S&P Value Area & Market Profiles


Junior member
Does anyone have a URL to a website that either explains, works out or displays, the value area on the S&P e-minis? It is similair to Market Profiling and to trade with it you also combine it with floor traders pivot points.

By VA I mean the area that held the bulk of the trading for the previous period by volume, price & time action. It is based on volume weighted average prices.

If anyone knows anything about this subject are the upper and lower ranges based on a standard deviation from the single VWAP or are they threshold values?

I would predict that the often calculated floor traders pivot point will usually sit somewhere within the Value Area and that R1, R2, S1 & S2 sit outside the zone.
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I have heard you rave abt the merits of VWAP, and I understand where you are coming from, but what was the situation for this method in the runaway tech boom ?

Not a great deal of opportunity for regression to the mean (albeit a volume weighted one) ?

The General.
YM link looks useful as it`s up to date but the one for all three is old, looks like u prolly have to pay for his daily calculations of value area, or learn to do it yourself :cheesy:
General ,

Actually , regression to mean does not have much to do with tech boom .. VWAP analysis which regression to mean is part of it, is a bench market for risk analysis.. it is because of the risk anlaysis of postions ( bar by bar ) which makes this strategy so attractive.. The reversion to mean bit asumes that once instruments get 2SD then there is a fair chance of reversal but I have modified this notion and replaced it with a more meaning ful criteria ( called MPD maximum permissible devaition ) ..

VWAP trading strategy outlined by myself onthis BB has been designed for US stocks in mind where a trader has some kind of a criteria to refer to his L2 screen for fine tuned entry..

in 2000 we tried to design a system only based on mean reversion but it did not work as we would expect as the stock's deviation got wider and wider without taking any notice of our statistical based envelops.. ( very mcuh like Bollinger band. )

Most VWAP trading concepts you see on internet use some kind of a statistical measures to call the reversal points but I am yet to be convinced..