Look at Figure 4-35 for a good example.
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Footprint Strategies
121
Figure 4-35
It cannot be stressed enough how important it is for a trader to build expectation
around the potential for a given market. Expectations will guide actions. Actions will
lead to profits or losses. Proper actions will lead to profits. Observing a market
develop using the Footprint® will give one confidence that the chance for a breakout
in either direction is reduced because of what the Footprint® is showing. Let the
market communicate its intentions to your through the Footprint®. On the
contrary, if trade begins to accumulate near one of the extremes and volume is
evident through dark Footprints®, then the underlying conditions may be changing
and with it your expectation of market potential will be rising. Your attention will now
be focused on a breakout which may ensue. No other type of chart will provide this
type information in such a clear manner.
Remember, when you witness volume increasing into support or resistance it it likely
due to supply matching up with demand. Reading the delta and monitoring how
trading occurs if the breakout point is taken out will provide further evidence of failure
or success. Price has mind of its own and the Footprint® chart helps keep all
perspectives in view.
4.14.3 Candy Striping
Candy striping is a term to describe a unique Footprint® pattern that represents a
mixed market. This type of pattern happens when buyers and sellers lack conviction
and are battling for control but equally matched. It appears within each bar where
some Footprints® are blue and some red. Ideally it would be a 50/50 mix. It creates
a striped pattern in the bar. Candy striping is often present in non-trending and
rotational type markets and very often when they are trading WITHIN the value area.
This pattern should be viewed as confirmation of a market that currently lacks the
ability to move directionally.
To go a step further, it's critical you have an idea of what to expect from the trades
you place. When present, this pattern will give clues to what type of market is
developing and makes you more aware of what to possibly expect -- more of the
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same rotations, breakout or trend. If candy striping appears within a market that is
trending, it could be showing signs of a change in momentum or a pause in the
trend. Is does not signal a reversal, but rather a pause in momentum. Price could
consolidate and continue in its original direction after digesting volume and bringing
in other participants.
Candy striping is a pattern that often results in price returning to the point from which
it started the previous candy striped bar. i.e. Price run lacks conviction. This can
happen within the actual candy striped column or in a following column. We have
noticed that sometimes price might not return to the starting point of the candy
striped column but rather return to a volume cluster within that column itself. Figure
4-36 is a good example of typical price action that results in this pattern.
Candy striping is one of the easiest patterns to recognize from the Footprint® and
will give traders a new pattern from which to trade. This pattern will not show up in
any other kind of chart. Only the Footprint® provides this insightful view of market
dynamics.
© Copyright 2007 MarketDelta LLC. All Rights Reserved.
Footprint Strategies
Figure 4-36
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123
Part
V
Conclusion
5
125
Conclusion
If you have not figured it out by now, the Footprint® chart is very unique and superior
to all other charts available. The unique characteristics of the Footprint® require
study and diligent use, but the time and effort will truly be worth it. We recommend
making full use of this guide and all the education material available at
www.marketdelta.com.
The Footprint® is being adopted internationally and has been used by traders in over
45 countries. There is no doubt traders are finding it indispensable. One of the
ways organizations are using it is to train traders on price dynamics and patterns. By
showing them the Footprint® it speeds up the time traders need to begin
understanding price/volume relationships and supply/demand relationships. They
are doing this because of the superior way in which the Footprint® relates price
dynamics to the traders eye.
Keep up to date by visiting http://blog.marketdelta.com for timely market examples
and strategies..
For individual or group training, please contact us at sales@marketdelta.com.
Educational Materials at marketdelta.com
· MarketDelta® Help manual, FAQ's, Blog, and built-in help files
· Videos covering the general functionality of all the components within the software
· Videos highlighting some of the strategies in this guide
MarketDelta® community support is available at the following Yahoo® message
board. http://groups.yahoo.com/group/MarketDelta/
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Our Address & Contact Information:
MarketDelta LLC
141 W. Jackson Blvd., Suite 3706
Chicago, IL. 60604
Phone +1.312.922.7800
Fax +1.312.922.7801
General Information
Support
Sales | Billing | Cancellations
Ideas
Info@marketdelta.com
Support@marketdelta.com
Sales@marketdelta.com
Ideas@marketdelta.com
© Copyright 2007 MarketDelta LLC. All Rights Reserved.
Index
127
Index
Delta Percent Footprint 24
Delta Periodicity 29, 67
Dow (YM) 53
-1-
-E-
10 Yr Note
86
-AAsk
17
-BBid 17
Bid / Ask Footprint 17
Bund 81
Buying Cluster 117
-CCandy Stripe 121
Color Shading 15, 81
Consolidation 119
Crude Oil 67
Currencies 90
ETF's 94
EuroStoxx 50 63
Example - Advanced Market Profile 106
Example - Breakout 42, 58
Example - Candy Stripe Pattern 121
Example - Consolidation 74, 119
Example - Continuation 58
Example - Delta Divergence 53, 74
Example - Delta Percent Footprint 49
Example - Delta Periodicity 42, 53, 63, 90
Example - Footprint Profile 67, 74, 81
Example - Market Profile 97
Example - Outside Bar 74
Example - Price Periodicity 49, 90
Example - Range Periodicity 86
Example - Reversal 53, 117
Example - Shape of Profile 67, 97
Example - Value Area 42, 63, 77, 119
Example - Volume Periodicity 81
-F-
-D-
Footprint Profile 19, 58
Footprint Type 15
Dax 58
Delta 19, 21, 38, 53, 63
Delta Divergence 42, 53
Delta Footprint 21
-G-
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Gold
74
128
Grains
MarketDelta Strategy Guide
77
Stocks 94
Strategy - Confirmation
Supply & Demand 77
-IInitial Balance
-T-
97
-M-
Testimonials 7
Trending 38, 42
Market Profile
38, 97, 106
-V-
-NNaked POC 97
Non-time Based Periodicity
Non-trending 38
-PPeriodicity
94
29
Value Area 97
Variable Profile Splitter 106
Volume Based Periodicity 29
Volume Breakdown Indicator 53
Volume Cluster 117
Volume Footprint 27
15, 29
-RRange Bound 119
Russell 2000 emini 49
-SS&P 500 emini 42
Selling Cluster 117
Shape of Footprint 81
Single Prints 97
Split Profile 97, 106
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