Technical analysis tools
A suite of tools bringing Jim Dalton’s volume profile techniques to modern financial markets, with a focus on
market dynamics in place of the static, session-based reasoning that’s prevalent in traditional financial markets, and
data aggregation across exchanges, in particular highlighting contrasts between spot and futures markets.
Using proprietary analytic techniques, these highly customizable tools yield directly actionable insights into market dynamics that can form the basis for new trading systems.
These tools now constitute a major part of the daily market analyses performed by a private group of professional cryptocurrency traders.
-
Volume profile engine
A highly customizable tool for computing volume distributions in financial markets. Able to calculate volume, buy volume, sell volume, and time distributions, aggregate volume across multiple exchanges, track market activity in realtime, use decay settings to focus on recent or past data, and compute differences between buying and selling volume at each price level.
Example application to determining data-driven support and resistance levels in cryptocurrency markets.
-
Trapped buyer and seller oscillator and overlay
A pair of volume indicators that report buying and selling volume that’s at loss within a given window around the current price of an asset, giving a reliable measure of local support and resistance. The overlay integrates a statistical measure of when buy or sell volume that’s at loss is historically significant.
-
Max pain levels
Inspired by the heuristic from options trading that markets tend to gravitate towards prices that leave the most contracts worthless, this indicator calculates price levels that leave the most market participants the most at loss. The importance of these price levels is theoretically aligned with the idea that markets act to maximize liquidity by putting the most transactions out of money, incentivizing participants to exit their positions and so provide new liquidity.
Concretely, this tool renders price levels that necessarily act as support or resistance.
-
Buy-sell volume delta
A volume indicator that uses volume profiles to measure market participants in profit and at loss, revealing novel phenomena not visible with traditional volume metrics.
-
Volatility
Translates the idea of balance in trading volume distributions into a highly effective predictor of upcoming volatility in financial markets.
-
Developing volume profile, part 1: points of control and value areas
The developing volume profile tool renders a range of statistics derived from a volume profile computed at each bar. In particular it computes value areas and points of control that roll forward as time passes, allowing the session-focused analyses from traditional financial markets to be extended naturally to the 24 hour cryptocurrency markets.
Like every tool, the developing volume profile indicator supports volume aggregation across exchanges, as well as exponentially decayed volume profiles that yield statistics more relevant for low time frame analysis.
-
Developing volume profile, part 2: meanlines and bands
In addition to the measures of central tendency and dispersion traditionally used in technical analysis - the point of control and value area - the developing volume profile tool outputs the mean, median, and standard deviation of a volume profile produced at each bar. These yield a highly effective meanline for mean-reversion trading strategies, one that incorporates volume data more accurately than the usual volume weighted moving averages. The standard deviation measurements produce extreme bands that identify overbought and oversold conditions more effectively than common tools such as Bollinger bands.
-
Oscillator outliers
Calculates data driven overbought and oversold levels for any oscillator using a user-specified measure of event rarity.
-
Sample application: market balance levels
Combining the volatility and developing volume profile indicators, we can detect where a market has agreed on fair value in the sense of Jim Dalton. These are price levels that the market consistently returns to and often mark turning points in market structure.