Market Delta Help Manual

MarketDelta Help Manual

©2003 - 2009 MarketDelta LLC. All Rights Reserved.

MarketDelta Help Manual Enabling you to "See INSIDE the CHART" by MarketDelta LLC

MarketDelta provides traders with an unprecedented level of trading transparency, providing more confidence and better precision while trading. Use this guide to learn more about using the Footprint chart and other tools included in MarketDelta.

MarketDelta Help Manual ©2003 - 2009 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 therespective owners. No claim is made as to these trademarks.The documentation and software are provided "as is" and without any express or implied warrantiesincluding, without limitation, merchantability or fitness for a particular purpose. Similarly, there is no warrantyas to performance, accuracy, or functionality. MarketDelta LLC makes no representation, warranty orcovenant concerning the accuracy, sequence, timeliness, completeness or availability of the software and/ordocumentation or any other information or the likelihood of profitable trading uses. The user assumes theentire risk of using the software and/or documentation and accepts full responsibility for any investmentdecision 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 againstany such losses or expenses arising from provision or use of the software and/or documentation, regardlessof cause or form of action, whether in contract, tort, strict liability, statutory liability or otherwise. Printed: March 2009 in Chicago

© 2009 MarketDelta LLC. All Rights Reserved. MarketDelta, Footprint, and See Inside the Chart 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.

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Table of Contents Foreword

0

12

Part I Welcome to MarketDelta 1 Testimonial ...................................................................................................................................

12

2 Introduction ...................................................................................................................................

13

Organization of .......................................................................................................................................................... this Document 13 Receiving Support .......................................................................................................................................................... 14

3 Overview ...................................................................................................................................

15

4 What's ................................................................................................................................... New

16

5 Getting ................................................................................................................................... Started

17

Supported Data .......................................................................................................................................................... Feeds 17 Guided Setup .......................................................................................................................................................... 18

25

Part II Charts 1 The Basics ...................................................................................................................................

25

Creating Charts .......................................................................................................................................................... 25 Modifying Charts .......................................................................................................................................................... 26 Accessing ......................................................................................................................................................... Preferences 27 Vertical Scaling ......................................................................................................................................................... 34 Horizontal Scaling ......................................................................................................................................................... 39 Deleting Charts .......................................................................................................................................................... 40 Deleting Instrument .......................................................................................................................................................... from Chart 40 Saving Charts.......................................................................................................................................................... 40 Add Symbol .......................................................................................................................................................... 40 Change Symbols .......................................................................................................................................................... on Chart 40 Adusting Pane.......................................................................................................................................................... Size 41 Editing Chart Data .......................................................................................................................................................... 41 Manipulating Charts .......................................................................................................................................................... w/ Keyboard 41 Manipulating Charts .......................................................................................................................................................... w/ Mouse 42

2 Footprint ...................................................................................................................................

43

Opening a Footprint .......................................................................................................................................................... 45 Footprint Types .......................................................................................................................................................... 46 Bid / Ask Footprint ......................................................................................................................................................... 46 Delta Footprint ......................................................................................................................................................... 48 Total Volume ......................................................................................................................................................... 49 Volume (Delta ......................................................................................................................................................... Color) 50 % Volume ......................................................................................................................................................... (Delta Color) 51 Footprint Profile ......................................................................................................................................................... 52 Delta Profile ......................................................................................................................................................... 53 Delta Percent ......................................................................................................................................................... 54 % of Volume ......................................................................................................................................................... 55 Color Only ......................................................................................................................................................... 56 Invisible ......................................................................................................................................................... 57 Average Size ......................................................................................................................................................... 58 Average Size ......................................................................................................................................................... Delta Color 59 Adding Technical .......................................................................................................................................................... Indicators to Footprints 59 Footprint Price ......................................................................................................................................................... Statistics 61 ©2003 - 2009 MarketDelta LLC. All Rights Reserved.

Contents

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Footprint Bar ......................................................................................................................................................... Statistics 64 Footprint Price Statistics ......................................................................................................................................... 2 67 Volume Price ......................................................................................................................................................... Statistics 69 Footprint Preferences .......................................................................................................................................................... 86 Footprint Data ......................................................................................................................................................... Tab 87 Footprint Display ......................................................................................................................................................... Tab 89

3 Classic ................................................................................................................................... Footprint

91

Opening a Classic .......................................................................................................................................................... Footprint 93 Classic Footprint .......................................................................................................................................................... Types 94 Bid / Ask ......................................................................................................................................................... 94 Delta ......................................................................................................................................................... 95 Total Volume ......................................................................................................................................................... 97 Volume (Delta ......................................................................................................................................................... Color) 99 % Volume......................................................................................................................................................... (Delta Color) 101 Footprint Profile ......................................................................................................................................................... 102 Delta Profile ......................................................................................................................................................... 104 Delta Percent ......................................................................................................................................................... 106 % of Volume ......................................................................................................................................................... 109 Color Only......................................................................................................................................................... 111 Classic Footprint .......................................................................................................................................................... Buttons 113 Classic Footprint .......................................................................................................................................................... Preferences 115 General Tab ......................................................................................................................................................... 116 View Period ......................................................................................................................................................... Tab 119 Columns Tab ......................................................................................................................................................... 121 Colors Tab ......................................................................................................................................................... 123 Lines Tab......................................................................................................................................................... 124 Options Tab ......................................................................................................................................................... 125 Classic Footprint .......................................................................................................................................................... Color Shading 127

4 Multi-Pane ................................................................................................................................... Charts

128

Multi-Pane Chart .......................................................................................................................................................... Types 129 Bar ......................................................................................................................................................... 129 Bi-Color Line ......................................................................................................................................................... 130 Candlestick ......................................................................................................................................................... 131 Connected ......................................................................................................................................................... Line 132 Continuous ......................................................................................................................................................... Line 133 Histogram......................................................................................................................................................... 134 Invisible ......................................................................................................................................................... 135 Percent Change ......................................................................................................................................................... Bar 136 Percent Change ......................................................................................................................................................... Candle 137 Percent Change ......................................................................................................................................................... Line 138 Wickless Candle ......................................................................................................................................................... 139 Point and ......................................................................................................................................................... Figure 140 Renko ......................................................................................................................................................... 143 Volume Profile ......................................................................................................................................................... 147 Premium Indicators .......................................................................................................................................................... 148

5 Market ................................................................................................................................... Profile

148

Market Profile .......................................................................................................................................................... Chart Overview 149 Opening a Market .......................................................................................................................................................... Profile 159 Preferences.......................................................................................................................................................... 160 Profiles Tab ......................................................................................................................................................... 161 Letters Tab ......................................................................................................................................................... 164 Price Levels ......................................................................................................................................................... Tab 166 Reference ......................................................................................................................................................... Lines Tab 170 ©2003 - 2009 MarketDelta LLC. All Rights Reserved.

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MarketDelta Help Manual Options Tab ......................................................................................................................................................... 171 Letter Colors .......................................................................................................................................................... 173

6 Custom ................................................................................................................................... Programming (RTL)

182

185

Part III Quote Pages 1 Delete ................................................................................................................................... Symbols

185

2 Add ................................................................................................................................... Symbols

185

3 Modify ................................................................................................................................... Symbols

186

4 Add/Delete ................................................................................................................................... Columns

186

5 Custom ................................................................................................................................... Columns

187

196

Part IV Menu Functions 1 File ...................................................................................................................................

196

File | Revert .......................................................................................................................................................... 196 File | Duplicate .......................................................................................................................................................... 196 File | Save .......................................................................................................................................................... 196 File | Share Picture .......................................................................................................................................................... 197 File | Import .......................................................................................................................................................... 198 File | Export .......................................................................................................................................................... 198 File | License.......................................................................................................................................................... Activation 198 File | Reconfigure .......................................................................................................................................................... 199

2 Setup ...................................................................................................................................

200

Preferences.......................................................................................................................................................... 200 Charts ......................................................................................................................................................... 201 General ......................................................................................................................................... 201 Traditional Charts ......................................................................................................................................... 201 Technical Indicators ......................................................................................................................................... 202 Custom Profile ......................................................................................................................................... 204 Day Bar ......................................................................................................................................... 205 Point and Figure......................................................................................................................................... 205 Raw Tick ......................................................................................................................................... 206 Three Line Break ......................................................................................................................................... 206 Footprint ......................................................................................................................................... 206 Market Profile ......................................................................................................................................... 206 Alarm ......................................................................................................................................................... 207 Chart Quote ......................................................................................................................................................... Page 207 Chart Setup ......................................................................................................................................................... 208 Custom Column ......................................................................................................................................................... 208 Custom Indicator ......................................................................................................................................................... 209 Custom Instrument ......................................................................................................................................................... 209 Equity or Index ......................................................................................................................................................... Options 210 Futures ......................................................................................................................................................... 210 Futures Options ......................................................................................................................................................... 210 Setup Instruments ......................................................................................................................................................... 211 Pair Setup......................................................................................................................................................... 211 Quote Sifter ......................................................................................................................................................... 212 Scan ......................................................................................................................................................... 212 Schedule......................................................................................................................................................... 212 Setting Up Schedules ......................................................................................................................................... 213 Screen ......................................................................................................................................................... 216 Signal ......................................................................................................................................................... 217 ©2003 - 2009 MarketDelta LLC. All Rights Reserved.

Contents

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Signal Action ......................................................................................................................................................... 217 Trading Order ......................................................................................................................................................... 218

3 Control ...................................................................................................................................

218

Database Wizard .......................................................................................................................................................... 218 Database Management .......................................................................................................................................................... 218 Database Utilities .......................................................................................................................................................... 223 System Status .......................................................................................................................................................... 224

4 Window ...................................................................................................................................

224

Overview .......................................................................................................................................................... 224 Toolbars .......................................................................................................................................................... 224 Layout Toolbar ......................................................................................................................................................... 224 Chart Toolbar ......................................................................................................................................................... 228

Part V Technical Indicators

230

1 Adding ................................................................................................................................... Indicators

230

2 Modifying ................................................................................................................................... Indicators

231

3 Removing ................................................................................................................................... Indicators

231

4 Technical ................................................................................................................................... Indicator List

232

Accumulation/Distribution .......................................................................................................................................................... 232 ADX (Average .......................................................................................................................................................... Directional Movement) 235 ADXR (Directional .......................................................................................................................................................... Movement Rating) 238 Andrew's Pitchfork .......................................................................................................................................................... 241 Annotation .......................................................................................................................................................... 245 Arms Ease of .......................................................................................................................................................... Movement 250 Aroon Indicator .......................................................................................................................................................... 253 Automatic Trendlines .......................................................................................................................................................... 256 Balance of Power .......................................................................................................................................................... (BOP) 259 Bar Lines .......................................................................................................................................................... 262 Bear Power (BEARP) .......................................................................................................................................................... 265 Bollinger Bands .......................................................................................................................................................... 270 Bull Power (BULLP) .......................................................................................................................................................... 274 Candle Codes .......................................................................................................................................................... 279 Candlestick .......................................................................................................................................................... Pattern Recognition 283 Engulfing Bullish .......................................................................................................................................................... or Bearish 287 CCI (Commodity .......................................................................................................................................................... Channel Index) 289 Center Of Gravity .......................................................................................................................................................... (COG) 293 Chaikin Money .......................................................................................................................................................... Flow (CMF) 296 Color Markers .......................................................................................................................................................... 299 Correlation Coefficient .......................................................................................................................................................... 303 Darvas Box (DB) .......................................................................................................................................................... 306 Data Validation .......................................................................................................................................................... 311 Delta Divergence .......................................................................................................................................................... Indicator 312 Detrended Oscillator .......................................................................................................................................................... 315 Directional Indicators .......................................................................................................................................................... 318 True Range .......................................................................................................................................................... 321 Donchian Channels .......................................................................................................................................................... 324 Elastic Volume .......................................................................................................................................................... Weighted Moving Average (eVWMA) 327 Elder's Force.......................................................................................................................................................... Index 330 Engulfing Bullish, .......................................................................................................................................................... Engulfing Bearish Candlestick Patterns 332 Equi-Indicator .......................................................................................................................................................... (EquiVolume) 333 Equivolume & .......................................................................................................................................................... Equi-Indicator Information 336 Ergodic Oscillator .......................................................................................................................................................... 339 ©2003 - 2009 MarketDelta LLC. All Rights Reserved.

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MarketDelta Help Manual Fibonacci Arcs .......................................................................................................................................................... 342 Fibonacci Extensions .......................................................................................................................................................... 345 Fibonacci Projections .......................................................................................................................................................... 350 Fibonacci Retracements .......................................................................................................................................................... 353 Finite Volume .......................................................................................................................................................... Elements 360 Fisher Transform .......................................................................................................................................................... (FISH) 363 Footprint Bar.......................................................................................................................................................... Statistics 366 Footprint Price .......................................................................................................................................................... Statistics 366 Fractals (FRAC) .......................................................................................................................................................... 366 Gann Lines and .......................................................................................................................................................... Gann Angles 370 Heiken Ashi .......................................................................................................................................................... 373 Indicator Adjusted .......................................................................................................................................................... Average (IAA) 374 Indicator Weighted .......................................................................................................................................................... Average (IWA) 377 Info Box .......................................................................................................................................................... 380 Keltner Channels .......................................................................................................................................................... 384 Linear Regression .......................................................................................................................................................... 387 Linear Regression .......................................................................................................................................................... Acceleration 392 Linear Regression .......................................................................................................................................................... Forecast 396 Linear Regression .......................................................................................................................................................... Slope 400 MESA Adaptive .......................................................................................................................................................... Moving Average (MAMA) 404 Mixed Periodicity .......................................................................................................................................................... Data (MPD) 407 Modified Moving .......................................................................................................................................................... Average 416 Momentum .......................................................................................................................................................... Indicator 418 Money Flow .......................................................................................................................................................... 421 Money Flow .......................................................................................................................................................... Index 424 Money Flow,.......................................................................................................................................................... Chaikin 427 Moving Average .......................................................................................................................................................... Adaptive 430 Moving Average .......................................................................................................................................................... Channels 432 Moving Average .......................................................................................................................................................... Convergence/Divergence (MACD) 436 Moving Averages .......................................................................................................................................................... 439 News Markers .......................................................................................................................................................... 449 Normalized Price .......................................................................................................................................................... 451 On Balance Open .......................................................................................................................................................... Interest 453 On Balance Volume .......................................................................................................................................................... 455 Open Interest .......................................................................................................................................................... Analysis 458 Oscillator/Summation .......................................................................................................................................................... 461 The Owl .......................................................................................................................................................... 463 Paint Bars .......................................................................................................................................................... 469 Parabolic Stop .......................................................................................................................................................... And Reversal (SAR) 474 Percent Change .......................................................................................................................................................... Volume or Price 478 Pivot Points .......................................................................................................................................................... 480 Point And Figure .......................................................................................................................................................... Indicator 486 Price Bands .......................................................................................................................................................... 489 Price Projections .......................................................................................................................................................... 493 Profile Indicator .......................................................................................................................................................... 496 QuotePage Statistics .......................................................................................................................................................... (QSTAT) 500 Random Walk .......................................................................................................................................................... Index 505 Rate of Change .......................................................................................................................................................... 508 Rectangle Drawing .......................................................................................................................................................... Tool 510 Relative Strength .......................................................................................................................................................... 512 Relative Strength .......................................................................................................................................................... Index (RSI) 515 Relative Vigor .......................................................................................................................................................... Index (RVI) 520 Renko Indicator .......................................................................................................................................................... 523 Reverse Engineer .......................................................................................................................................................... Indicator 524 ©2003 - 2009 MarketDelta LLC. All Rights Reserved.

Contents

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Session Statistics .......................................................................................................................................................... (SESST) 528 Shapes (PriceTime .......................................................................................................................................................... Cycles) 530 Signal Markers .......................................................................................................................................................... 535 Signal Statistics .......................................................................................................................................................... 541 Spirals (Logarithmic .......................................................................................................................................................... Spirals) 548 Stochastics .......................................................................................................................................................... 551 Stock Split Finder .......................................................................................................................................................... 557 System Simulator .......................................................................................................................................................... (SSIM) 561 T3 - Adaptive.......................................................................................................................................................... Smoothing Indicator 564 Triple Smoothing .......................................................................................................................................................... 567 Tick Velocity.......................................................................................................................................................... Indicator 569 Three Line Break .......................................................................................................................................................... Indicator 570 Time Series .......................................................................................................................................................... Forecast 573 Three Line Break .......................................................................................................................................................... Oscillator 575 Tom DeMark .......................................................................................................................................................... Range Expansion Index 579 TPO Indicator.......................................................................................................................................................... 582 Trade Speed.......................................................................................................................................................... Index Information 585 Trading Note.......................................................................................................................................................... Markers 588 Trading System .......................................................................................................................................................... Indicator 590 Trend Continuation .......................................................................................................................................................... Factor (TCF) 594 Trend Detection .......................................................................................................................................................... Index 597 Trend Intensity .......................................................................................................................................................... Index 600 Trend Lines .......................................................................................................................................................... - Parallel Trend Lines 604 TRIX (Triple .......................................................................................................................................................... Smoothed Exponential Oscillator) 609 True Range (Average .......................................................................................................................................................... True Range) 611 True Strength .......................................................................................................................................................... Index 614 Ultimate Oscillator .......................................................................................................................................................... 617 Up/Down Volume .......................................................................................................................................................... Ratio 619 Up/Down Volume .......................................................................................................................................................... Ratio Slope 622 Value Area Indicator .......................................................................................................................................................... 624 Vertical Reference .......................................................................................................................................................... Lines 628 Volatility Indicator .......................................................................................................................................................... 631 Volatility Analysis .......................................................................................................................................................... 634 Volume Breakdown .......................................................................................................................................................... (VB) 637 Volume Price.......................................................................................................................................................... Statistics 642 Volume Weighted .......................................................................................................................................................... Average Price (VWAP) 643 Williams %R .......................................................................................................................................................... 645 Williams AD .......................................................................................................................................................... (Accumulation/Distribution) 647 Zig Zag Indicator .......................................................................................................................................................... 650 Zig Zag Oscillator .......................................................................................................................................................... Indicator 653

Part VI Shortcuts

657

1 Classic ................................................................................................................................... Footprint Tips

657

2 Market ................................................................................................................................... Profile Tips

658

3 Footprint ................................................................................................................................... and Multi-Pane Tips

659

4 Quote ................................................................................................................................... Page Tips

664

Part VII Tutorials 1 Periodicity ...................................................................................................................................

Part VIII Strategies for MarketDelta

668 668

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Part IX Company Index

679 681


Section

I

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1


Welcome to MarketDelta Until the lens of experience focuses information, it does almost no good. No matter how much the marketing machines of the Information Age would have us think otherwise, information by itself isn’t power: knowledge is. And turning information into knowledge requires more time, experience, and effort than an afternoon spent staring at a screen full of facts. Information is passive. To make it knowledge, you need to assimilate it. Put it in context. Understand it. Knowledge streamlines and focuses our relationship with information. Knowledge helps us avoid information we don’t want or need and leaves us with the stuff we can use. In an age in which endless amounts of bits and bytes are always available, it’s a daunting task to spot the worthwhile stuff. It’s easy for the Net to overwhelm us or lull us into the misconception that simply having access to something is as good as knowing it. --Michael Penwarden We like to think that this is what the Footprint® chart can do for your view of the market. Cleaning the lens of how you see things and providing the clarity & transparency you deserve. How you apply it will be up to you, but rest assured, we will do our best to provide the education and support you need to make the most of this amazing tool. Welcome to MarketDelta®; Welcome to Transparency.

1.1

Testimonial I just wanted to express my appreciation for bringing MarketDelta® to market. 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 MarketDelta® is having on my trading. You talk about MD enabling a better "feel" for the market's action. For me this "feel" has already translated into more confidence and better 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." More testimonials can be read here.


Welcome to MarketDelta

1.2

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Introduction What to Expect The help manual provides more of a technical overview of how to get things accomplished within MarketDelta®. There are lots of how-to's and examples. This User Manual will not go in depth on strategy and ways to apply MarketDelta® to trading. For strategy and application please download the Strategy Guide, visit the Strategies page on the website, visit or blog, or get involved in the MarketDelta® Community on the website. Contents While every effort has been made to cover all functionality, there may be a few things that got left out or have been added since the last update. This could be intentional because they are mentioned elsewhere in the Manual or Strategy Guide or they are simple and fundamental concepts that do not need discussion. Please bring anything to our attention you feel was grossly overlooked.

1.2.1

Organization of this Document Document Organization This User Manual has been created as a guide that describes features and functionality within MarketDelta®. For Quick Start Guides please visit the Introduction | Getting Started section of the Knowledge Base. The first section entitled Charts provides information on how to interact with charts in The Basics chapter, then it proceeds to provide information on each chart type, including the Footprint®, Classic Footprint®, Multi-pane, and Market Profile®. Focus is given to the primary features of each type and how to use them. The next chapter in this section is about the custom programming language called RTL and how it can be applied within MarketDelta®. The second section entitled Menu Functions section explains many of the menu items available within MarketDelta® and provides a screenshot of what to except if clicking on it. Some of these topics will have further explanation of what to expect when interacting with the menu. The third section entitled Shortcuts provides useful keyboard short cuts and menu options to quickly navigate and make use of MarketDelta® efficiently. The fourth section is a listing of the technical indicators within MarketDelta® with a description and example of each. This same information can be found in the Knowledge Base.


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The fifth section entitled Tutorials offers selected tutorials for common questions we receive. The remaining sections are all self explanatory in what they cover. After reviewing this manual you should be able to do the following: · understand the pieces of functionality available within MarketDelta®. · understand and be able to utilize the core features of MarketDelta®, including but not limited to the Multi-pane and Footprint® charts, Market Profile®, and quote pages. · Make a connection to your chosen data provider and be receiving real time data. · Know where to go to get further help and/or support. 1.2.2

Receiving Support We have to gone great efforts to empower our users 24/7 by investing and continuing to invest in our online Knowledge Base. The Knowledge Base is located under the Support tab on www.marketdelta.com. The Knowledge Base has an excellent search tool to help find relevant answers to your questions. Technical Support Policy Contact us via phone OR email for issues listed below. These issues generally require a remote login session and have an urgency associated with them. RULE OF THUMB: They are NOT How-To questions. Please try the FAQ's first. Connection Problem (FAQ) Software will not launch (FAQ) Database Errors/Crashes (FAQ) Data not backfilling (FAQ) Non-Urgent Technical Support Policy Contact us via email for issues listed below or non urgent inquiries. These types of issues usually have a specific video, FAQ, or blog article that we can provide to you. The benefit of this is more consistent answers for non-urgent needs and open phone line for urgent matters. RULE OF THUMB: They ARE How-To questions. Anything "HOW TO" related Applying/modifying technical indicators (FAQ) Working with charts (FAQ) Add or change symbols (FAQ)



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Professional Services / RTL Questions For RTL (Real Time Language) or custom programming of indicators and systems we have a professional services team that can assist for an hourly fee. The rate is $150/hr. There is an extensive section in the Knowledge Base about RTL. It includes tutorials and videos. Contact ps [at] marketdelta.com to schedule a project. Most projects 1 hour. If answers cannot be found contact us via email at support [at] marketdelta.com or call 1.312.922.7800 or at one of the numbers below. We respond within a few hours, but will strive to turn your request around as fast as possible! Contacting Support By Email - this is the preferred method since these can be looked at after hours and from multiple technical support sites. · [email protected] or · Click Help | Email Support and submit a ticket By Phone · +1 312 922 7800 U.S. · +44 20 3287 9954 U.K · +61 2 8003 4996 Asia / PacRim Community The MarketDelta® Community environment can be found at http://www. seeinsidethechart.com. This is a great place to network and learn from what others are doing and see charts and videos they may post. The MarketDelta® Blog is an excellent place to receive timely information and learn more about using MarketDelta® to its fullest potential. http://blog.marketdelta.com Sales, licensing, and billing answers can be found here or by emailing [email protected]

1.3

Overview MarketDelta®'s exists to provide traders and portfolio managers unparalleled transparency into markets they trade by using our unique Footprint® chart and accompanying technical analysis tools. The Footprint® chart is a display we created in order to leverage electronic trading data and give traders a better view of market activity. The MarketDelta® Difference


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MarketDelta® offers functionality that no other programs offer. This comes in the form of our unique Footprint® chart, related studies and analytics. Electronic markets and the need for better tools to quantify the data is was the driving factor behind the creation of the Footprint® chart. MarketDelta® Competency From the beginning MarketDelta® has been focused on analyzing volume and its impact on price. Combining the Footprint® chart with all the traditional tools creates a very powerful tool for tracking price and volume, and qualifying trading opportunities.. MarketDelta® Technology While many who first experience the Footprint® chart will dismiss it as just another novel tool, they would be terribly mistaken. It is a piece of technology that traders will need to become familiar with in order to stay competitive and keep their edge. It is also something brought about through the evolution of technology in our industry and the changing needs of those involved. What Else is Included in MarketDelta® Beside the Footprint® chart, MarketDelta® offers all the traditional tools and features you would expect in a premium technical analysis program. · Market Profile® - officially licensed from the CBOT (now CME Group) and contains all the features and functionality you would expect, plus lots more. · Traditional charting - 13 different types of charts, include Point and Figure, Renko. · Backtesting and system optimization. · Customizable quote pages. · Drawing and annotation tools. · DDE linking. · Floating windows for multiple desktop support. · Alerts and signals. · Floating windows so that you can configure multi-monitor setups easily. · Custom build your own studies for analysis. · Customer support from people who have traded and understand the needs of traders. · Much, much, more. Take the trial to experience it!

1.4

What's New Version 9.2 Version 9.2 brings many exciting improvements to MarketDelta® subscribers. Here is a short list with links to more information about each improvement. · Footprint® chart has been ported over to multi-pane chart windows. This allows for indicators to be added, custom studies/signal markers, and other panes including market stats or other instruments. · New Footprint® Bar Statistics FPBS, Footprint® Price Statistics FPPS, and Volume Price Statistics VPS indicators, and a whole lot more.



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· Bloomberg® compatibility. MarketDelta® now works with Bloomberg Professional®. If you have a Bloomberg terminal then you already have everything in place. MarketDelta® connects to Bloomberg® through the API and the data flow instantaneously from Bloomberg® to MarketDelta®. This will offer all Bloomberg® users the unique analytics and graphing capabilities that MarketDelta® offers without sacrificing the level of support they are used to with Bloomberg. · Improvements in the Market Profile® chart to allow for much easier building of long term Market Profiles®. See the special duration options listed here. · New Layout Toolbar to better manage layouts and quickly go from one layout to another. It can be accessed in MarketDelta® under Window | Toolbars | Layout Toolbar.

1.5

Getting Started

1.5.1

Supported Data Feeds MarketDelta® consumes data from another source to creates it charts. This is done by connecting to the API of the supported data feed. MarketDelta® requires data from one of the supported data providers below. The most current list of supported data providers can be found at here. You must be signed up with one BEFORE signing up for the MarketDelta® trial or purchasing a MarketDelta® license. If you already have one of the data feeds, then go to www.marketdelta. com and either sign up for a trial or subscribe to a monthly software license. Current list of support data providers · Bloomberg · CQG · eSignal · DTN IQFeed · TransAct/Infinity (Futures data only) · Interactive Brokers Information on data feed pricing and contact information can be found here.


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1.5.2


Guided Setup SIGNING UP If you do not currently receive data from Bloomberg, DTN IQFeed, eSignal, TransAct, CQG, or Interactive Brokers (TWS) click here and get signed up with one BEFORE signing up for the MarketDelta®trial. If you already have one of the data feeds, then go to www.marketdelta. com and either sign up for a trial or subscribe to a monthly software license. NOTE: Before proceeding down these instructions, we have constructed data feed specific Quick Start Guides that can be found in here in our Knowledge Base. DOWNLOADING Upon completing the Trial form or Order form, you will be prompted to download the software. Download the software but you may want to wait on installing it until you receive a software registration key via email. This key is what unlocks the software so you can use it with real time data using your selected data vendor. INSTALLATION To install double click the installer and step through the various installation screens. Create a desktop icon when asked. For everything else use the default installation preferences unless you are an advanced user. After installing and launching for the first time this window will pop up. Follow the instruction and choose your vendor. SOFTWARE REGISTRATION KEY



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The next screen to popup will be the registration screen below. Open your email and find the registration key email that was send from [email protected]. Follow the instructions in the email or below: 1) Click the registration email so it is the active email you are viewing. 2) On your keyboard hit CTRL+A to select all the text in the email. The email window should turn black or blue indicating it is selected. 3) On your keyboard hit CTRL+C to copy the entire email to your windows clipboard. Nothing will seem like it happened but it will now be on your windows clipboard. 4) Go to the MarketDelta® registration screen above or click File | Register within MarketDelta®. 5) Click the Paste Registration button. 6) You will know the registration was copied if the following screen immediately appears with your name and login ID. If it doesn't you can always just type the information that was emailed to you into all the fields. 7) Click OK and the software will then go through a setup routine where your time zone will be selected and all default database constructed and backed up. FIRST SCREEN The first screen may say "No data available" or "not enabled for ...". This is because it the first time running and no data is coming into MarketDelta® yet. Click the START FEED icon on the main toolbar. Data should begin populating the chart. To backfill the current days data, hit the SPACE bar. To launch your data feed automatically when starting up click Setup | Preferences | Data Feed. You will know data is flowing and you are connected if the HEART BEAT icon on the main toolbar changes from to


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Adding/Changing Symbols FAQ By default MarketDelta® comes loaded with some instruments that many other traders use with MarketDelta®. Click QUOTE PAGE | System Quote page | All Symbols to see all the instruments or add new instruments. For more information on adding symbols watch this video. Setting Up Symbols Video (5 minutes) and not data feed specific. Symbol Guide FAQ To add new instruments click the INSERT key and type in the symbol. Right click on any symbol to access a convenient menu of functions that operate on the selected ticker symbol. To change the symbol click the ticker to be changed and begin typing the new ticker symbol. A window will popup asking if you want to change the current ticker to the new ticker and convert all associated data in the database to the new ticker. This is a common way to adjust symbols at rollover in the futures markets.



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After inserting new symbols right click | Setup or use ALT+A to setup the symbol and display format. Customize the quote page appearance by right clicking on the "+" button in the page's upper right corner. A normal click of the "+" gives you a popup menu of page specific functions. When setting up new symbols select 24 hour for the trading session. Downloading Data Downloading Data Instructions (3 minutes) Alternatively, once you are connected there will be a few default Footprint® windows open. If the symbol in the open window is not what you want just begin typing the ticker symbol of what you want it to be and select from the Instrument popup window. If using a data feed that supports historical TICK data retrieval press the SPACE bar once to begin downloading the current days tick data. It will take a few seconds, but then data should be on the screen. Another way to download data is to click the DOWNLOAD button on the main toolbar. Using this option will allow you to have more control over which symbols or quote pages you download data for, what periodicity you want (ALWAYS download TICK for the Footprint® and Market Profile® charts), and the amount of data you want to retrieve from you data vendor.

Clicking the Download button on the main toolbar opens the window on the right. Click Download and Close and the data will be retrieved. If you choose to download many days of tick data, then it may take a few minutes to retrieve. Session Override | Viewing Period for Charts (FAQ) ©2003 - 2009 MarketDelta LLC. All Rights Reserved.

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If after downloading you do not see any data on the chart, double click the chart (Footprint® and Market Profile®) or double click the time scale on traditional charts. Set the session override to 24 hour data. This will tell the chart to display all the data available for a given 24 hour period. After you become familiar with MarketDelta® you may want to apply a different session override to a chart. This will tell the chart to only display data within a certain time window. Gaps in charts are usually the result of having a 24 session override applied to a chart. To remove the gap open the preferences window (described above) and set the session override to reflect the times you want to view and eliminate the off hour times. You can also set how many days data you want displayed on the chart. Any chart that is displaying data based on tick data (Footprint®, Market Profile®, and traditional charts with tick based indicators and studies applied) require a lot of processing power if viewing more than a weeks worth of data. Because of this, we recommend having just the current session or up to 5 days for the Footprint® and 10 days or less for the Market Profile® displayed at any one time. Opening New Charts (FAQ) There are many ways to accomplish the same task within MarketDelta®, but clicking Open Chart or Open Footprint® or Market Profile® will open a menu to select pre-saved charts or the option to create a new chart. TIP: An easy way to copy a chart you already have is to Right Click | Duplicate. Alternatively, 1. File | New | Chart (Setup Wizard) 2. Choose chart type. 3. Choose instrument. 4. Click OK. Working with Charts To change symbols - To change ticker symbols type the first few letters of the ticker symbol and press enter or double click the instrument from the Select Instrument window that pops up. If your symbol is not listed, a window will pop up prompting for entry. To change periodicity - To Change Periodicity, type a number and press enter, e.g. 5 and ENTER for a 5 minute chart, 60 and ENTER for a 60 minute chart. Press any number key then D, W, or M, for daily, weekly, monthly periodicities. ©2003 - 2009 MarketDelta LLC. All Rights Reserved.


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To add technical indicators (FAQ) - Press the INSERT key or click the "Add Indicator" button on the chart's toolbar. Indicators can only be added to traditional chart types and NOT Footprint® and Market Profile® charts. To float windows (FAQ) - Right click on a window and choose "Float Window". You can then drag it to any screen attached to your computer. To dock the floating window right click it and choose "Floating Window" again. To access other menus - Right-click in any open area of the chart window to access a contextual menu of common chart-related functions. To save charts - Click Save on the chart toolbar or use File: Save to assign the chart setup a name. When you want to view this chart again, use File: Open: Chart and select its name. The Open Chart button on the main toolbar works similarly.


Section

II

Charts

2

Charts

2.1

The Basics

25

Here we provide instructions on the basic things everyone will need to be able to do when interacting with charts in MarketDelta®. 2.1.1

Creating Charts There are many ways to accomplish the same task within MarketDelta®, but clicking Open Chart or Open Footprint® or Market Profile® on the main toolbar will open a menu to select pre-saved charts or the option to create a new chart. Another quick way is to press Alt+1 and then select the desired chart name.

Alternatively, use the menu across the top of MarketDelta.


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1. File | New | Chart (Setup Wizard) 2. Choose the CHART TYPE and then choose the STYLE (if applicable) from the right menu. NOTE: the right menu may not display if the chosen chart type does not require it. 3. Choose symbol. To add a symbol click here. 4. Choose to add any technical indicators or buttons (Note - these can all be added later). 4. Click OK TIP: An easy way to copy a chart you already have is to Right Click | Duplicate. Once a chart is saved, it can be recalled from the menu bar by choosing its name from File | Open | Chart and choose chart name.

2.1.2

Modifying Charts Anything that is located on a Multi-Pane chart is referred to as an "element" in the MarketDelta® software. To edit a chart element's properties, click the edit Chart Element icon on the chart toolbar. If not present, right click chart and choose Show Toolbar. Select the chart element to be edited from the list. When modifications are complete, save the chart using File | Save or press CRTL+S. You may also edit a chart element's properties by right-clicking on the chart element in the chart window. For example, if you wish to change the properties of a moving average, aim the tip of the mouse pointer at the moving average and right-click. Usually, the property settings window for the chart element appears. If you right-click in the chart and "miss" the element, MarketDelta® will provide a list of elements from which to choose. Another method is to simply click on the element. If MarketDelta® recognizes which element you clicked on, the line will become highlighted to indicate it is selected. Press the Delete key to delete the element or press the enter key to edit the properties of the selected element. ©2003 - 2009 MarketDelta LLC. All Rights Reserved.

Charts

2.1.2.1

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Accessing Preferences

Accessing Individual Chart Preferences 1. Double click the time scale at the bottom of the multi-pane chart 2. or Right click the chart and choose Preferences | Chart. Accessing Global Chart Preferences These are the preferences that will be inherited by newly created MultiPane Charts when using "File | New | Chart". They can be adjusted under Setup | Preferences | Chart | General Chart Preferences. There are 6 tab menus for multi-pane charts. Each pane has various settings and menus that can be adjusted.

Style - Choices are Bar, Candlestick, Connected Line, Continuous Line, Histogram, Invisible, % Change Bar, % Change Candles, % Change Line , Wickless Candles, Bi-color Line, Day Change Candles, Day % Change Bars, High Low Bars, Point and Figure, Volume Profile, Footprint®. Periodicity - Used to change the time frame of the chart. See the tutorial called Periodicity. Pixels/Bar - Width of bars, in pixels. ©2003 - 2009 MarketDelta LLC. All Rights Reserved.

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Chart Name- Can change the name of the chart by retyping a new name. This will be the name that shows up in the "Open Chart" menu. Height and Width - Sets the actual dimensions of the chart.

Periodicity - Used to change the time frame of the chart. See the tutorial called Periodicity. Tick: Last - sets the default amount of time to load into the chart when this periodicity is chosen. Ex. Load 1 day of tick data when viewing charts that require tick data, such as the Footprint® chart. Minute: Last -sets the default amount of time to load into the chart when this periodicity is chosen. Daily: Last - sets the default amount of time to load into the chart when this periodicity is chosen. Weekly: Last - sets the default amount of time to load into the chart when this periodicity is chosen. Monthly: Last - sets the default amount of time to load into the chart when this periodicity is chosen. Right Margin - set the default number of pixels for the right margin on charts.


Charts

29

Background Color - sets the default background color of all new charts created. Click the color to select. Background Color | Gradient - when "checked", Up color would be the color at top of chart, Dn would be color at bottom of chart and both colors would be "gradiated" in between to give a nice smooth look to the chart background. Some suggestions might be using light colors that are slightly different from one another. Scale Color - color of the price scale lines and price scale numbers. This does not change the Footprint® text color. Footprint® text color can be changed here. Title Bar Background - sets the pane title bar background color. Title Text color - sets the text and number color in the pane title bars. Grid Lines - sets the color of the grid lines throughout the chart area. Candle Colors - sets the color of the body of candlestick bars for when they are "Up" bars and "Down" bars. Candle/Bar Border - sets the border of candlestick bodies. Bar Colors - sets the color of the body of bars for when they are "Up" bars and "Down" bars. Line/Histogram - sets the color of lines that might be applied to the chart.


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Hollow Up-Candles - Check mark the "Hollow Up-Candles" if you wish candlestick charts to be drawn with hollow candles for the up candles. If this box is left unchecked, the up candles are drawn solid. The hollow format is recommended for printing since the hollow up candles can easily be distinguished from the solid down candles on monochrome printers. Grid Lines - The "Draw Grid Lines..." section is used to specify when grid lines are drawn in chart windows. Some users prefer to see the grid lines in intra-day charts but not in daily/weekly/monthly charts. Check the boxes to indicate which periods should be charted with gridlines. Draw Border - This is used to draw borders on selected chart types. Draw Hollow Histograms - If this checkbox is checked, histogram chart types will be drawn with hollow, as opposed to solid, histograms. Pane Titles - This checkbox allows you to specify whether or not to show the title bars in each window pane when the chart is first created. Mouse Feedback - When mouse feed back is on for a particular traditional chart, moving the mouse inside that chart window, shows feedback messages in the status message area of the main toolbar. The messages show the current date/time and the current price value at the tip of the mouse pointer. Note that the price values shown are NOT necessarily realized prices, but the price levels of the mouse pointer. This feature has largely been superceded by the crosshairs feature which now show the same information within the chart window itself. ©2003 - 2009 MarketDelta LLC. All Rights Reserved.

Charts

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Highlight Price in Vertical Scale - When selected the current price will be displayed on the vertical price scale on the right of the chart. Default chart size - You may also specify the default size of the simple chart by entering the width and height of the window in pixels (there are approximately 72 pixels per inch on screen). Crosshairs - when selected cross hairs will be ON by default. A shortcut to view cross hairs without having the enabled all the time is to hold the CTRL+SHIFT key down and move mouse. Scale Font - Controls the general size of the price scale font. Intraday Horz Scale Marks Every - If checked, it will determine how frequent horizontal scale lines are applied.


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The FP data column only applies to Footprint® charts. The Footprint® chart is designed to track price, volume and order flow in a variety of ways: volume at each price, breakdown the volume at each price (bid vs. ask), ticks at each price, and quantify and display the actual transacted trades at each price. Buy volume is defined as volume that occurred at the offer/ask. Sell volume is defined as volume that occurred at the bid. The difference between these two values (Buy volume minus Sell volume) is the delta and can be a good indicator of buying or selling pressure. Chart VOLUME At Price - This is by far the most popular. It will plot the volume, a breakdown of volume, or the delta for each particular price. Chart TIME (SECONDS) At Price - This plots the number of seconds traded at each price. Probably one of the most interesting views for this setting is the Footprint® Profile which would essentially plot a "time" distribution for a given bar. Chart TRADES At Price - This plots the number of trades (ticks or transactions) at a particular price. It does not pay attention to volume, just the number of transactions occurring at each price. Probably one of the most interesting views for this setting is the Footprint® Profile which would essentially plot a "transaction" distribution for a given bar. Breakdown by ASK vs BID Delta - This is by far the most popular. It takes the volume and breaks it down to create the bid ask chart, sums it to create the volume and Footprint® Profile, or does some other math to create the delta or other types of Footprints®. Breakdown by BIG vs SMALL - Volume and the # of trades can optionally be broken down by "Big vs Small" trade volumes or "Up vs Down Tick" volumes (as opposed to Buy vs Sell Volumes). However, "Buy vs Sell Vol" is the most common choice and generally regarded as the most informative. More specifically, "Big vs Small" shows the volume of trades that exceed the level you specify to the right of 'x' and all other volume to the left of 'x'. For instance, if 100 was specified as "Big Volume", then trades >= 100 in volume would be placed to the right of 'x' and trades with volume < 100 would be placed to the left of 'x'. It may be best to use this option as "trades" instead of "volume". It may be more useful this way. Volume Filter - Consider Only Trades w/ Size - This is a volume filter, sometimes called an institutional volume filter, that can be used to filter trades of a certain size. Price Range of Each Row - Automatic will display the symbol however the default instrument display format is setup. Custom Range will display the price scale based upon what is input here and not on the default price increment of the symbol being displayed.


Charts

33

Footprint® Style (Types) - See this chapter. Divider - used with the bid x ask vol Footprint® type as an option to change the character between the volumes displayed on the Footprint®. Shade Text Only - shades the actual text shown in the Footprint® instead of the background. Shade Dominant Side - shades only the side (bid or ask) that experienced more volume. Only used with the bid x ask vol Footprint®. Open/Close Box - adds a small bar directly adjacent to the Footprints® indicating whether the bar closed higher or lower. Draw Borders - draws a border around each Footprint® cell. Text Color - controls the color of the text within the Footprint®. Shading (Automatic) - preferred. Lets MarketDelta® auto-shade each Footprint® according to the shading algorithm. Shading (Manual) - shades the Footprint® according to the delta values entered. Essentially creates 4 shades of "buy" colors and 4 shades of "sell" colors. Ask Volume Color - controls the color of the Footprints® with more trading at the Ask price. Bid Volume Color - controls the color of the Footprints® with more trading at the Bid price.


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Total Volume Color - controls the color of the volume style (type) Footprints® and the color of the FPPS indicator graphics that get displayed if added to the chart. 2.1.2.2

Vertical Scaling

Much of the price scaling is controlled by how the instrument is initially setup. When viewing a chart press ALT+A on the keyboard to open the Setup Instruments window. Set the display format to match that of your symbol, press OK. If the chart does not immediately adjust, change the time frame on the chart to force a complete "redraw" of the chart. How to Adjust the Price Scale MarketDelta® contains 3 different primary chart types: Footprint® Classic, Market Profile®, and Multi-pane (includes Footprint®). Each offers a slightly different method to adjust the price scaling. 1) Footprint® & MULTI-PANE CHARTS - There are many more advanced options for multi-pane charts as described below. This 1 minute video give a quick overview. Vertical Scaling Overview Switching Quickly Between Scaling Methods The current scaling method can be seen at any time in each panes scale in the upper right corner. To change between them click the letter. Another way is to double left click the price scale. The following characters represent the following states: A – Automatic based on all data values O – Automatic based on Instrument Only M – Manual Scaling RA – Automatic Range-Based RM – Manual Range-Based


Charts

35

Adjusting scale by Dragging or Clicking Vertical scaling by default is “Automatic”. The scale minimum and maximum price values are obtained automatically by examining the price values of the instrument(s) in each chart pane as well as associated indicators. Manual scaling can set by right-clicking in the vertical scale area to access the Vertical Scale Setup window. A faster way to adjust the scale values and turn on manual scaling is to mouse down and drag the mouse up or down in the vertical scale area of the chart pane. Where the mouse down (left mouse button) occurs affects the action when you drag the mouse. If you mouse down in the left hand side of the vertical scale area, the "Hand" cursor appears. Dragging the hand adjusts either the minimum or maximum scale value. Mouse down in the upper half of the pane to adjust the maximum scale value, in the lower half of the pane to adjust the minimum scale value. Mouse down in the right hand side of the vertical scale area displays the "Vertical Resize" cursor. Dragging the resize cursor adjusts both minimum and maximum values, increasing both values in tandem as you drag upward, decreasing both value in tandem was you drag downward. Note that after dragging, the scale is set to manual mode-scale adjustments will be required to observe price action outside the newly set minimum and maximum scale values. * Vertical Scale Preferences * Scaling Methods o Automated based on all data values o Automated based on instrument only o Manual scaling from X to Y o Range-based scaling + Range + Pixels/Unit + % of Price + % of Pane + Slope (Price/Bar) * Switching Quickly Between Scaling Methods * Adjusting scale by dragging/clicking * Multiple Scaling * Ordering Chart Elements in a Pane * Custom Markings * Font Sizes * Logarithmic Scaling * Panning


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Vertical Scale Preferences Traditional charts can have one or multiple window panes. Each window pane can contain one or multiple elements. Each element may be either an instrument or a technical indicator. Each window pane has its own set of preferences that control the behavior of the vertical scale of that pane. The vertical scale preference window for each window pane can be accessed by either right-clicking, or double-clicking anywhere in that scales vertical pane. Scaling Methods The “Scaling Method” groupbox in the vertical scale preferences dictates the method that will be used to determine the “range” of the vertical scale of that pane. The “range” represents the span between the maximum and minimum values that will be displayed in the vertical scale. A detailed description of each method follows... o Automatic based on all data values This is the most common, and therefore the default method. All new chart window panes will inherit this method by default. This method considers all the values in the window pane, and computes the range based on the highest high and lowest low actual values. The scale is automatically adjusted to reflect the data that is visible in the chart pane. If multiple elements exist in the pane, it considers the values of all elements when determining the maximum and minimum scaled values (assuming all elements are sharing the same scale – see “Multiple Scaling” for more information). The scale range can change as new bars come in (and fall off), or as the chart is scrolled left or right, or as the chart is resized horizontally (causing the number of visible bars to change). o Automatic based on instrument only This method is similar to the first method (Automated based on all data values), except it only considers the instrument values when computing the scale range. This option can be useful when a long term (200period) moving average also exist in the window pane, having extreme values that might be well outside the extreme values of the instrument. This method forces the scale range to consider only the instrument values. In this case, the instrument will then use the full range of the scale, while the long term moving average may go off the top and/or bottom of the scale.


Charts

37

o Manual Scaling from X to Y This method allows the user to manually specify the maximum (Y) and minimum (X) values in the scaling range. The range will stay constant, regardless of new bars coming in, scrolling, or vertical resizing. The scale range will not be automatically adjusted to reflect the actual data values in the pane. o Range-Based Scaling [Automatic/Manual] scaling based on fixed [Range, Pixels/Unit, % of Price, % of Pane, Slope] of Z The primary motivation behind range-based scaling is to provide a method to keep the vertical height of price, vertical relationships between prices, and even price/time relationships, constant. RangeBased scaling gives the user 5 different options of controlling the range of the vertical scale. Each of the 5 options can be set to automatic of manual. The automatic option will center the specified range on the “actual” range of values in the chart pane. The manual option gives the user the ability to drag the range up or down as needed provide the picture desired. If the automatic option is selected, dragging the pane up or down will reset the scale to manual mode and allow the user to position his range accordingly. It is recommended to begin with automated, and then position the range manually by dragging. Some of the following range-based values are hard for the user to compute. By simply entering a value of “0”, or leaving the value blank, MarketDelta® will automatically compute the best-fit value that will cause the computed range to equal the actual range. This computed value can then be adjusted manually by dragging if desired, or by reopening the preference window and adjusting directly. Range This option allows the user to specify a fixed range of values for the vertical scale. The spread between the maximum and minimum scaled values will remain constant. For instance, if the user specified an automated range of 4, and the actual range was 5 to 7, then the visible range shown by the vertical scale would be 4 to 8. If the user pans or scrolls the pane vertically, the minimum and maximum values will change, but the range (difference between them) will remain constant. Pixels/Unit This option essentially gives the user control over the vertical resolution of the window pane. It is the vertical equivalent of the horizontal “pixels per bar” preference available in the chart preferences. It dictates the number of pixels that will be used to represent each one price unit (dollar, pound, etc.). If a value of 100 is specified on a chart of MSFT for instance, the each 100 pixels vertical segment represents a $1 range. ©2003 - 2009 MarketDelta LLC. All Rights Reserved.

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% of Price This option allows the user to specify the range as a percentage of the actual price. The maximum value in the actual range will be used for the price. For instance, if a value of 5 % is specified, and the maximum actual value in the chart pane is $100, then the price range would be $5 (5% of $100). This option may be helpful when frequently switching symbols. % of Pane This option allows the user to specify the range as a percentage of the actual range. For instance, a value of 80%, on a pane with an actual range of $10 (max $100, min $90) would result in a range of $8 (showing $91 to $99 in automatic mode). Similarly, a value of 120%would result in a range of $12 ($89 to $101 in automatic mode). This option can be helpful if the user likes to see more or less room on either side of the actual data in the chart. Slope (Price/Bar) This option may be the most difficult to completely comprehend, but may be the most useful when trying to maintain constant price/time relationships regardless of scrolling, panning, or resizing. This option allows the user to specify a fixed relationship between price vertically and time horizontally. It basically passes control of the range over to the horizontal pixels per bar setting. The setting controls how much price the width of each bar represents. In other words, if a value of 0.5 is specified, and the horizontal pixels per bar is 10 pixels, then the vertical scale will be drawn with 10 pixels for every 50 cents, or a pixels/unit of 20. The vertical range is then computed based on 20 pixels/unit. While the explanation may be somewhat confusing, the important thing to understand is this option gives you the ability to maintain a constant picture with respect to price/time relationships. In other words, trendlines will maintain their slopes regardless of the vertical size of the chart, the actual date values in the pane, or the scrolled position of the chart. And trendlines will continue to pass through the same prices of every bar regardless.


Charts

39

2) CLASSIC Footprint® CHART - Preferences | General Tab | set the price range of each row to something other than automatic. A shortcut is to hold SHIFT down and use the scroll wheel on the mouse or use UP and DOWN arrows on the keyboard. Also, in the upper left corner of the Footprint® (above the price scale) is the letter "A" or "M". Clicking it will move between Automatic scaling or Manual scaling. 3) MARKET PROFILE® CHART - Preferences | Letter Tab | set the price range of each TPO/letter to Custom Range and specify the range. A shortcut is to hold SHIFT down and use the scroll wheel on the mouse or use UP and DOWN arrows on the keyboard. Also, in the upper right corner of the Market Profile® (above the price scale) is the letter "A" or "M". Clicking it will move between Automatic scaling or Manual scaling. 2.1.2.3

Horizontal Scaling

MarketDelta contains 3 different primary chart types: Footprint®, Market Profile®, and Traditional. Each offers a slightly different method to adjust the horizontal scaling. Footprint® & MULTI-PANE CHART - Grab the horizontal scale (time scale) at the bottom of the chart and drag right or left to change it. Alternatively, use the mouse scroll wheel to adjust it quickly. CLASSIC Footprint® CHART- There 2 methods to adjust the bar (column) width. 1) Hold the CTRL key down on the keyboard and press the left or right arrow to contract or expand the width respectively. This will change the column with to a "custom" setting. To change it back to automatic width scaling see next point. 2) Press the MORE button to open the preferences window, choose the Columns tab, and specify the column width. To change back from a custom width just choose the Automatic setting. MARKET PROFILE® CHART - Horizontal scaling really does not apply to Market Profile® chart but there is one useful setting that should be mentioned. There is an option to adjust the "Letter Space" on a Market Profile®. This adjusts the number of pixels between letters. This adjustment can be found by opening the Market Profile® preferences | choosing the "Letters" tab and checking the "Letter Space" box and setting the spacing accordingly. ©2003 - 2009 MarketDelta LLC. All Rights Reserved.

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2.1.3


Deleting Charts Follow these steps to delete or remove charts from the chart list menu. 1. Click the Object Editor icon (green trash can) on the main toolbar. 2. Select chart names from the drop down menu. 3. Click on the chart name and click the delete button. To delete multiple charts at once hold the CRTL key down while clicking the chart names the click the delete button.

2.1.4

Deleting Instrument from Chart To delete an instrument or pane from a chart click the little "x" in the upper left corner of the chart pane that it is in. If chart pane titles are not visible right click the chart and select "Show Pane Title".

2.1.5

Saving Charts To save a chart do one of these options. 1. Save a chart by clicking on the Preferences icon on the chart toolbar and give it a name. Click OK and now the chart will be saved with that name. 2. Save a chart by choosing File | Save | Save as. Note: The name of a chart always appears in the lower left corner of the chart window, while the description of the contents of the chart appears as the window title.

2.1.6

Add Symbol To add a symbol see this information.

2.1.7

video or visit this topic for complete

Change Symbols on Chart Replacing an Instrument in a Chart Instruments can be quickly substituted in charts in a variety of ways. If you begin typing alphabetic characters on the keyboard while a chart window is active, MarketDelta® assumes you wish to switch the window to chart a different instrument. The update window appears automatically, continue typing the first few characters of the ticker symbol. When the instrument you want is identified in the instrument selector, press enter or double click the symbol to update the chart. You may change other properties of the chart (periodicity, graph type, etc.) using the update window. ©2003 - 2009 MarketDelta LLC. All Rights Reserved.

Charts

41

Click the Right Arrow icon to view the next available chart. Charts are shown in the sequence listed in the File | Open | Chart menu. Click the Left Arrow icon to view the previous chart. Charts are shown in the sequence listed in the File | Open | Chart menu. Start a Chart Slide Show for a Quote Page. The Slide Show icon opens the slideshow tool. This serves to quickly review charts for a series of symbols listed in a quote page. 2.1.8

Adusting Pane Size Double-click on a chart sub window (pane) title bar (when the hand icon appears) to maximize the pane and minimize the other panes. Ctrl+double click on any window pane title bar to equalize the sizes of all panes. To adjust the size of an individual pane, aim the mouse pointer at the dividing line between two panes. A vertical resizing cursor will appear. Mouse down, drag and drop the dividing line at the desired location.

2.1.9

Editing Chart Data Use the View/Edit Historical Data button to see a spreadsheet of the data for the primary instrument in the chart window. If the chart window is a tick chart, the spreadsheet shows every trade (time and sales) and updates with new rows as new trades occur. See this FAQ for further information on eliminating bad ticks.

2.1.10 Manipulating Charts w/ Keyboard The horizontal spacing between data points in a chart window may now be adjusted directly using the keyboard up and down arrow keys. The up arrow increases the number of data points that will fit in the chart window by reducing the spacing between data points by 1 pixel. The down arrow does the opposite. The shift key in combination with the up and down arrow keys accelerates the effect by reducing or expanding the spacing by 4 pixels. Candles and bars are drawn in proportion to the spacing. Thus, for example, the down arrow will typically result in fewer and larger candlesticks or bars. Pressing the left and right arrow keys with a chart window front most, causes the chart viewing period to shift left (earlier) or right (later). The left and right arrow keys have the same effect as operating the chart's horizontal scrollbar to scroll a page left or right.


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When moving the mouse pointer with a chart window, the cursor changes depending on where the pointer is positioned. When the pointer is within the title bar of a chart sub window, the cursor changes to a hand to indicate you may mouse down and move the sub window to a different position. When the cursor is within the narrow divider between sub windows, it changes to a resize cursor to indicate you may mouse down and drag the divider to a different position to enlarge or contract the sub window. When the cursor comes nears the small box at the left side of the sub window title bar, it becomes an arrow to indicate you may click in the box to eliminate the sub window from the chart. When the cursor moves within the content area of a sub window it will normally be an arrow. As described above, the cursor is a pencil or a small cross hair if the trend line or cropping tool is activated. 2.1.11 Manipulating Charts w/ Mouse To expanded or contract the spacing between points in the chart, mouse down and drag the mouse pointer left or right within the horizontal scale area at the bottom of the chart window. Dragging left with the mouse held down spreads the data out more, dragging right compacts the data more so that more data points may be viewed at one time without operating the scrollbar. The vertical scale may be similarly adjusted by dragging the mouse up or down within the vertical scale area of the chart (to the right of the vertical scale line). Right-clicking the mouse in the horizontal or vertical scale areas brings up the appropriate settings window. Right-clicking on a line, bar, or candle brings up the settings window for the instrument or technical indicator. Finally, mouse down in the body of the chart to make selections from a pop up menu. The pop up menu may be used to quickly change time frames, and to initiate other preference setting operations on the chart.


Charts

2.2

43

Footprint A Footprint® is an individual price painted on the chart with a unique color that contains volume or some other market statistic. Stacking Footprints® together creates bars, similar to what any candlestick or bar chart would present. The primary difference, and thus advantage of the Footprint®, is it shows each individual price within a bar AND displays value added information such as volume, buy/sell pressure, and other valuable statistics. The ebb and flow of price movement is presented by the up and down motions of Footprints® allowing you to "track" the market more accurately. Some of the different ways Footprints® can be viewed Bid / Ask, Delta, Volume, and Footprint® Profile. The others Footprint® types can be found here. Each is unique in the information it provides and is explained in detail individually throughout this chapter along with others not mentioned above. The market leaves a trail every time a trade is made. The Footprint® captures this information and displays it uniquely and provides traders an edge to spot key areas, react quicker to market changes, and better understand the battle between buyers and sellers at any given price or set of prices. The Footprint® consists of the most important, commonly known information (Price & Volume) and displays it in a new, more efficient manner. To fully understand the Footprint® window, please watch this video Footprint® Overview or visit the Video Library. To see all sorts of screenshots visit our Flickr Footprint® set or user generated content on charthub.com.


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Footprint® Chart Window

Open / Close Footprint® Bar Anatomy Down Bar Up Bar

Data The data contained within each Footprint® is customizable to display the type of data you want. Some of the most common are: 1. Volume at price. 2. Delta (difference between volume at bid and ask at that price). ©2003 - 2009 MarketDelta LLC. All Rights Reserved.

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3. Volume traded at bid versus the ask at each price . 4. Actual number of trades at each price. 5. Trades at bid versus the ask at each price. 6. There are many other combinations using the General tab in the Footprint® Preferences menu. Footprint® Preferences Video showing options and combinations. Color Shading Traders tend to be visual learners. The color inferred by the Footprint® provides added insight and information for traders to react to and analyze market data. The color shading is taking into account all the price and volume data and easily summarizing it so traders can be quick to react to changing market conditions. The color of the Footprint® provides traders with an exact idea of what is taking place in the market at any given moment. By default Footprints® are shaded according to a shading algorithm we developed to infer how much buying or selling is taking place at a particular price or bar. The automatic color shading option that uses a shading algorithm that will gradually shade each Footprint®. The prices within each bar are shaded based on either volume (blue shading) or delta (red/green) shading, all of which are customizable using the colors tab in Footprint® preferences. If volume shading is used, the darker the shade of blue, the higher the volume. If delta shading is used, negative deltas are shaded red, while positive deltas are shaded green. These will be used depending on which Footprint® type you are viewing. The darker the shading, the higher the absolute value of the delta. Most traders will use the Automatic shading option over the Manual shading. Manual shading allows one to specify delta values that when crossed would trigger a Footprint® color or shading change. For most, time would be better spend learning to interpret the data using the automatic shading. 2.2.1

Opening a Footprint There are many ways to accomplish the same task within MarketDelta®, but clicking Open Chart or Open Footprint® or Market Profile® on the main toolbar will open a menu to select pre-saved charts or the option to create a new chart.

Alternatively, use the menu across the top of MarketDelta®. 1. File | New | Chart (Setup Wizard) 2. Choose Footprint® CHART type and then choose the Style of Footprint®. ©2003 - 2009 MarketDelta LLC. All Rights Reserved.

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3. Choose symbol. To add a symbol click here. 4. Choose to add any technical indicators or buttons (Note - these can all be added later). 4. Click OK TIP: An easy way to copy a chart you already have is to Right Click | Duplicate. 2.2.2

Footprint Types Footprints® come in many forms, just like real thing! Each one can be fully customized and adjusted to show the information you want to see and how you want to see it. To change the Footprint® type: 1. Double click a Footprint® on the chart.

2. Choose from the drop down which Footprint® Type you want. 3. Click OK. 2.2.2.1

Bid / Ask Footprint

Bid / Ask Footprint® – Displays the number of shares or contracts that traded while a particular price was the bid price and the number of shares or contracts that traded while a particular prices was the ask price. As the bid and ask change with price, the Bid / Ask Footprint® adjusts accordingly. They display as (bid traded volume x ask traded volume). (Example: 1000 x 400) The 'x' is just used as a spacer and not a mathematical operator. The Bid / Ask Footprint® keeps track of how volume trades at ©2003 - 2009 MarketDelta LLC. All Rights Reserved.

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each price and classifies it as to whether it was buyer motivated or seller motivated volume. As a price goes from offer to bid and back, the Footprint® will keep track of the volume at each price. To watch a video recording that gives an overview of the Bid / Ask Footprint®, click here or visit Video Library. One of the primary things to look for is not just how a single Footprint® is developing, but how does it differ (or not differ) from the previous few Footprints® or bars. This will help give perspective as to whether the current move is strengthening or weakening. All the Footprints® move from right to left across the screen, each bar or column referring to a time frame or specified periodicity. With each Footprint® type you have the ability to scroll back in time to view the previous price action or recall how much market activity took place. · Provides added price transparency to the post trade charting process · This Footprint® will help you keep track of the market action as it happens. · See exactly how bid traded volume and ask traded volume affect the market at each price. · Follow volume and momentum as it happens through color shading set to your preferences or let the auto color shading algorithm do it for you. · Footprint® shows whether the volume was on the bid side or the ask (offer) side. · Scroll back in time and see what happened. · See how many shares (contracts) traded. · See how many orders where involved. · Filter the trades so you are only seeing certain size orders or larger. This is especially useful with the bid / ask Footprint® because it shows which side of the market the large traders are favoring being aggressive towards. This chart, along with the valuable market information, presents a very simple interface, allowing the trader to be nimble and quick to react in any trading condition. You can quickly select which chart you want to see by just clicking the button at the top of the Footprint® panel.


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Bid Ask Footprint® in its most simple format without indicators and statistics applied.

2.2.2.2

Delta Footprint

Delta Footprint® – Displays a positive or negative number. A negative delta value represents how many more shares/contracts were sold on the bid as a result of the seller being more aggressive and hitting the bid. A positive delta value represents how many more shares/contracts were bought at the ask (offer) as a result of the buyer being more aggressive and taking the ask (offer). Delta is the term we use to describe the net difference between the quantity traded at 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 is more aggressive (in turn producing pressure), buyer or seller, as price fluctuates. The calculation would be the ask traded volume - bid traded volume = Delta Footprint®. Using the Bid / Ask Footprint® example (1000 x 400), the Delta Footprint® would be -600, indicating more selling pressure at this price. To watch a video recording that gives an overview of the Delta Footprint®, click here or visit Video Library. · Provides more transparency as to who is attempting to influence the market more. · Gives a true sense of buy and sell activity at each price. · Using the column delta at the bottom of each bar it can help to confirm price direction and strength · Very advantageous to see price runs sequentially. Begin to realize when a current run is running out of fuel. · Know when a current price run is gaining momentum. · Know when the buyers are accumulating and when the sellers are distributing. ©2003 - 2009 MarketDelta LLC. All Rights Reserved.

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The delta by price column (far left of chart) shows the overall delta for each price as the session progresses. This can be toggled on or off in the preferences window of the chart. Delta Footprint® in its most simple format without indicators and statistics applied.

2.2.2.3

Total Volume

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 during trading. 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 at each price over whatever time frame or periodicity you specify. To watch a video recording that gives an overview of the Volume Footprint®, click here or visit Video Library. · Used in conjunction with technical indicators, you can see volume increase (or not) at the exact time your indicator signals or price breaks out! · Have the added edge and transparency by being able to see the breakdown of volume intra-bar as it builds. · See what price levels are being defended or attracting the most participation. · Most popular with traders who trade products that don't have as much momentum as other products. · Popular with Fixed Income and Equity (stock or options) traders. ©2003 - 2009 MarketDelta LLC. All Rights Reserved.

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Know when there is high interest in a price or price level. Know how big of a stand traders are willing to take. You won't be fooled by orders that look like they traded but really didn't trade. Develop a feel for your market by recognizing when volume is picking up and when it's not. Similar to noise on the trading floor, as applied to electronic screen, 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. · · · ·

Volume Footprint® in its most simple format without indicators and statistics applied.

2.2.2.4

Volume (Delta Color)

Color is based upon the delta for each Footprint® and the shade (darkness or lightness) is also based upon the delta. The values within each Footprint® are the total volume for that price.


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Volume (with Delta Color) in its most simple format without indicators and statistics applied.

2.2.2.5

% Volume (Delta Color)

This shows the percentage of the volume traded at each particular price for each particular bar. This will not be a useful Footprint® periodicity when applied to short time frames. Below is a 30 minute chart. Notice at the bottom of each row it shows the % of volume for each 30 minute period. The color is determined by whether or not the chart has a negative or positive delta. The percentages recalculate when a new bar is created.


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%Volume (Delta Color) in its most simple format without indicators and statistics applied.

2.2.2.6

Footprint Profile

Footprint® Profile - This displays a profile or histogram of volume in whatever time frame chosen. The color of each Footprint® within each profile is based on the delta. Delta is the net buy / sell pressure. Green represents a positive delta (buying pressure) and red represents a negative delta (selling pressure). To watch a video recording that gives an overview of the Footprint® Profile or visit the Video Library for a complete listing. · 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. · Popular view for those who are familiar with Market Profile® and allows a trader to drill down and see inside the chart.


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Footprint® Profile in its most simple format without indicators and statistics applied.

2.2.2.7

Delta Profile

The Delta Profile is similar to the Footprint® Profile except that instead of showing the volume distribution it shows a DELTA distribution. This shows us the levels of absolute delta for each price. All values, both negative deltas and positive deltas, are shown with absolute values. The way to read the graphic below would be if the bar is green it had a positive delta and if it was a red bar then it was a negative delta. The length of the bar represents how large the delta for that price was. Using the Footprint® preferences menu, choose the General tab | Footprint Type | Delta Profile. Strategy - Similar to the strategies presented in the Delta Percent Footprint® topic.


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Delta Profile in its most simple format without indicators and statistics applied.

2.2.2.8

Delta Percent

The Delta Percent Footprint® 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 Footprint® is blue (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 Footprint®. If the Footprint® is red (in the graphic below) then it had a negative delta and the number shown represents the % of volume that occurred at the bid price for that particular Footprint®. Using the Footprint® preferences menu, choose the General tab | Footprint Type | Delta Percent. STRATEGY - A general method for utilizing this Footprint® 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 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 and provide key insight to when a market is beginning to come into equilibrium.


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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 breakout levels we expect to see volume become much more one sided and trade aggressively in the direction of the breakout. Failure to see large Delta Percentage readings at these key levels and prices should give reason to question the breakout. Blog Post Strategy Delta Percent in its most simple format without indicators and statistics applied.

2.2.2.9

% of Volume

This Footprint® shows the percentage of volume traded at each price and the percentage of volume traded per bar (shown at the bottom of the window). This Footprint® type will be better suited for longer time frames such as the 30 minute. The percentages recalculate when a new bar is created. STRATEGY: Look back at previous days to know what large volume is for a given bar. For instance, you may not the volume % for the first 30 or 60 min bars from past sessions and see how they compare to the current sessions.


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% of Volume in its most simple format without indicators and statistics applied.

2.2.2.10 Color Only

This Footprint® type is does not display the volume or delta numbers and only shows the color associated with each Footprint®. Works well when zooming out to see more of the day. STRATEGY: One of the benefits of this Footprint® is the readability. If you have adopted the strategy of following the high volume price (shown below as the black outlined price) this view makes it very simple to track.


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Color Only in its most simple format without indicators and statistics applied.

2.2.2.11 Invisible

This Footprint® type does not display any Footprint® information on the chart, HOWEVER, it is available for calculation. The primary method that this gets applied with is when someone wants to add an indicator to a chart but have it show with different price data other than what is actually showing on the screen. Said another way, lets say you have a 5 minute bid ask Footprint® showing. You might have indicators applied to the chart for this 5 minute chart. However, lets also assume that you want to place a volume breakdown indicator on the chart (in a different pane) that is calculated based Footprint® data that has a volume filter applied to it. The idea is to have an indicator computed off of underlying data that you really do not want to see. Multiple invisible Footprints® can be added to the chart.


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2.2.2.12 Average Size

This Footprint type is displays the average size trade that occurred at each price within the bar. The shading of the Footprint® is associated with the average size trade. The larger the average size the darker the Footprint. STRATEGY: Look for larger size trades at support or resistance. This is a sign of institutional interest at these prices.


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2.2.2.13 Average Size Delta Color

This Footprint type is displays the average size trade that occurred at each price within the bar. The shading of the Footprint® is associated with delta for the Footprint® and it is also colored according to whether the delta was positive (blue) or negative (red). STRATEGY: Look for larger size trades at support or resistance. This is a sign of institutional interest at these prices.

2.2.3

Adding Technical Indicators to Footprints How to Add a Technical Indicator to a Footprint Chart (3 mins). There are 3 methods you can use to add a technical indicator to a Footprint chart. 1. The top right button on the chart toolbar will bring up the "Add Indicator" (seen below). If the toolbar is not showing right click the chart and choose "Show Toolbar" from the menu. 2. Press the INSERT key on the key board to open the "Add Indicator" window (seen below).


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3. Right click the chart, choose Add/Delete/Edit and then choose "Add Technical Indicator". The window below will appear.

4.Next, choose which indicator you want to add, customize it settings, and click Add+Close to add the indicator and close the window. To continue adding other indicators just click "Add" and then choose another indicator and choose "Add" or "Add+Close". All the drawing style indicators (trend lines, reference lines, etc) can be called upon by right-clicking in the chart and choosing "Draw" from the popup menu or by clicking the associated button on the chart toolbar button. To display the chart toolbar right click chart | Show toolbar.


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Footprint Price Statistics

The most up to date information on can be found in our Knowledge Base at this specific article. Footprint Price Stats (6 min)


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Preferences - Footprint Price Statistics

· Buy Volume - displays the volume that occurred at the ask price at each price. It is cumulative for the entire row. · Sell Volume - displays the volume that occurred on the bid price at each price. It is cumulative for the entire row. · Volume - displays the total volume that occurred at each price. It is cumulative for the entire row. · Buy Volume Percent - displays the volume that occurred at the ask price at each price and displays it in the percentage form of total volume. It is cumulative for the entire row. · Sell Volume Percent - displays the volume that occurred at the bid price at each price and displays it in the percentage form of total volume. It is cumulative for the entire row. · Ticks - displays the amount of ticks at each price. Essentially, volume is discarded and only the ticks are counted. It is cumulative for the entire row. · Average Size - displays the average volume size per trade at each price. It is cumulative for the entire row. · Delta - displays the cumulative (net) delta for the entire row. It is cumulative for the entire row. ©2003 - 2009 MarketDelta LLC. All Rights Reserved.

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· Delta % - displays the percentage of volume that had a net positive or negative delta. It is essentially showing a ratio of bid traded volume versus ask traded volume but only showing the % of volume that occurred on the most dominant side of the market. It is cumulative for the entire row. · Price (Delta Color) - displays the price of each trade with the background shaded according to the intensity of the delta. · Price - displays the price of each trade. It is included for easy reference. · Bars (TPOs) - displays in numeric form the amount of time periods that have been spent at each price. It is dependent on the chart's periodicity. · TPO Histogram - displays in graphic form the amount of time periods that have been spent at each price. It is dependent on the chart's periodicity. · Volume Profile - displays the distribution of volume at price. · Footprint Profile - displays the distribution of volume at price and shades each volume at price bar according to the intensity of delta. · Period - sets the length (time period) of the statistics under review. · Horizontal Position - sets the postion of the statistics to the left or right side of the chart. · Column Width - sets the width of each column. · Profile Width - sets the width of each profile. · Historical VA and POC - displays the currently developing Value Area and Point of Control. · Smoothed Profile - this takes the volume profile and averages the volume over (y) number of bars to produce a "smoother" profile. It takes the spikes in volume at certain prices and creates a more uniform volume profile.


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2.2.3.2


Footprint Bar Statistics

The most up to date information on can be found in our Knowledge Base at this specific article. Footprint Bar Stats (3 min)

Preferences - Footprint Bar Statistics


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· Buy Volume - displays the volume that occurred at the ask price for each bar. It is cumulative for the entire bar. · Sell Volume - displays the volume that occurred on the bid price for each bar. It is cumulative for the entire bar. · Total Volume - displays the total volume that occurred for each bar. It is cumulative for the entire bar. · Max Delta - displays the highest overall delta value achieved for the entire bar. It is cumulative for the entire bar. · Min Delta - displays the lowest overall delta value achieved for the entire bar. It is cumulative for the entire bar. · Total Delta - displays the cumulative (net) delta for the entire bar. It is cumulative for the entire bar. · Buy Volume % - displays the volume that occurred at the ask price for each bar and displays it in the percentage form of total volume. It is cumulative for the entire bar. · Sell Volume % - displays the volume that occurred at the bid price for each bar and displays it in the percentage form of total volume. It is cumulative for the entire bar. · Delta % - displays the percentage of volume that had a net positive or negative delta. It is essentially showing a ratio of bid traded volume versus ask traded volume but only showing the % of volume that occurred on the most dominant side of the market. It is cumulative for the entire bar.


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· Delta Change - displays the change in delta from the previous column to the current column. It is cumulative for the entire bar. · Volume Change - displays the change in volume from the previous column to the current column. It is cumulative for the entire bar. · Ticks - displays the amount of ticks. Essentially, volume is discarded and only the ticks are counted. It is cumulative for the entire bar · Average Tick Size - displays the average volume traded for each tick. It is cumulative for the entire bar. · Cum Delta - Day - displays the cumulative delta for the current trading day. It is cumulative for the entire day. · Cum Delta - All - displays the cumulative delta for all data on the chart. It is cumulative for the amount of days you are displaying. To change the amount of days displayed you will need to open the chart preferences and click the Period tab. Additionally, this indicator will only display correctly for the tick data that you have download or stored on your MarketDelta® database. For example: if you are displaying the past 50 days of data but only have 20 days of tick data stored, it will only display the Cumulative Delta for those 20 days. · POC Volume - displays the highest volume at a specific price for this specific column. · Prices (TPO's) - displays the number of prices that traded within each bar.


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2.2.3.2.1 Footprint Price Statistics 2

The most up to date information on can be found in our Knowledge Base at this specific article. Footprint Price Stats (6 min)


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Preferences - Footprint Price Statistics

· Buy Volume - displays the volume that occurred at the ask price at each price. It is cumulative for the entire row. · Sell Volume - displays the volume that occurred on the bid price at each price. It is cumulative for the entire row. · Volume - displays the total volume that occurred at each price. It is cumulative for the entire row. · Buy Volume Percent - displays the volume that occurred at the ask price at each price and displays it in the percentage form of total volume. It is cumulative for the entire row. · Sell Volume Percent - displays the volume that occurred at the bid price at each price and displays it in the percentage form of total volume. It is cumulative for the entire row. · Ticks - displays the amount of ticks at each price. Essentially, volume is discarded and only the ticks are counted. It is cumulative for the entire row. · Average Size - displays the average volume size per trade at each price. It is cumulative for the entire row. · Delta - displays the cumulative (net) delta for the entire row. It is cumulative for the entire row. ©2003 - 2009 MarketDelta LLC. All Rights Reserved.

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· Delta % - displays the percentage of volume that had a net positive or negative delta. It is essentially showing a ratio of bid traded volume versus ask traded volume but only showing the % of volume that occurred on the most dominant side of the market. It is cumulative for the entire row. · Price (Delta Color) - displays the price of each trade with the background shaded according to the intensity of the delta. · Price - displays the price of each trade. It is included for easy reference. · Bars (TPOs) - displays in numeric form the amount of time periods that have been spent at each price. It is dependent on the chart's periodicity. · TPO Histogram - displays in graphic form the amount of time periods that have been spent at each price. It is dependent on the chart's periodicity. · Volume Profile - displays the distribution of volume at price. · Footprint Profile - displays the distribution of volume at price and shades each volume at price bar according to the intensity of delta. · Period - sets the length (time period) of the statistics under review. · Horizontal Position - sets the postion of the statistics to the left or right side of the chart. · Column Width - sets the width of each column. · Profile Width - sets the width of each profile. · Historical VA and POC - displays the currently developing Value Area and Point of Control. · Smoothed Profile - this takes the volume profile and averages the volume over (y) number of bars to produce a "smoother" profile. It takes the spikes in volume at certain prices and creates a more uniform volume profile. 2.2.3.3

Volume Price Statistics

The Formula See description below. There is a very helpful video that describes this indicator and explains the options contained within it.


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The

Preferences

Statistics Volume POC - This plots the PRICE which experienced the most volume within each bar. POC Volume - This plots the greatest amount of volume that occurred at any one price within each bar. POC is the term that comes from Market Profile® that refers to the price with the most interest. In this case it is referring to the single Footprint® within each bar that contained the greatest volume. POC Volume % - This plots the % of volume that occurred at the highest volume price within each bar. Higher percentages show that higher concentrations of volume occurred at a single price, possibly indicating large block trades, etc. Average Vol at Price - This plots the average volume that occurred at each Footprint® (price) within each bar. Said another way, looks at the volume traded at each price and averages them together and plots that number. Max Trades Price - This plots the price that experienced the most trades. So instead of monitoring the volume it is monitoring the number of trades.


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Max Trades at Price - This plots the greatest amount of trades that occurred at any particular Fooptrint® (price) within a bar. Said another way looks to see which price within each bar has the most trades and then plots that value. Max Delta Price - Plots the price which experienced the greatest absolute delta. Because delta can be either negative or positive, we take the absolute value and plot the price that is associated with the greatest value. Max Delta at Price - Plots the greatest absolute delta achieved at any price within the bar. Max Buy Vol Price - Plots the price which experienced the greatest buy volume. This is determined just like the bid ask Footprint® would represent trades on the bid and ask at any particular price. Max Buy Vol at Price - Plots the greatest buy volume achieved at a particular price within the bar. Max Sell Vol Price - Plots the price which experienced the greatest sell volume. This is determined just like the bid ask Footprint® would represent trades on the bid and ask at any particular price. Max Sell Vol at Price - Plots the greatest sell volume achieved at a particular price within the bar. VWAP of Bar - Plots the volume weighted average price for each bar. This computed based on each bars data.


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The preference window above shows additional options in the drop down for the additional statistics listed below. There are many combinations. Notice that the drop down shows "Volume =" Simply select from the drop down list what you want computed. For Example: Looking at the preferences window above, if you choose the statistic "Volume of Upper X Prices" and specified "Buy Volume" from the drop down list and X=3, this would sum up the buy volume (bid traded volume) of the upper 3 prices contained within each bar. Taken from the drop down list above, these are the definitions. Volume would be traded volume. Trades is the actual number of trades. Delta is the delta, which is the net difference between trades at the ask price and the bid price. Buy Volume is ask traded volume. This can be seen using the bid/ask Footprint®. Sell Volume is the bid traded volume. This can be seen using the bid/ ask Footprint®.


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Additional Statistics Volume of Upper X Prices - For this one first specify what you want to calculate from the drop down then select for how many prices you want to be considered. If x=3, then it would consider the 3 prices at the top of each bar and plot that value based on what was selected from the drop down. See the example above. One strategy might be to look for instances where the number of trades spikes for the top 2 or 3 prices, signifying retail traders hurriedly entering the market with small lot sizes. We all know that the public is often wrong and this could be the top of a move. Volume of Lower X Prices - For this one first specify what you want to calculate from the drop down then select for how many prices you want to be considered. If x=3, then it would consider the 3 prices at the bottom of each bar and plot that value based on what was selected from the drop down. See the example above. One strategy might be to look for instances where the number of trades spikes for the bottom 2 or 3 prices, signifying retail traders hurriedly entering the market with small lot sizes. We all know that the public is often wrong and this could be the bottom of a move. Volume of Upper X % of Range - This will provide the information based on a specified percentage instead of absolute number of prices. If x=10 then it will calculate the upper 10 percent of range (which will vary based on height of bars) for whatever value specified from the drop down. Volume of Lower X % of Range - This will provide the information based on a specified percentage instead of absolute number of prices. If x=25 then it will calculate the lower 25 percent of range (which will vary based on height of bars) for whatever value specified from the drop down. Volume Ratio (Prices) - If x=5, this will take the volume (or whatever is specified from the drop down list) of the upper 5 prices of range and divides by the volume of lower 5 prices of range and give the result. The idea is to identify if the ratio of volume, trades, delta, buy volume, or sell volume (whichever is specified from the drop down) is lopsided at the highs of the bar versus the lows of the bar. So a resulting value of 3 means there is 3 times as much volume on the higher X number of prices of the range than lower X number of prices in the range. Volume Ratio (Percent) - If x=33, this will take the volume (or whatever is specified from the drop down list) of the upper 33% of prices within the range and divides by the volume of lower 33% of prices within the range and give the result. The idea is to identify if the ratio of volume, trades, delta, buy volume, or sell volume (whichever is specified from the drop down) is lopsided at the highs of the bar versus the lows of the bar. So a resulting value of 2.5 means there is 2.5 times as much volume on the higher x% of range than lower x% of range.


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Volume Diff (Prices) - If x=5, this will take the volume (or whatever is specified from the drop down list) of the upper 5 prices of range and subtract the volume of lower 5 prices of range and give the result. It will show either a positive value or negative value. A positive value would signify more volume occurred in the top x prices of the range. A negative value would signify more volume occurred in the bottom x prices of the range. The idea is to identify if there was more volume, trades, delta, buy volume, or sell volume (whichever is specified from the drop down) at the highs of the bar versus the lows of the bar. Volume Diff (Percent) - If x=20, this will take the volume (or whatever is specified from the drop down list) of the upper 20 percent of range and subtract the volume of lower 20 percent of range and give the result. It will show either a positive value or negative value. A positive value would signify more volume occurred in the top x% of the range. A negative value would signify more volume occurred in the bottom x% of the range. The idea is to identify if there was more volume, trades, delta, buy volume, or sell volume (whichever is specified from the drop down) at the highs of the bar versus the lows of the bar. Draw As Controls how the data is drawn. One of the most popular is Line, Stepped or Histogram, Solid (+/-). The Description Volume Price Statistics Overview Volume Price Statistics is unique to MarketDelta® and probably the most powerful indicators in the software. It unlocks the power of intrabar information by leveraging the information only the Footprint® can offer. We envision this allowing traders and system developers to come up with all sorts of new ways to create signals in custom indicators. All the current options are listed above under STATISTIC. If you have ideas for more please let us know and we will consider adding them for the benefit of all. The Token VPS The RTL token for Volume Price Statistics is VPS. Each of the statistics mentioned above can be accessed using the VPS token in RTL to create powerful new ways to create signals and test for new patterns. 2.2.4

Footprint Preferences There is a Footprint Preferences video that covers these in detail and explains what each preference does to the chart.


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Footprint Data Tab

The Footprint® chart is designed to track price, volume and order flow in a variety of ways: volume at each price, breakdown the volume at each price (bid vs. ask), ticks at each price, and quantify and display the actual transacted trades at each price. Buy volume is defined as volume that occurred at the offer/ask. Sell volume is defined as volume that occurred at the bid. The difference between these two values (Buy volume minus Sell volume) is the delta and can be a good indicator of buying or selling pressure. Volume and the # of trades can optionally be broken down by "Big vs Small" trade volumes or "Up vs Down Tick" volumes (as opposed to Buy vs Sell Volumes). However, "Buy vs Sell Vol" is the most common choice and generally regarded as the most informative. More specifically, "Big vs Small" shows the volume of trades that exceed the level you specify to the right of 'x' and all other volume to the left of 'x'. For instance, if 100 was specified as "Big Volume", then trades >= 100 in volume would be placed to the right of 'x' and trades with volume < 100 would be placed to the left of 'x'. It may be best to use this option as "trades" instead of "volume". It may be more useful this way.

Volume Filter - Consider Only Trades w/ Size This is a volume filter that can be applied to the Footprint chart. Checking this box and specifying a value of 24 would show only trades sizes of 25 and larger on the Footprint®. This can be used to track where large size trades are occurring over any time period on the Footprint®.


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Price Range of Each Row This should normally be set to automatic, however for some instruments you will need to set it to custom. An example would be for emini S&P 500 (ES). For this instrument you need to set the display format in the symbol setup screen to 4ths. If the screen is scrolling and jumping around with every trade, then the price scale is incorrect. Follow these instructions and set accordingly. Bar Periodicity - See Periodicity Chapter Clicking the drop down menu shows a number pad that can be clicked directly. The periodicity will show. Alternatively, choose the periodicity type and type or select the periodicity by typing it in or clicking the appropriate number on the number pad. · Minutes - Time-based bars composed of any number of minutes. · Range - Volatility based bars composed of any range of price. · Change - Volatility based bars composed of any change of price. · Volume - Activity based bars composed of any amount of volume. Each bar has equal amount of volume. Trades can be split into multiple bars. · Ticks - Activity based bars. Similar to volume bars, each bar is composed of a user specified number of ticks. · Seconds - Time-based bars composed of any number of seconds. · Reversal - Volatility based bars, building upon the concept of Point and Figure. · 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. · 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. · Delta - Builds new bars based only after a specified delta is achieved. Specifying a delta of 1000 would create bars that consisted of 1000 delta, irrespective of the volume or time it took to create them. · Delta Rev - Like reversal charts which are based up on the point and figure methodology, delta reversal charts also use the same methodology. The difference is instead of using price to be the determinant of the reversal, delta is used. So specifying a delta value of 3000 will require the delta for the bar to move opposite the indicated direction of the bar before it starts a new column. (FAQ with video recording ) · POC Volume - Creates a bar until a specified amount of volume is achieved in one of the Footprints®. (blog article) · Volume Breakout - The range of the bar is determined once the volume level specified is achieved. Then when price breaks out of this range a new bar is formed. (blog article) · Heavy Sided - This creates a new bar only when a specified volume amount is traded on the bid side or ask side of a Footprint. (blog article) · Price Delta - Creates a new bar when the entered delta value is achieved for any price within the current bar. For instance, if the price delta value chosen is 2000, then as soon as any price within the current bar achieves a delta of + or - 2000 a new bar will start. See screenshots here. ©2003 - 2009 MarketDelta LLC. All Rights Reserved.

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Footprint Display Tab

Footprint® Type · Delta (Ask-Bid Vol) - Displays a delta Footprint® · Bid x Ask Vol - displays a bid ask Footprint® · Total Volume - displays a volume Footprint® and is shaded according to the level of volume · % of Volume - displays a % volume of each Footprint® for each bar. · Color Only - displays delta color only; no numbers in Footprint® · Volume (Delta Color) - displays volume in Footprint® but the color is shaded according to the delta of the Footprint® · % of Volume (Delta Color) - displays % of volume and is color shaded according to delta · Delta Profile - no #'s are displayed. Shaded according to delta. (see below) · Footprint Profile - no #'s are displayed. Shaded according to delta (see below) · Delta Percent - shows percentage of volume that occurred on the dominant side of trading. Essentially a bid/ask ratio. · Invisible - This Footprint type is does not display any Footprint information on the chart, but, it is available for calculation. Divider This is the character specified to separate the quantity traded on the bid from the quantity traded on the ask when viewing a bid/ask Footprint®. Shade Text Only When this is checked the text (Footprint® values) are shaded instead of the Footprint® background. ©2003 - 2009 MarketDelta LLC. All Rights Reserved.

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Shade Dominant Side When this is checked only the background of the side (bid or ask) that had more volume is shaded. This is for the bid/ask Footprint. In the example below the shaded background for each price shows which side of the market experienced more volume.

Open Close Box Displays the red or green bar to the left of each Footprint® column or bar. This shows where the bar opened and closed. If green it closed higher; if red it closed lower. The same principle of a candle. Draw Borders When selected borders are drawn around each Footprint®. Text Color When selected the option to select the color of text is available. Most likely used if a dark background is chosen. Shading Each Footprint® by default is automatically shaded according to a algorithm within MarketDelta® that takes into account all the ticks being viewed on the chart and sorts them so that the Footprint® is properly and equally shaded. You have the option to override the automatic shading by selecting Manual. Choosing manual will prompt you for 3 values. These are entered in increasing order and represent the level of delta. See this topic for more information. Ask Volume Color This is the color shade to be used when a Footprint® experiences more trading at the ask price. This would represent a positive delta. The most common color will be either blue or green or forest.


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Bid Volume Color This is the color shade to be used when a Footprint® experiences more trading at the bid price. This would represent a negative delta. The most common color will be either red or burgandy. Total Volume Color This is the color shade to be used when a certain Footprints® that show only the volume and not the delta. This is also the color used in the Footprint Price Statistics (FPPS) indictor for the volume distributions and other metrics. This is also the color used for the chart type Volume Profile. The most common color will be navy.

2.3

Classic Footprint The Classic Footprint® is our original Footprint® chart and has since been upgraded to what we refer to as simply the Footprint® chart. The primary differences between the Classic Footprint® and the Footprint® is that the classic version is limited in a lot of the functionality and preferences provided to the user. Technical indicators, drawing tools, custom indicators and studies, buttons, a multitude of scaling preferences, application of RTL programming, and a lot of chart customizability did not exist in the Classic Footprint® . However, it is the original and in being included along with the new Footprint® to help those who don't want to make the change immediately. A Footprint® is an individual price painted on the chart with a unique color that contains volume or some other market statistic. Stacking Footprints® together creates bars, similar to what any candlestick or bar chart would present. The primary difference, and thus advantage of the Footprint®, is it shows each individual price within a bar AND displays value added information such as volume, buy/sell pressure, and other valuable statistics. The ebb and flow of price movement is presented by the up and down motions of Footprints® allowing you to "track" the market more accurately. Some of the different ways Footprints® can be viewed Bid / Ask, Delta, Volume, and Profile Footprint. Each is unique in the information it provides and is explained in detail individually throughout this chapter along with others not mentioned above. The market leaves a trail every time a trade is made. The Footprint® captures this information and displays it uniquely and provides traders an edge to spot key areas, react quicker to market changes, and better understand the battle between buyers and sellers. The Classic Footprint® consists of the most important, commonly known information (Price & Volume) and displays it in a new, more efficient manner. To fully understand the Footprint® window, please watch this video below. Classic Footprint® Overview or visit the Video Library for a complete list.


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Footprint® Classic Chart

Open / Close Footprint® Bars Down Bar

Up Bar

Data The data contained within each Footprint is customizable to display the type of data you want. Some of the most common are: 1. Volume at price. 2. Delta (difference between volume at bid and ask at that price). ©2003 - 2009 MarketDelta LLC. All Rights Reserved.

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3. Volume traded at bid versus the ask at each price . 4. Actual number of trades at each price. 5. Trades at bid versus the ask at each price. 6. There are many other combinations using the General tab in the Footprint Preferences menu. Footprint Preferences shows options and combinations for the Footprint. Color Shading Traders tend to be visual learners. The color inferred by the Footprint provides added insight and information for traders to react to and analyze market data. The color shading is taking into account all the price and volume data and easily summarizing it so traders can be quick to react to changing market conditions. The color of the Footprint provides traders with an exact idea of what is taking place in the market at any given moment. By default Footprints® are shaded according to a shading algorithm we developed to infer how much buying or selling is taking place at a particular price or bar. there is an Automatic color shading option that uses a shading algorithm that will gradually shade each Footprint®. The prices within each bar are shaded based on either volume (blue shading) or delta (red/green) shading, all of which are customizable using the colors tab in Footprint preferences. If volume shading is used, the darker the shade of blue, the higher the volume. If delta shading is used, negative deltas are shaded red, while positive deltas are shaded green. The darker the shading, the higher the absolute value of the delta. Most traders will never need to changes the default settings. Time would be better spend learning to interpret the data. 2.3.1

Opening a Classic Footprint There are many ways to accomplish the same task within MarketDelta®, but clicking Open Chart or Open Footprint® or Market Profile® on the main toolbar will open a menu to select pre-saved charts or the option to create a new chart.

Alternatively, use the menu across the top of MarketDelta®. 1. File | New | Chart (Setup Wizard) 2. Choose FOOTPRINT CLASSIC CHART type and then choose the Style of Footprint®. 3. Choose symbol. To add a symbol click here.


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4. Choose to add any technical indicators or buttons (Note - these can all be added later). 4. Click OK TIP: An easy way to copy a chart you already have is to Right Click | Duplicate. 2.3.2

Classic Footprint Types

2.3.2.1

Bid / Ask

Bid / Ask Footprint® – Displays the number of shares or contracts that traded while a particular price was the bid price and the number of shares or contracts that traded while a particular prices was the ask price. As the bid and ask change with price, the Bid / Ask Footprint® adjusts accordingly. They display as (bid traded volume x ask traded volume). (Example: 1000 x 400) The 'x' is just used as a spacer and not a mathematical operator. The Bid / Ask Footprint® keeps track of how volume trades at each price and classifies it as to whether it was buyer motivated or seller motivated volume. As a price goes from offer to bid and back, the Footprint® will keep track of the volume at each price. To watch a video recording that gives an overview of the Bid / Ask Footprint®, click here or visit Video Library. One of the primary things to look for is not just how a single Footprint® is developing, but how does it differ (or not differ) from the previous few Footprints® or bars. This will help give perspective as to whether the current move is strengthening or weakening. All the Footprints® move from right to left across the screen, each bar or column referring to a time frame or specified periodicity. With each Footprint® type you have the ability to scroll back in time to view the previous price action or recall how much market activity took place. · · · · · · · · · ·

Click the BxA button at the top of the Footprint® window to view. Provides added price transparency to the post trade charting process This Footprint® will help you keep track of the market action as it happens. See exactly how bid traded volume and ask traded volume affect the market at each price. Follow volume and momentum as it happens through color shading set to your preferences or let the auto color shading algorithm do it for you. Footprint® shows whether the volume was on the bid side or the ask (offer) side. Scroll back in time and see what happened. See how many shares (contracts) traded. See how many orders where involved. Filter the trades so you are only seeing certain size orders or larger. This is especially useful with the bid / ask Footprint® because it shows which side of the market the large traders are favoring being aggressive towards. ©2003 - 2009 MarketDelta LLC. All Rights Reserved.

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This chart, along with the valuable market information, presents a very simple interface, allowing the trader to be nimble and quick to react in any trading condition. You can quickly select which chart you want to see by just clicking the button at the top of the Footprint® panel. Bid Ask Footprint®

2.3.2.2

Delta

Delta Footprint® – Displays a positive or negative number. A negative delta value represents how many more shares/contracts were sold on the bid as a result of the seller being more aggressive and hitting the bid. A positive delta value represents how many more shares/contracts were bought at the ask (offer) as a result of the buyer being more aggressive and taking the ask (offer). Delta is the term we use to describe the net difference between the quantity traded at 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 is more aggressive (in turn producing pressure), buyer or seller, as price fluctuates. The calculation would be the ask traded volume - bid traded volume = Delta Footprint®. Using the Bid / Ask Footprint® example (1000 x 400), the Delta Footprint® would be -600, indicating more selling pressure at this price.


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To watch a video recording that gives an overview of the Delta Footprint®, click here or visit Video Library. Click the "Dlta" button on top of the Footprint® panel to view. Provides more transparency as to who is attempting to influence the market more. Gives a true sense of buy and sell activity at each price. Using the column delta at the bottom of each bar it can help to confirm price direction and strength · Very advantageous to see price runs sequentially. Begin to realize when a current run is running out of fuel. · Know when a current price run is gaining momentum. · Know when the buyers are accumulating and when the sellers are distributing. · · · ·

The delta by price column (far left of chart) shows the overall delta for each price as the session progresses. This can be toggled on or off in the preferences window of the chart. Delta Footprint®


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Total Volume

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 during trading. 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 at each price over whatever time frame or periodicity you specify. To watch a video recording that gives an overview of the Volume Footprint®, click here or visit Video Library. · Click the Volume button at the top of the Footprint® panel to view. · Have the added edge and transparency by being able to see the breakdown of volume intra-bar as it builds. · Most popular with traders who trade products that don't have as much momentum as other products. Such as Fixed Income or many stocks. · Know when there is high interest in a price. · Know how big of a stand traders are willing to take. · You won't be fooled by orders that look like they traded but really didn't trade. · Develop a feel for your market by recognizing when volume is picking up and when it's not. Similar to noise on the trading floor, as applied to electronic screen, 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.


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Volume Footprint®


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Volume with Delta Color - This view has the same volume values as above except now the colors (red vs. green) are based on whether the price had a positive or negative delta. The shading is based on the level of volume traded.

2.3.2.4

Volume (Delta Color)

Color is based upon the delta for each Footprint and the shade (darkness or lightness) is also based upon the delta. The values within each Footprint are the total volume for that price.


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Preferences Setting


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% Volume (Delta Color)

This shows the percentage of the daily volume done at each particular price. This will not be a useful Footprint periodicity when applied to short time frames. Below is a 30 minute chart. Notice at the bottom of each row it shows the % of volume for each 30 minute period. The color is determined by whether or not the chart has a negative or positive delta. The percentages recalculate when a new bar is created.


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Preference Setting

2.3.2.6

Footprint Profile

Footprint® Profile - This displays a profile or histogram of volume in whatever time frame chosen. The color of each Footprint® within each profile is based on the delta. Delta is the net buy / sell pressure. Green represents a positive delta (buying pressure) and red represents a negative delta (selling pressure). To watch a video recording that gives an overview of the Footprint® Profile or visit the Video Library. · Click the 'FP' button at the top of the Footprint® panel to view. · 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. · Popular view for those who are familiar with Market Profile® and allows a trader to drill down and see inside the chart.


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Footprint® Profile

Preference Setting


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2.3.2.7


Delta Profile

The Delta Profile is similar to the Footprint® Profile except that instead of showing the volume distribution it shows a DELTA distribution. This shows us the levels of absolute delta for each price. All values, both negative deltas and positive deltas, are shown with absolute values. The way to read the graphic below would be if the bar is green it had a positive delta and if it was a red bar then it was a negative delta. The length of the bar represents how large the delta for that price was. Using the Footprint® preferences menu, choose the General tab | Footprint Type | Delta Profile. Strategy - Similar to the strategies presented in the Delta Percent Footprint topic.


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Delta Profile

Preference Setting


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2.3.2.8


Delta Percent

The Delta Percent Footprint® 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 Footprint® is blue (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 Footprint®. If the Footprint® is red (in the graphic below) then it had a negative delta and the number shown represents the % of volume that occurred at the bid price for that particular Footprint®. Using the Footprint® preferences menu, choose the General tab | Footprint Type | Delta Percent.


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STRATEGY - A general method for utilizing this Footprint® 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 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 and provide 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 breakout levels we expect to see volume become much more one sided and trade aggressively in the direction of the breakout. Failure to see large Delta Percentage readings at these key levels and prices should give reason to question the breakout. Blog Post Strategy


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Delta Percent

Preference Setting


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% of Volume

This Footprint shows the percentage of volume traded at each price and the percentage of volume traded per bar (shown at the bottom of the window). This Footprint type will be better suited for longer time frames such as the 30 minute. The percentages recalculate when a new bar is created. STRATEGY: Look back at previous days to know what large volume is for a given bar. For instance, you may not the volume % for the first 30 or 60 min bars from past sessions and see how they compare to the current sessions.


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Preference Setting

2.3.2.10 Color Only

This Footprint type is does not display the volume or delta numbers and only shows the color associated with each Footprint. Works well when zooming out to see more of the day. STRATEGY: One of the benefits of this Footprint is the readability. If you have adopted the strategy of following the high volume price (shown below as the black outlined price) this view makes it very simple to track.


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Preference Setting

2.3.3

Classic Footprint Buttons Convenience Buttons These are the various buttons located at the top of the Footprint window.


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Playback Buttons Along the top of the chart are a number of convenience buttons. This button area can be toggle on/off with the Tab key on the keyboard. The first four are playback buttons, which play ">", pause "| |", advance one "+", and stop/end "x". The play button will start the playback at the begin of the session (or view period), and will step forward based on the playback settings specified in the chart preferences. The user can pause the playback at any time. Once paused, the advance "+" button can be used to manually advance the chart on step (based again on playback settings) at any pace. The automatic playback can then be resumed at any time with a click on the play button. The playback can be terminated and the chart brought back to live/standard mode by a click on the stop/end "x" button. Playback can be performed on the current session (even while it is in process) or on previous sessions. Bar Period Buttons The next set of buttons represent different common bar periods: 1minute, 5-minute, 30-minute, 3-prices, 4-prices, 5-prices and 10-prices. Price bars are similarly to range bars, where a 4-price bar would cover a 4 price range. The first tick that breaks out of that 4 price range starts a new bar. Clicking on these buttons will change the periods of the bars shown in the chart. Many more periodicity options can be accessed by clicking the "More" button or double clicking the Footprint® and changing the periodicity and periodicity type. Bar "Show" Buttons The next set of buttons are used to change what values are shown within the bars. The "Dlta" button shows the delta values with the delta colors. The "BxA" shows the bid traded volume and the ask traded volume separated by an "x" along with the delta colors. The first "Vol" button shows the volume along with the blue shading volume colors. The second "Vol" button shows the volume along with the delta color shading. The "FP" button toggles the Footprint® Profile on and allows you to see vertical histograms of the Footprint®.


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Other Buttons The "Max" button toggles through various statistical studies that can be applied along the bottom of the chart. The "Sess" button toggles the override session on and off, allowing the user to quickly change back and forth between two sessions (the session of the symbol, and the override session). The "BA" button toggles the Bid/Ask column on and off. And the "More" button brings up the charts preference window. Marker Buttons The market button places markers on the Footprint window. Use the keyboard shortcuts below to add, delete, and change markers. Click Here to view a 2 minute recording that explains how to use the marker functionality. Marker shortcuts are the following: SHIFT+Left mouse click adds the marker. SHIFT+Left mouse click on existing market changes. CTRL+Left mouse click on marker deletes that individual marker. SHIFT+CTRL+Left mouse click deletes ALL markers. Right-Click Pop-up Menu Right-clicking anywhere in the chart brings up a pop-up menu with a variety of convenience options, many the same as those provided by the buttons discussed above. 2.3.4

Classic Footprint Preferences There is a Footprint Preferences video that covers these in detail and explains what each preference does to the chart.


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2.3.4.1


General Tab

The Footprint® chart is designed to track price, volume and order flow in a variety of ways: volume at each price, breakdown the volume at each price (bid vs. ask), ticks at each price, and quantify and display the actual transacted trades at each price. Buy volume is defined as volume that occurred at the offer/ask. Sell volume is defined as volume that occurred at the bid. The difference between these two values (Buy volume minus Sell volume) is the delta and can be a good indicator of buying or selling pressure. Volume and the # of trades can optionally be broken down by "Big vs Small" trade volumes or "Up vs Down Tick" volumes (as opposed to Buy vs Sell Volumes). However, "Buy vs Sell Vol" is the most common choice and generally regarded as the most informative. More specifically, "Big vs Small" shows the volume of trades that exceed the level you specify to the right of 'x' and all other volume to the left of 'x'. For instance, if 100 was specified as "Big Volume", then trades >= 100 in volume would be placed to the right of 'x' and trades with volume < 100 would be placed to the left of 'x'. It may be best to use this option as "trades" instead of "volume". It may be more useful this way.

Consider Only Trades w/ Volume


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This is a volume filter that can be applied to the Footprint chart. Checking this box and specifying a value of 24 would show only trades sizes of 25 and larger on the Footprint®. This can be used to track where large size trades are occurring over any time period on the Footprint®. Price Range of Each Row This should normally be set to automatic, however for some instruments you will need to set it to custom. An example would be for emini S&P 500 (ES). For this instrument you need to set the display format in the symbol setup screen to 4ths. If the screen is scrolling and jumping around with every trade, then the price scale is incorrect. Follow these instructions and set accordingly. Bar Periodicity The left text box is the frequency of the periodicity and the drop down is the type of periodicity. · Minutes - Time-based bars composed of any number of minutes. · Range - Volatility based bars composed of any range of price. · Change - Volatility based bars composed of any change of price. · Volume - Activity based bars composed of any amount of volume. Each bar has equal amount of volume. Trades can be split into multiple bars. · Ticks - Activity based bars. Similar to volume bars, each bar is composed of a user specified number of ticks. · Seconds - Time-based bars composed of any number of seconds. · Reversal - Volatility based bars, building upon the concept of Point and Figure. · 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. · 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. · Delta - Builds new bars based only after a specified delta is achieved. Specifying a delta of 1000 would create bars that consisted of 1000 delta, irrespective of the volume or time it took to create them. · Delta Rev - Like reversal charts which are based up on the point and figure methodology, delta reversal charts also use the same methodology. The difference is instead of using price to be the determinant of the reversal, delta is used. So specifying a delta value of 3000 will require the delta for the bar to move opposite the indicated direction of the bar before it starts a new column. (FAQ with video recording ) · POC Volume - Creates a bar until a specified amount of volume is achieved in one of the Footprints®. (blog article) · Volume Breakout - The range of the bar is determined once the volume level specified is achieved. Then when price breaks out of this range a new bar is formed. (blog article) · Heavy Sided - This creates a new bar only when a specified volume amount is traded on the bid side or ask side of a Footprint. (blog article)


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Footprint® Type · Delta (Ask-Bid Vol) - Displays a delta Footprint® · Bid x Ask Vol - displays a bid ask Footprint® · Total Volume - displays a volume Footprint® and is shaded according to the level of volume · % of Volume - displays a % volume Footprint® · Color Only - displays delta color only; no numbers in Footprint® · Volume (Delta Color) - displays volume in Footprint® but the color is shaded according to the delta of the Footprint® · % of Volume (Delta Color) - displays % of volume and is color shaded according to delta · Delta Profile - no #'s are displayed. Shaded according to delta. (see below) · Footprint Profile - no #'s are displayed. Shaded according to delta (see below) · Delta Percent - shows percentage of volume that occurred on the dominant side of trading. Essentially a bid/ask ratio. Divider This is the character specified to separate the quantity traded on the bid from the quantity traded on the ask when viewing a bid/ask Footprint®. Shade Text Only When this is checked the text (Footprint® values) are shaded instead of the Footprint® background. Shade Dominant Side When this is checked only the background of the side (bid or ask) that had more volume is shaded. This is for the bid/ask Footprint. In the example below the shaded background for each price shows which side of the market experienced more volume.

Chart Name Use this area to name your Footprint® charts with specific names.


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View Period Tab

One Session: Current is the standard view. If set to One Session 2 Days back then it will display the price activity 2 days ago ONLY. Do not use this if you are trying to see multiple days. Last: Used to display just the last x amount of time, days, etc. Multiday: Use this to display multiple days in the Footprint® window. You will need to have all the tick data for the # of days you want to display. Make sure the One Session setting is set to current when using these setting. When using multiday, all the columns that are added to the left portion of the Footprint® chart will be cumulative. The means 3 days are being displayed, the analytics on the left side of the Footprint® will be for all 3 days. Use: This has various ways to create and plot the values on the Footprint® chart for some indicators and statistics. For most of these Footprints® will not plot, but rather the value of the indicator or statistic. This option is used very little but available to those who want the functionality.


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Session Override:FAQ If this is checked you have the ability to show a selected period of time on the chart instead of the default symbol session for the instrument you are viewing. For instance, if you have the ES on the chart and the ES is setup to collect 24 hour data in the Instrument Setup (ALT+A), you may only want to view the RTH (regular trading hours) session. By selecting the correct session override the data displayed on the chart will only be the data for the RTH time frame.


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Columns Tab

These are cumulative values for the day (or for the view period specified, if other than "current session"). All columns except the price column are optional. These columns represent the following pieces of data: Bid Vol x Ask Vol - creates a column showing the bid and ask volume for each price level. Delta (Ask Traded Vol - Bid Traded Vol) - creates a column showing the total delta for each price level. Total Volume - creates a column showing the total volume for each price level. Percent of Volume - creates a column showing the % of volume traded at each price level. Cumulative Profile - When this is checked a daily volume distribution is displayed. It shows the breakdown of bid and ask volume. The drop down menu offers two ways of shading the price scales to show either (1) volume-based value area (where 70% of volume traded with respect to the high volume price) or (2) the VWAP (volume weighted average price) and 1 standard deviation of the VWAP. More information can be found here. Bid/Ask with: Volumes | Sizes - Volumes will show the cumulative quantity traded at the current bid price and the cumulative quantity traded at the current ask price. Sizes will show level 1 data.


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Extra Bar Showing: Supplemental Info | Pullback Info - Supplemental Info adds a column next to the right price scale that shows complimentary data to the current bar that is building. For instance, if viewing the bid/ask or delta Footprint it will show the total volume for the current bar. The Pullback Info selection shows the activity since the last price extreme of the current bar. Extra Rows Showing: Min/Max Delta | Cum/Chg Delta - Min/Max Delta shows the minimum and maximum value delta achieved for each bar. Cum/Chg Delta is the cumulative delta for the day and shows a running total of it and how it changes from bar to bar. The Chg is the change in delta from the previous bar.


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Colors Tab

Automatic: If Automatic is checked (default) then all colors are dynamically shaded based on all the values contained in the Footprint® chart. If viewing multiple days, then it will use all the values for all the days being displayed to shade each Footprint® Manual: If Manual, you can select the delta levels that will determine the shading of the Footprint®. The values specified are unique to the chart and NOT the symbol. It is highly recommended to use Automatic shading. Ask Volume Color: Sets the color of Footprints® which have more volume traded at the ask price. Bid Volume Color: Sets the color of Footprints® which have more volume traded at the bid price. Total Volume Color: Set the color of Footprints® which are displaying total volume instead of delta based Footprints®. Background Color: Set the background color of the Footprint®. Gradient: Selecting this option allows for two contrasting colors to be chosen to shade the chart top to bottom by blending the two chosen colors. ©2003 - 2009 MarketDelta LLC. All Rights Reserved.

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See the chapter Footprint Color Shading for more detailed information. 2.3.4.5

Lines Tab

This tab allows you to specify horizontal lines on the Footprint® chart. To add lines either double left click the price scale or open the Footprint® preferences menu, "check" a box and type in a value. Add a label (optional) and change the color if you prefer. An advanced use of the line tools would be to add horizontal reference lines that are tied to a dynamic variables so that each time the variable updates it is updated on your Footprint® chart. An example of this would be a pivot point and corresponding S1, S2, R1, R2 values or a VWAP value. Another example would be Market Profile® reference points. Visit our Blog and Video Recording page for videos.


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Options Tab

Row Height: changes the row height of the Footprint®. Shortcut is to hold SHIFT+ up or down arrow on keyboard. Open / Close Bars Shows were a bar opened and closed. This represents the body of a candle. The open/close bar is shaded RED if it closed lower than it opened, GREEN if it closed higher than it opened and gray if it opened/closed at the same price. Example: The red bar on the left shows it opened at the lower red block and closed at the higher red block. The whole bar had the price range represented and just a small "body". Historical VA & POC Bands - Shows how the Value Area (VA) developed throughout the day. Each orange VA bar is showing where the value area was when that 30 minute time period closed. They update in realtime and allow traders to quickly see if value is beginning to shift or stay stable. These bars allow a trader to keep the context of where he/she should be looking to place trades.


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The point of control (POC) for each bar is highlighted by the dark border around one Footprint® per bar. This is helpful because you can see if the high volume prices are beginning to move higher or lower. These movements often precede movements in the value area and can be used as a shorter term signal or price reversals and trends.

VA/POC Shade: Changes the color or the historical VA and POC bands. Playback - This is used to playback a sessions activity. To use the playback simply make sure it is checked and then use the buttons below (which will be on the Footprint® or Market Profile® chart) to use this feature. If you can't see the button on a Market Profile® window, hit the TAB key to toggle the info box pane. PLEASE NOTE: There is a second, much more robust playback feature under File | Playback. > - Playback Play || - Playback Pause + - Playback Advance One Step x - Playback Stop/End Scale Values - This allows you to scale the values displayed on the Footprint® chart. I. E. for stocks you may choose Val/100 to divide the volume by 100. It makes the Footprint® easier to read and still maintains the information. Lock Chart - locks chart so it won't be affected by multi-linking. Miscellaneous · All values discussed are updated live, tick by tick. · Bars are labeled with the ending times of the bars.


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Keyboard Shortcuts for Footprint® Chart

2.3.5

Classic Footprint Color Shading Each Footprint® by default is automatically shaded according to a algorithm within Market Delta that takes into account all the ticks being viewed on the chart and sorts them so that the Footprint® is properly and equally shaded. You have the option to override the automatic shading. This is available by double clicking the Footprint® chart and clicking Manual instead of Automatic. When selecting Manual, specify the DELTAS that you want the Footprint® to shade according to. The example here says: 0 to 149 will be shaded the lightest shade of Forest or Burgundy, 150 to 299 will be shaded a darker shade, 300 to 599 will be shaded a darker shade, and 600 to infinity will be shaded the darkest. Ask Volume & Bid Volume By default we represent hitting of bids (aggressive selling) in Burgundy (red) and lifting of offers (aggressive buying) in Forest (green). You set the thresholds of color with respect to the amount of shares or contracts. Total Volume This is the color when viewing the volume Footprint®. The manual settings do NOT apply when viewing the volume Footprint®. They DO apply when viewing the volume Footprint® that is shaded according to delta.


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Being able to manually set your colors to values important to you means you are seeing the market and patterns that nobody else in the world is seeing. This can offer a unique perspective and edge that you can call all your own! The manual settings are specific to the CHART and not the SYMBOL. If you use the manual settings for shading Footprints®, you may find it useful to have a specific chart for each instrument and shade it accordingly.

2.4

Multi-Pane Charts For basic chart operations like opening, deleting, & modifying see this topic. Besides the Footprint® charting capability, MarketDelta® has traditional charting capability with many chart types and multi-pane capability. The multi-pane capability can be used to include other symbols in separate chart panes or for technical indicators. Available Multi-Pane Chart Types · Bar · Candlestick · Connected Line · Continuous Line · % Change Bar · % Change Candle · % Change Line · Wickless Candle · Point & Figure · Renko · Volume Profile · Footprint® In this section only a few unique and specific indicators will be focused up. Many of those who use MarketDelta® use it for the Footprint® and Market Profile® charting capability. Because of this, many of our users have an very explicit interest in understanding PRICE and VOLUME more acutely. We recognize this and have included many unique ways displaying and analyzing volume, price activity, order flow, etc. on the various examples that follow. Any of the charts the show some sort of alert or buy/sell signal require the Professional version of MarketDelta®.


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Multi-Pane Chart Types

2.4.1.1

Bar

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A bar shows a vertical line representing the high to low trading range for the bar. Tick marks on the left and right side of the vertical bar mark the open and closing price of the bar. Bars are color coded with an up color or down color based on whether the closing price of the bar is higher or lower than the closing price of the prior bar. Colors can be set by changing the bar preferences. Double click the line to access the preferences.


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2.4.1.2


Bi-Color Line

The Bi-Color Line style is very similar to the Continuous Line style except it uses two colors. Each line segment, connecting prices, will be drawn based on whether price increased or decreased from the previous price. If price increases, the segment will be drawn in the up color. If price decreases, the segment will be drawn in the down color. Colors can be set by changing the line preferences. Double click the line to access the preferences.


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Candlestick

A candlestick chart shows each bar as a color coded rectangle (called the candle body) representing the range of trading between the open price and closing price of the period. If the closing price is higher than the opening price, the candle is colored with the user specified up color, otherwise, the down color. Colors can be set by changing the line preferences. Double click the line to access the preferences.


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2.4.1.4


Connected Line

For line graphs, the price used to draw the line may be the open, high, low, last, the median of high and low , or the median of high, low, last and others shown in the list below.


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Continuous Line

A continuous line graph is simply a line drawn between each of the price points for the selected price type. A connected line adds dots at each price point. Line graphs may be drawn with one of three line thicknesses and in a user specified color. Line graphs of different price types for the same instrument may be drawn in a chart window, either in the same sub window or each in its own sub window.


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2.4.1.6


Histogram

For histogram charts, the price used to draw the bar may be the open, high, low, last, the median of high and low , or the median of high, low, last and others shown in the list below. It is colored based upon whether current bar is higher or lower than the previous bar. This will of course depend on what is used to draw the bar (taken from the list below).


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Invisible

This chart type does not display any price information on the chart, HOWEVER, it is available for calculation. The primary method that this gets applied with is when someone wants to add an indicator to a chart but have it show with different price data other than what is actually showing on the screen. The idea is to have an indicator computed off of underlying data that you really do not want to see. Multiple invisible instruments can be added to the chart.


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2.4.1.8


Percent Change Bar

This chart type shows the percentage up or down a given market is for the time period specified on the chart. Right click the chart, choose Preferences | Chart | View Period tab. This is where you can set the time period being viewed and also set the begin time. It is popular to view a daily chart and have it begin at the beginning of the current year.


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Percent Change Candle



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2.4.1.10 Percent Change Line



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2.4.1.11 Wickless Candle

Wickless Candles will result in the traditional Renko "boxed" look and feel. It will simply chart a box from open to close. Users may opt for the "Candlestick" style, which will not only give the open/close box, but provides additional information with the candle wicks representing the high and low of each bar.


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2.4.1.12 Point and Figure

A large sampling of user generated PNF charts can be found here. Some of these charts have chart definitions which can be imported.

· · · · · · · · · · · ·

Point and Figure charts update dynamically tick by tick. True Point and Figure bars built off tick data (or 1-min data) Build P&F charts using any combination of box size and reversal size One Box Reversal charts allow Xs and Os to share same column Full library of over 150 built-in technical indicators to P&F charts, including Volume Breakdown, MPD, and TPO Indicators Full library of drawing tools, including 45 degree trendlines, reference lines, notes, Fibonacci, pivots, regression, and much more Add custom indicators by writing in MarketDelta's RTL language (Targets) Write signals and add markers and add alerts to P&F charts (Double & Triple Tops) Write trading systems and backtest historical P&F data Flexible scaling, zooming, scrolling, and panning with drag and drop Keyboard and mouse wheel shortcuts for convenient manipulation of P&F charts Review historical P&F charts, going back weeks, months, or even years (varies with data vendor)


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· Floating charts that may be dragged outside the MarketDelta® main window · View data from other periodicities (minute bars, tickbars, etc) on P&F charts · Other helpful tools such as multi-chart highlighter, crosshairs, info box, custom buttons, and multi-linking · Autotrading available via the Trading System Indicator to limited brokerages · Quickly switch chart between P&F and other periodicities (tickbar, minute bar, volume bar, daily, etc) · All in one chart: P&F, Market Profile® (TPO indicator), Delta (Volume Breakdown Indicator), Other Periodicity Data, drawing tools, historical indicators, markers, alerts, and much more · Apply the P&F periodicity to a Footprint chart for a more detailed look inside the bar and to see where volume is developing intrabar. See this image and download the chart definition. Creating and Changing Point and Figure is now supported in multi-pane charts as a periodicity (and a drawing style). This significant enhancement marries the powerful features of the traditional chart window (indicators, buttons, multi-panes, etc) with this unique drawing style. The Chart Setup Wizard has been revised to create Point and Figure charts with user selected indicators and moving averages. The wizard creates the Point and Figure chart with default reversal criteria of 3 boxes and box size determined automatically from the instrument setup. You can define the instrument setup by pressing ALT+A on your keyboard and setting the display format. You can also use the periodicity menu to specify a specific box size and reversal criteria. Choose the 0.25x3 PNF sample periodicity from the periodicity menu and adjust the numbers if you wish. Note that the entered text must be followed by a space and the letter P, e.g. "0.1x3 PNF" to be recognized as a point and figure periodicity.


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You can also set the boxes to be square to create a symmetrical grid. To do this double click the price scale and see the settings below.

Using Point and Figure in the RTL Language Tokens have been added to RTL to support the PNF Periodicity. Scans, signals, and custom indicators operating with PNF periodic data can use these token to inspect the state of the PNF column for any PNF bar, the box size and the reversal criteria. To test the state of the PNF use the PNF_STATE token. Constants PNF_UP and PNF_DOWN were added to enable expressions such as "PNF_STATE == PNF_UP" or "PNF_STATE == PNF_DOWN". The PNF_BOX token gives you the box size of the PNF data for the instrument, PNF_REV gives you the reversal criteria (the number of boxes).


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2.4.1.13 Renko

How to built Renko charts. A large sampling of user generated Renko charts can be found here. Some of these charts have chart definitions which can be imported.

· · · · · · · · · · · ·

Renko charts update dynamically tick by tick. True Renko square boxes/bricks built off tick data (or 1-min data) Build Renko charts using any box size Full library of over 150 built-in technical indicators to Renko charts, including Volume Breakdown, MPD, and TPO Indicators Full library of drawing tools, including 45 degree trendlines, reference lines, notes, Fibonacci, pivots, regression, and much more Add custom indicators writing in MarketDelta's RTL language (Targets) Write signals, add markers and alerts to Renko charts Write trading systems and backtest historical Renko data Flexible scaling, zooming, scrolling, and panning with drag and drop Keyboard and mouse wheel shortcuts for convenient manipulation of Renko charts Review historical Renko charts, going back weeks, months, or even years (varies with data vendor) Floating charts that may be dragged outside the MarketDelta® main window


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· View data from other periodicities (minute bars, tickbars, etc) on Renko charts · Other helpful tools such as multi-chart highlighter, crosshairs, infobox, custom buttons, and multi-linking · Autotrading available via the Trading System Indicator to limited brokerages · Quickly switch chart between Renko and other periodicities (P&F, tickbar, minute bar, volume bar, daily, etc) · All in one chart: Renko, P&F, Market Profile® (TPO indicator), Delta (Volume Breakdown Indicator), Other Periodicity Data, drawing tools, historical indicators, markers, alerts, and much more Overview of Renko Renko chart is thought to have acquired its name from the Japanese word for brick, "renga". In Renko charts, a box (or "brick" as they're called) is drawn in the direction of the prior move only if prices move by a minimum amount (i.e., the box size). The bricks are always equal in size. The box size is specified by the user, and can be any value greater than or equal to the tick increment of the symbol being charted (minimum of 0.25 for ES). Similar to Range Bars or Point & Figure charts, the frequency of Renko Bars is driven by price movement, not by time. Interpretation Basic trend reversals are signaled with the emergence of a red or green box/brick. A new green brick indicates the beginning of a new uptrend. A new red brick indicates the beginning of a new downtrend. Since the Renko chart is a trend following technique, there are times when Renko charts produce whipsaws, giving signals near the end of short-lived trends. However, the expectation with a trend following technique is that it allows you to ride the major portion of significant trends. Renko charts can also be very helpful when determining support and resistance levels since they isolates the underlying price trend by filtering out minor price changes. Renko charts are also very effective at identifying key support or resistance levels. Renko Charting in MarketDelta® Renko is now supported in traditional charts as a periodicity (and a drawing style). This significant enhancement marries the powerful features of the traditional chart window (indicators, buttons, multipanes, etc) with this unique charting style.


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To change any existing chart to a Renko chart, simply double-click on the instrument (bars or candles) in an existing chart, and setup the chart with a Style of "Wickless Candles". Wickless Candles will result in the traditional Renko "boxed" look and feel. It will simply chart a box from open to close. These boxes are often referred to as "bricks". Users may opt for the "Candlestick" style, which will not only give the open/close box, but provides additional information with the candle wicks representing the high and low of each bar.

The Periodicity Control now has a new option of "Renko" just below the "Point and Figure" choice. Select this option, then provide a box size in the space provided below. The box size can range from the tick increment of the instrument (0.25 for ES) to multiples of the tick increment (0.5, 1, 2, etc).


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In order to force each Renko box to be drawn perfectly square (the height of each box equals the width), a new vertical scale option has been added. Double-click in the vertical scale to bring up the vertical scale preferences. Select the 3rd Scaling Method specifying "Automatic scaling with Square boxes".

This option will keep the boxes square regardless of changes in chart dimensions, scrolling, or zooming. Some user may continue to prefer the Automatic scaling method, which tends to make better use of the vertical space in a chart. Once you've setup your scaling as "Square Boxes", you can easily toggle to automatic by clicking the "RA" until it becomes an "A", and toggle back to square boxes by again clicking on the "A" until it turns back into an "RA". MarketDelta® can be configure so that Renko bars reset at the beginning of each session (fresh start), or continue across session boundaries. The fresh start option is generally used for symbols that might gap heavily between session (and result in a long sequence of boxes to fill the gap). On symbols like ES that trade around the clock, the fresh start option is generally not needed or preferred. Go to "Setup: Preferences: Charts: General". If the "Continuous Tick & Volume Bars" checkbox is UNchecked, Renko charts will operate in "fresh start" mode. If it is unchecked, Renko charts will operate in "carry over" mode.


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Tokens have been added to RTL to support Renko. Scans, signals, and custom indicators operating with Renko periodic data can use these token to inspect the state and box size of the Renko boxes. To test the state of the PNF box use the RENKO_STATE token. Constants RENKO_UP and RENKO_DOWN were added to enable expressions such as "RENKO_STATE = RENKO_UP" or "RENKO_STATE = RENKO_DOWN". The RENKO_BOX token gives you the box size of the Renko data. As an example, the following signal would look for 3 consecutive up boxes followed by a down box: RENKO_STATE.3 = RENKO_UP AND RENKO_STATE.2 = RENKO_UP AND RENKO_STATE.1 = RENKO_UP AND RENKO_STATE = RENKO_DOWN See also Renko Indicator 2.4.1.14 Volume Profile

A large sampling of user generated Renko charts can be found here. Some of these charts have chart definitions which can be imported.


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Volume profile charts create a volume distribution showing how much volume traded at each price over whatever time frame you choose. The shade each bar is dependent upon how much volume traded at each price. Ideally these will be build using tick data. If tick data is not present then it will use intraday data (1 minute) to construct the profiles. Another way to view this is using the Footprint Profile chart. This shows the volume distribution but color codes each price based on the delta. 2.4.2

Premium Indicators From time to time MarketDelta® will create custom indicators based on the concepts the reinforce the underlying concepts of MarketDelta® and the Footprint® chart and make them available as Premium Indicators. The Professional edition or higher is required to use and run these indicators because they draw upon the built-in RTL language. Each can all be purchased for one time fee from www.MarketDelta.com. MarketDelta® comes with many build-in indicators which you can customize and create systems for your own charts. All these indicators can be used in signals and scans that you may create. A few of the more unique indicators in MarketDelta® are the Profile indicator, Volume Breakdown indicator, Footprint Price Statistics, Footprint Bar Statistics, and the Volume Price Statistics indicators.They are built into MarketDelta® and available for system development and custom indicator creation. For anyone looking for ideas on what can be done we publish various charts here. Many of them are free. All you need to do is simply download them (if free) or purchase them if fees apply and then click File | Import | Chart Definition to begin immediately using them. An updated list of Custom Indicators along with a short description, screenshot, and price (if applicable) can be viewed here. We also recognize that there are many people who would like to simply purchase systems and indicators that have been developed and backtested by MarketDelta®. These are located on the Custom Studies page of the website and can be purchased and downloaded for use in your MarketDelta®. User generated charts are available at www.charthub.com. Do a search for Footprint®, Market Profile®, PnF, Renko, or whatever you want to see user generated charts. Some of these will have chart definitions that can be downloaded. Learn more on importing chart definitions here.

2.5

Market Profile Market Profile® offers a unique way of looking at the markets and focuses on the price over time concept. Many believe there is no better way of representing the market. If nothing else, the pure statistical bell curve shape it often takes can give traders a methodology by which to trade by. You can make it as simple or complex as you want, ©2003 - 2009 MarketDelta LLC. All Rights Reserved.

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but the one clear fact is it has proven itself over the past few decades to be one of the tools of choice for professional traders worldwide. Market Profile Overview (14 mins) Requirements Market Profile® is available in the Standard Plus, Professional, and Pro Complete editions only. To upgrade your Standard version please contact sales@marketdelta. com. Our Market Profile® (MP) is very full featured and offers many unique functions and capabilities you will not find elsewhere. Please refer to our website or Knowledge Base for screenshots, information, and relevant information 2.5.1

Market Profile Chart Overview The Chicago Board of Trade (now the CME Group) Market Profile® has been licensed for use within MarketDelta®. Market Profile® is a form of analysis that many may not be familiar with and something that is not going to be explained in full completeness here. However, there are many good places on the MarketDelta® website that go into more details and there are also many excellent resources available in book form. In brief, Market Profile® is a statistical analysis of the price activity over time. It shows a distribution of where the market traveled over the course of a time period. That time period could be 1 day, 1 week, etc. Traditionally, a day is broken up into 30 minute time brackets with each 30 minute bracket represented by a letter. The market backs and fills creating the Market Profile® and thus the entire auction market process. There are different ways you can apply this information, but one of the most common is to help define "value" and show where a market is balanced and imbalanced. Using this information a trader can then employ various strategies for executing trades against a sound statistical methodology. You may want to refer to this video for a quick overview of what our Market Profile® can do. Also visit our here all sorts of screenshots that display the myriad of capabilities offered. User generated examples of Market Profile® can be found here. Market Profile Overview (14 mins)


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A merged profile can be seen here. Profiles can be merged or split at will with a two clicks. Right click on a profile and click MERGE PROFILE RIGHT. This will merge the profile you right clicked into the profile to the right of it. In this example, 9 days are merged together. Notice each day is given a unique color in the merged profile. To make each day a single color choose RAINBOW DAYS from the letter color option under the Preferences menu. This chart also demonstrates the display the opening range (blue bar), value area (green bar) and volume side-by-side with the profile.


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This profile offer an excellent example of single prints and how they held for basically 7 days before being filled on the 10th day. Notice when it was filled the market quickly traded many points lower almost to the bottom of the 10 day range.


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The profile on the left is a 20 day profile (30 minutes per letter) using rainbow days as the color. Another common way to display multiday Market Profile® charts is to have each letter represent a day (415 minutes per letter). Volume Histogram is turned on to view the relative volume for each row of letters. Each day is given a unique color.


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An example of intra day profiles (multiple profiles/day) can be seen here. This chart is setup to build profiles of 60 minutes (each letter represents 30 mins). The chart is setup with an override session of (8:30am -3:00pm CST). Each intra day session has it's starts with the letter O (indicating the open of the profile) and has it's own IB, POC, VA, and Naked POC bar or line. The red # is the close of each profile.

This was obviously a rare trend day for the S&P 500 emini futures. This particular view of the market does a superb job of (1) showing the VA (value area) putting in consistently lower lows and (2) multiple naked POC's which confirms a strong trend on an hourly basis. Notice how well each profile's POC held. The market could not sustain trading above it. An example of shaded blocks can be seen below. This requires a color other than RAINBOW to be selected, the SHADING checkbox to be checked, and DRAW BLOCKS to be checked. "Grid lines" are also turned on in this example. The blocks allow much more information to fit on the screen vertically, and the shading retains the "time of day" component to some degree.


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The darker the shade the later in the day that price traded. Said another way, lighter shades were traded earlier in the day. The red lines on this chart are NAKED POC's that were touched or in some cases, still untouched. One more very unique way of configuring Market Profile® charts within MarketDelta® is the CUSTOM letter color option. When this option is selected a palette appears at bottom of the Market Profile® window with letter for each color. Click the letter and a color palette selector will open. Choose a color you want the letter to represent. A common setting (as seen below) shades the first two letters and last 2 letters different from the rest of the profile. Because the open and close are so important and closely watched this may provide additional insight into hidden patterns or tendencies.


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Historical Profiles Our Market Profile® charts allow you to display your long term profiles very easily. Display Daily, Weekly, Monthly, Quarterly, or Yearly profiles. The daily, weekly, and monthly can be displayed having the TPO's be whatever time frame you want (usually 30 mins, but it could be whatever you want). Also, for the monthly, weekly, quarterly, and yearly can be displayed using daily TPO's, meaning each letter represents a single day. FAQ on exactly how to construct these. Info Box Explanation The table below explains what is seen in the Market Profile® Info Box on the left side of all Market Profile® charts as the cursor/mouse is moved across the chart, over various profiles and letters. This Info Box can be toggled on/off with the tab key or by right clicking the chart and selecting Toggle Info Box. First Section - Provides information related to each profile (For example, the 11/01 profile) TPO Time Price Opportunities. This is the total number of letters in the profile. If there are 8 D's, that counts as 8 towards the TPO count. The format we use to display these statistics is, a (b / c) d, where a = number of TPO's excluding singles (but including POC) b = TPO's above POC (excluding singles) c = TPO's below POC (excluding singles) d = total TPO's including singles TFF Trade Facilitation Factor - Number of total TPO's divided by the range of price for the profile. The higher the value, the less trend was present. Normal days have a high TFF value. Q% Quadrant of Close (%) - The Q% produces two values. The first value is the Open as a percent of the range with 0% being the low tick and 100% being the high tick. The second value represents the relationship of the last (or close) as a percent to the overall range. VAH Value Area High - Provides the VAH for the profile the cursor is hovering over. VAL Value Area Low - Provides the VAL for the profile the cursor is hovering over. ©2003 - 2009 MarketDelta LLC. All Rights Reserved.

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POC Point of Control - This represents the price/row in which the most letters reside. It is the widest row. This price was achieved in more 30-minute segments of the day than any other price. RF Rotation Factor - Each letter is given a +1 if it's high is above high of previous letter, and a -1 if it's high is below high of previous letter. In addition, a +1 or -1 is added based on whether the low was above or below the previous low. Each letters RF (anywhere from -2 to +2) is summed to provide the RF of the profile. VLT Volatility - Average range of the letters within a given profile RNG Range - Range of price of each profile MID Median price in the profiles range. VOL Volume - Total volume of each profile Second Section - Provides information related to each price in each profile (For example, 60.725 in the 11/01 profile) P Price V Volume traded at that price within that given profile. TPO Number of TPO's/letters at that price in that profile. Third Section - Provides information related to each letter in each profile (For example, all the L's in the 11/1 profile) LET Letter (represents all matching letters in the profile) D Delta of the period covered by the letter H High of period covered by the letter L Low of period covered by the letter V Volume trading during the period covered by the letter RNG Range of price of the letter Fourth Section - Provides information related to each TPO (individual letter) in each profile (For example, the singled D at 1356.50 in the 10/5 profile) TPO Shows the letter and price (represents a single letter or tpo, a single price & time opportunity) V Volume of that TPO


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Bid x Ask Volume of that TPO (volume traded at bid vs volume traded at ask) Delta of that TPO

Info Box Buttons This section describes what happens when clicking on the various buttons that are seen at the bottom of the Info Box section of Market Profile® charts. ~Sy Change Symbol of the chart m Ref Toggle the "Reference Lines" on or off. Color Cycles through the various letter color options available. BG Cycles through various background colors Grd Toggles the grid lines on and off Bloc Toggles DRAW BLOCKS on and off. k This feature draws squares in place of letters. IB Toggles the IB (Initial Balance) lines on and off OR Toggles the OR (Opening Range) lines on and off Sng Toggles the Single lines on and off POC Toggles the POC (Point of Control) lines on and off POC Toggles the POCvo (volume-based vo Point of Control) lines on and off VA Toggles the VA (Value Area) lines on and off VAvo Toggles the VAvo (volume-based Value Area) lines on and off Sp Toggles the Split Letters on and off Sc Scale - Cycles between scale on left, scale on right, and scale on right and left Vo Toggles the Volume (or Trade) Bars on and off Li Cycles between 5 states: Thick Vert Lines Left of Profile, Thick Vert Lines Right of Profile, Thick Vert Lines IB Left VA Right, Thin Vert Lines w/ Hor Lines (no Labels), and Thin Vert Lines w/ Hor Lines (with Labels) More Brings up the preference window ©2003 - 2009 MarketDelta LLC. All Rights Reserved.

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Playback Play Playback Pause Playback Advance One Playback Stop/End - Go to current time on chart

The following statistics are displayed in the title bar when the cursor is placed over any specific profile: * TPO - "That Price Occurred" or "Time Price Opportunity"- It is a count of the number of "letters" that appear in a profile (within a given session). * TFF - Trade Facilitation Factor - Number of total TPO's divided by the range of price. The higher the value, the less trend was present. Normal days have a high TFF value. * Q% - Quadrant of Close (%) - This represents the relationship of the last/close price to the overall range. The value can vary anywhere from 0% (last trade at very bottom of range) to 100% (last trade at very top of range). * POC - Point of Control - This represents the price/row in which the most letters reside. It is the widest row. This price was achieved in more 30-minute segments of the day than any other price. Multi-Day Profiles - Any number of days/sessions (up to 40) can now be combined into a single profile. In addition, the "minutes per letter" setting will now accept up to 1440 minutes. This allows users to setup profiles in which each letter represents a day, with up to 40 days being represented. The user would need to setup the "letters per minute" to match the "minutes per session" (390 for standard RTH session). However, the MultiDay Profile option will work with any "minutes per letter" including the common 30. For Weekly, Monthly, Quarterly, and Yearly profiles, see this Knowledge Base link. Reference Lines - Up to 12 optional user-customizable reference lines are now available. Each reference line has a customizable label (optional) and price value. The price may be pulled from a V# variable, allowing it to be set inside scans or other various places in the software. To turn on a reference line, simply check one of the reference line checkboxes, and supply the "label" text along with the price. Prices may be specified as V# variables by simply typing "V#1", or V#34",etc. instead of a numerical value. All reference lines share the same color, width, and style, which is specified just below the reference line checkboxes. Labels and/or prices may be suppressed by checking the corresponding "Hide Labels" or "Hide Price" checkboxes. Reference lines will span the entire width of the chart, from the scale to the right edge, with the label being displayed next to the right edge.


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Scaling -Automatic Scaling: Market Profile® charts now have a small uppercase letter the upper left corner of the scale, similar that the one seen in the upper right corner of the scales of traditional charts. This letter is either an "M" or an "A" depending on whether the chart is in Manual or Automatic scaling mode. Automatic scaling ensures that the current price is always in view when the chart is too large vertically to fit completely within the visible window. The chart will auto-scroll when necessary to make sure this condition is met. When the chart is in Manual scaling mode, the chart will not be automatically scrolled and the current price may wonder outside the visible window. Manual scaling is good for reviewing past data. Users may toggle between the two modes by simply clicking on the letter. The letter acts as a toggle button. Click on the A and it becomes an M. Click on the M and it becomes an A. The chart will always initially open in Automatic scaling mode. Whenever the user scrolls the chart vertically (using the up or down arrow keys), the chart will be forced into Manual scaling mode and will remain so until the user clicks the "M" to toggle it back to "A" (or automatic scaling mode). To quick scale the chart, hold the SHIFT key down and use the UP or DOWN arrow on the keyboard or hold the SHIFT key down and use the scroll wheel on the mouse. Info Box and Highlighter Market Profile® Charts have been enhanced with an optional Info Box and Highlighter. The two feature are linked in that the Highlighter is turned on only when the Info Box is on. A check box has been added to the Market Profile® preference window titled "Info Box" along an entry box for the width of the Info Box. The Info Box will appear to the left of the vertical scale, on the far left edge of the chart. When the Info Box is on, mouse/ cursor movements across the chart drive the new Highlighter, highlighting the cursor's row/price and the cursor's letter. For instance, if the cursor was over the letter "C" at the price of 1125.75, then all the C's in that profile would be highlighted, along with all the letters in the row of price 1125.75. As the cursor is moved over a new letter, the highlighter responds dynamically. The Info Box provides information related to the position of the cursor/highlighter. The information is grouped into three sections. The top section provides information related to the profile over which the cursor resides. The middle section provides information related to the row/price of the cursor. And the lower section provides information related to the letter over which the cursor resides. The profile information includes date/time, TPO count (TPO), TFF, Q%, POC, Rotation Factor (RF), Volatility (VLT), Range (RNG), and volume (VOL). The price/row information includes price (P), volume (V), and TPO count (TPO). The letter information includes the letter, the time of the letter, the high of the letter (H), the low of the letter (L), and the range of the letter (RNG). 2.5.2

Opening a Market Profile To open a Market Profile® window click Market Profile® on the main toolbar or click File | New | Chart (Setup Wizard) and select Market Profile®.


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2.5.3


Preferences The Market Profile® within MarketDelta® is very flexible and chock full of functionality, much of which is detailed below with screenshots of examples. Access the preferences window by double-clicking inside any chart or by clicking MORE in the info box area. Market Profile Preferences (20 mins)


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Profiles Tab

Show 'X' Days Ending Now - Use this setting to set how many individual profiles you want displayed at once on the screen. Typically this will display 'Now' which means the chart will show current information going back 'X' days. The "Show 'X' Profiles Ending Y Days Back" option allows you to create a Market Profile® chart that looks at 'X' number of sessions 'Y' days back. You may just want to see last weeks profile. This is one example. Tick data must be available for each session in order to create the Market Profile® Chart for that session. Special Duration: Days - When this option is selected, the duration of each profile will be the number of days you choose. For instance, if you choose 5, then each profile will be constructed with 5 days of data. Notice when you check the Special Duration check box the setting "Show X Days Ending" changes to "Show X Profiles Ending". This means if you have "Show 3 Profiles Ending", MarketDelta® will construct three 5-day profiles.


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Special Duration: Minutes - When this option is selected, the duration of each profile will be the number of minutes you choose. For instance, if you choose 30, then each profile will be constructed of 30 minutes of data. This is a way to create mini-profiles and creates an alternative to using SPLITS. Another example for this feature is to set the session override to the 24 hour session for your symbol and then specify in the special duration the number of minutes between the start of the overnight session and the start of the regular trading hours session. This will cause the chart to create an overnight profile and then split out to a new profile when the regular trading hours session starts. Special Duration: Dynamic - When this option is selected, the duration of each profiles is then dynamic based on price action. The user supplies two periods. The first period represents the minimum number of letters that each profile much contain in order to be complete. If the second period is considered X, price must break out of the last X bar in order to form a new profile. For instance, if the periods are 20 and 12, then once the 21st letter begins forming, price is monitored for breakouts of the range formed by the previous 12 letters. If price breaks out of that range during the 21st letter, then the 21st letter breaks away from the profile and begins it's own profile, which again will build for at least 20 letters before looking for breakouts. Special Duration: Variable - This option gets selected when you have a variation of merged, split, and single profiles together on one chart. A popular use of this option it to have a multi-day profile along with just the current session as a single profile. New! Special Duration: Weekly - This will build weekly profiles beginning with the start of each week. New! Special Duration: Monthly - This will build monthly profiles beginning with the start of each month. New! Special Duration: Monthly (daily TPO's) - This will build monthly profiles beginning with the start of each month making each day as a TPO/Letter/Bracket. New! Special Duration: Yearly (daily TPO's) - This will build yearly profiles beginning with the start of each year making each day as a TPO/Letter/Bracket. New! Special Duration: Years (Daily TPOs) - This allows the you to specify the number of years in each profile, as well as number of profiles. New! Special Duration: Months (Daily TPOs) - This allows the user to specify the number of months in each profile, as well as number of profiles. New! Special Duration: Quarterly (Daily TPOs) - This works just like "Monthly" and "Yearly" in that it builds profiles out of each quarter, starting with months 1, 4, 7, 10.


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Session Override- If this is checked you have the ability to show a selected period of time on the chart instead of the default symbol session for the instrument you are viewing. For instance, if you have the ES on the chart and the ES is setup to collect 24 hour data in the Instrument Setup (ALT+A), you may only want to view the RTH (regular trading hours) session. By selecting the correct session override the data displayed on the chart will only be the data for the RTH time frame. Volume Bars / Trade Bars - Volume bars displays a vertical volume histogram that is comprised of the actual volume at each price. It can be seen above as the gray histogram. Trade bars are something many CQG have requested, and this creates a vertical histogram like seen above except it is constructed on the actual number of trades and NOT volume. It shows where more trades occurred. This can be overlayed or displayed off to one side as seen above. Volume Histogram - When checked it displays a volume histogram at the bottom of the Market Profile® chart. Background Color - Changes the background color of the selected chart window. Gradient - Shades the background by blending two selectable colors. The background color menu changes upon selecting the gradient box. Chart Name - Use this area to name your Market Profile® charts.


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2.5.3.2


Letters Tab

Price Range of Each TPO/Letter - This essentially specifies the how you want the price scale to look. You can adjust the symbol display format by clicking ALT+A or set the chart manually by choosing a custom price scale range. Time per Letter - When viewing a multi-day profile you may want to define each letter to be more than 30 minutes. Start with Letter - This option allows you to specify which letter begins each profile. To control the time period being viewed on the chart, set the session override to reflect the session you are interested in viewing. First Letter Time - This option allows you to specify the length of time the first letter will consume. This is used by many bond traders to set the starting letter to 10 minutes because the US Treasury bonds begin trading at 7:20 Chicago time. The remaining 30 minute bars will start/end at the top and bottom of the hour after the first letter. Letter Height - Specifies how tall each letter will be in pixels. Letter Space - Specifies number of pixels between letters. Letter Color - Specifies letter color. Letter colors are detailed in the Letter Color Chapter. Letter Font - Specifies the font used.


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Draw Blocks- This option replaces the letters with square blocks, although you can specify the dimensions and size accordingly. Use this option if viewing longer term profiles and overlays. A short cut to quickly convert letters to blocks is to hold the SHIFT key down on the keyboard and use the scroll wheel on the mouse or UP/DOWN arrows on the keyboard. The profile will quickly rescale back and forth. x 3 - This option basically creates each letter 3 times. How this is used most often it to change the letter time to represent 10 minutes and then check this option. This particular setup would create 3 letters A's, 3 letter B's and so forth. One potential benefit of this is breaking down the profile into smaller units.


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Price Levels Tab

POC - Point of Control - This represents the price/row in which the most letters reside. It is the widest row. This price was achieved in more 30-minute segments of the day than any other price. POC (volume) - Point of Control with respect to actual traded volume - This represents the price that traded the most volume. VA (x%) - This is the value area and traditionally represents 1 standard deviation or 70%. Other percentages can be specified if you so choose. VA (volume) - This is the value area with respect to volume. This technically provides a more accurate value area because each trade is taken into affect.


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Singles- This will draw a line where a run of singles starts. A single is just a portion of a profile that has only a single letter and usually represents and area of fast market activity. Price is NOT in balance in these areas and they are often referenced as points to look at for potential support or resistance. The Singles line will be draw on the letter where the singles area was first started. For instance, the chart to the right indicates two areas where this occurred for the German Bund. The first one is at 117.84. The reason it is there versus 117.85 or 117.86 is because price was traveling up and printed the 117.84 price first. If price had been trending down and created this same series of single prints, then the singles line would have been drawn at 117.86. Single prints can often lead to trend days and are important to be aware of. These single print lines will continue to extend across the chart until they are touched by future price activity. Extend Naked POC Lines - A naked POC is a point of control from a previous session's profile that has not yet traded in subsequent profiles. When this checked, a line will extend our from each days POC until it is traded. The can be used as useful reference points to trade around or look for support/resistance.


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IB - Initial Balance- The initial balance is typically defined as the first two brackets (letters). In this graphic the IB is the dark blue bar. IBx - Initial Balance x % specified - This allows you to specify various percentages greater than 100% that will extend the IB above and below to see further potential support/resistance. The chart to the right has cyan which is 150% of the IB and red which is 200% of the IB. OR - Opening Range - This is defined typically as the first 5 or 10 minutes, but we give you the option to specify it. It is represented as the yellow bar and will always be contained within the range of the IB.


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Value Area Calc. Method- Method A - First, we count the number of TPOs in the profile, and take 70% of that number (70% is configurable by the user). This is the number of TPOs we're looking for in our Value Area. Next, the Point of Control (POC) is determined by finding the price which contains the most TPOs. If there is a tie (two or more prices with same number of TPOs), the price closest to the center of the profile is used as the POC. The number of TPOs in the POC are counted and this number is used as our initial TPO count. At this point the Value Area only comprises the POC and the number of TPOs in the POC. We now inspect the two prices above and below the POC. If the two prices below the POC have more TPOs, those prices are added to the VA. Otherwise, the two prices above the POC are added. We increment our TPO count by the number of TPOs in the prices we just added to the VA. We continue repeating this process, adding two prices at a time, until we have met or exceeded our 70% TPO Count, and completed our VA. The upper price of this Value Area is considered the Value Area High (VAH). The lower price of the VA is considered the Value Area Low (VAL). eSignal Market Profile® charts calculate Value Area in a similar fashion. Method B - First, we count the number of TPOs in the profile, and take 70% of that number (70% is configurable by the user). This is the number of TPOs we're looking for in our Value Area. Next, the Point of Control (POC) is determined by finding the price which contains the most TPOs. If there is a tie (two or more prices with same number of TPOs), the price closest to the center of the profile is used as the POC. The number of TPOs in the POC are counted and this number is used as our initial TPO count. At this point the Value Area only comprises the POC and the number of TPOs in the POC. We now inspect the two prices above and below the POC. If the two prices above the POC have more TPOs, those prices are added to the VA. If the two prices below the POC have more TPOs, those prices are added to the VA. If there is a tie, we add both the two prices above and the two prices below. We increment our TPO count by the number of TPOs in the prices we just added to the VA. We continue repeating this process until we come to the point where adding two prices would exceed our 70% TPO count, at which point we begin adding one price at a time using the same method. Once our 70% TPO count threshold is met or exceeded, our Value Area is complete. The upper price of this Value Area is considered the Value Area High (VAH). The lower price of the VA is considered the Value Area Low (VAL). CQG Market Profile®® charts calculate Value Area in a similar fashion. Highlight Scale w/ VA & POC - This option when selected will shade the current days developing value area on the right price scale. If the "Draw Scale On" option is checked under the Options tab and "Right & Left" is selected, then on the left price scale the previous days value area will be highlighted and on the right price scale the developing value area will be shaded. Within the shaded portion is a price that will be shaded darker. This is the POC (point of control). Hide Labels - This hides the labels that are attached to lines that are extended (see above graphic)


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Thick Vertical Lines Only - This option takes the IB and VA lines and makes them thick and vertical only. It doesn't extend these important reference points to the right horizontally. 2.5.3.4

Reference Lines Tab

Reference Lines - This allows you to place various lines or reference points on the chart. By checking one of the boxes and placing a label and value, one can easily place reference lines on the Market Profile® chart. Another way to quickly add reference lines is to double left click the price on the price scale. For instance, if you wanted to mark the pivot you could by simply typing Pivot for label and inserting the value for the line. Another more advanced option it so place one of the V# variables in the space for the value and label it accordingly. This will allow for a dynamic reference line added to the chart.


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Options Tab


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Split Letters For- This allows for splitting profiles by each letter to more clearly see the range and prices traded of each letter (bracket). The options exist to split the last profile or all profiles. An easier way to control the splits is to right click the profile you want to split and choose it from the popup menu. The same is true to remove splits. Another way is to us the SP button on the toolbar situated on the left of the chart. If you don't see it, hit the TAB button to toggle it on an off. You have the ability to split just the current profile, all profiles, or specify any individual profiles to split. Highlight Developing VA & POC - This will highlight the developing value area and POC. On a traditional profile this may be difficult to see, so it is recommended if you want to utilize this functionality that you change the profile to blue or black letter color and check "Letter Space" under the Letters Tab and set it to 5 pixels.

Draw Gridlines - Toggles on or off gridlines.


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Playback- This feature allows for playing back each days profile to see how it developed. This is a great learning tool for beginning and experienced traders alike. In order to start playback on a specific day it is required that it be the first day of all the profiles showing. This means if you have your chart displaying 5 days of profiles but you want to just replay yesterday, double click the chart and set it to Show 2 days. This will display today and yesterdays data and when you click the play button it will start playing from yesterday's open. The buttons for controlling playback are located on the bottom of the toolbar. If you don't see the toolbar hit the TAB key. More information about all the buttons is located in the next section entitled Shortcuts | Market Profile®. PLEASE NOTE: There is a second, much more robust playback feature under File | Playback. Info Box - Toggles on or off the information box that displays on the left of the profile window. This can also be toggled by right clicking the chart and selecting "Toggle Infobox". Timeline Height - Timeline height adjusts the height of the row at the very bottom of the window. Current Price Highlighter - Toggles on or off the current price highlighter that extends across the entire window. Lock Chart - Locks chart so it won't be affected by multi-linking. Cumulative Profile Left - This draws a cumulative profile on the left side of the chart and is based on TPO's or Volume for the last x number of profiles, current month, etc. "X" can be specified. Cumulative Profile Right - This draws a cumulative profile on the right side of the chart and is based on TPO's or Volume for the last x number of profiles, current month, etc. "X" can be specified. 2.5.4

Letter Colors This chapter shows some of the specialized settings our Market Profile® offers. Letter color options not displayed here should be self explanatory. If you have any questions email or call Technical Support.


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Rainbow - Assigns a different color to each letter, allowing you to better differentiate the various brackets from one another.


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Rainbow Days - This letter color option is evident when multi-day profiles are created. It shades each day a unique color. This allows you to view multi-day profiles and quickly see the ranges and TPO counts at particular levels within the profile.

Market Day - This is a custom letter coloring option we put together for some users. It colors the first two letters/brackets the same color, then progressively groups brackets and shades them the same color helping to break up the day by time groups. It usually groups 2 or 3 brackets into 1 color.


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Delta - This option shade each TPO/Letter according to whether it had a positive or negative delta. For instance, if an individual TPO has more net buying (more trading at the ask price) then it will be shaded Green. If more net selling (more trading when that TPO was the bid price) then it will be shaded Red. The darker the shade larger the absolute delta for that TPO. An alternative way to view this would be to open Footprint® Profile and set it to a 30 minute. It may make this concept more understandable.


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Custom - This letter color option allows you to specify individual letter color. For instance, here I have clicked the letter A and B and set the color to blue. This is important for me because I will use this to show the Initial Balance Area in its own color. Another way would be to shade the profile in 3 or 4 shades showing opening, midday, closing range.


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Open/Close - The screenshot at the right is shown with splits to better see how the open/close letter color is defined. This letter color option shows whether a bracket closed higher or lower. If red then it closed lower. If green then it closed higher. The red letters show the range - it opened on the top red letter and closed on the bottom red letter. The green letters show it opened on the bottom green letter and closed on the top green letter. If it opened and closed at the same price then no green or red shading is used. Another way to think of this is the green or red shaded are is the same as the body of a candle.


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High/Low - This letter color type shades all letters in a bracket either red or green based upon whether it closed higher or lower. If the bracket closed lower then all the letters in that bracket are shaded red. If the bracket closed higher then all the letters in that bracket are shaded green.

Delta Bracket - This letter color type shades all the letters in a bracket either red or green based upon whether or not the delta for that bracket was positive or negative. For instance, in bracket "R" we see dark green letters. This represents a large positive delta for this bracket. Each bracket is shaded light or dark based on the overall absolute delta for that bracket.


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Delta Profile - This creates a profile that is colored based upon whether that particular day had a positive or negative delta. The current day will dynamically shade based on the net delta for the day.

2.6

Custom Programming (RTL) The MarketDelta® Real Time Language (or RTL) is the language used in MarketDelta® to build Scans, Custom Indicators, or Trading Signals. RTL Overview (8 mins) Introduction to Custom Indicators (19 mins) RTL is used to formulate expressions for Scans, Custom Indicators, or Trading Signals, using Data Elements (or Tokens), and Operators. These RTL expressions can be compared to sentences, in which the Data Elements (Tokens) are the nouns, and the operators are the verbs. Below are the five categories of elements, along with special functions and operators, all of which are building blocks of RTL and are used to create RTL expression. Click on the category heading to see a list of the elements in that category, along with a brief description of those elements. These link out to the Knowledge Base on the website. ©2003 - 2009 MarketDelta LLC. All Rights Reserved.

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· Historical Elements - These are elements which relate directly to historical price and volume data. All historical elements can be qualified. · Primitive Elements - These elements only have a current value, and cannot be qualified. · Fundamental Elements - These elements represent measures of performance. All the fundamental elements are transmitted by the Dial/Data historical service. Certain fundamental elements are also transmitted by individual data feeds...check with your data vendor for details. · Technical Indicator Elements - These elements represent predefined technical studies. Most studies have additional parameters that must be specified when the element is added. · Numeric Constants and Flags - These elements are simply tokens which represent constant numbers. They exist to facilitate equation composition. The descriptive tokens are generally easier to remember than the numbers they represent. · Special Functions - There are several special built-in functions that extend the scan language in useful ways by performing arithmetic or statistical calculations. · Operators - Arithmetic, Relational, and Logical · Textual String Elements - Some elements are textual strings and must be compared with quoted strings. Wildcard characters can be used in the text you are comparing. · Option Analysis Elements - Some elements are only relevant for studying options. ** There is a whole section of our Knowledge Base dedicated to RTL, complete with FAQ's and How-To's. Also, each technical indicator has a dedicated page with examples on using RTL (if applicable) at the bottom of each page.


Section

III

Quote Pages

3

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Quote Pages Enter topic text here.

3.1

Delete Symbols TO DELETE JUST ONE SYMBOL AT A TIME - Open a quote page (Click Quote Page | System Quote Page | All Symbols) and right click the symbol you want to delete. A menu will pop up and choose Delete. Alternatively, click the symbol so it is the active instrument highlighted and click the red trash can on the tool quote page toolbar. If you can't see the toolbar, hit CTRL+T to toggle the toolbars or right click and select "Toolbar On/Off". TO DELETE ALL THE SYMBOLS AT ONCE - Open the ".All Symbols" quote page (system quote page), and then click the red trash can button on the quote page toolbar. Click the "+" sign in the upper left corner of the Quote Page and select Show Toolbar. You must make sure that you don't have any specific symbol selected (ie. The cursor is not placed in any specific ticker symbol cell.) To make sure focus is removed from any specific symbol, just click on the "Ticker" column heading (this will cause a sort...but will also remove any specific focus.) If you have a specific symbols selected when clicking the red trash can, then only that symbol will be deleted. NOTE: If you only want to remove certain symbols and not all symbols, either choose the Quote Page that lists the symbols you want to remove and follow the instructions above OR right click on the individual symbols on a Quote Page and select Delete. This will delete the symbol from the Quote Page and remove it from the system permanently. Just clicking a symbol and hitting delete does NOT remove it from the system, but rather just the Quote Page.

3.2

Add Symbols Like much of the functionality within MarketDelta®, there are multiple methods to add or edit symbols. Bloomberg users should see how to do add symbols here. How to add symbols 1. The first would be to click Quote Page on the main toolbar and open any quote page. 2. Click the INSERT key on your keyboard and a new line will appear allowing you to type the symbol in the ticker column. Alternatively right click on any instrument and select Insert | New Row.


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3. After you have added the new instrument right click the instrument and select SETUP from the menu. Input all the instrument variables. These can always be changed later if you are not sure. It is recommended to select the 24 trading session. ANOTHER WAY TO ADD SYMBOLS 1. Another way to add a symbol is to just begin typing the instrument name when on any chart. 2. IF the instrument is not detected in any of your quote pages, a new new symbol window will appear allowing you to type in the new symbol. 3. Once added you will see the symbol in the Select Instrument window and it is recommended you right click the instrument to setup the symbols preferences before proceeding.

3.3

Modify Symbols 1. A second way to add or change a symbol on the Footprint and Market Profile® window is click the ~sym button. This will open the "Select Instrument" window. 2. Choose your symbol or begin typing the symbol of the ticker you want to see. 3. If the symbol is not in the list MarketDelta® will prompt you to add a new instrument. 4. Type in the new symbol and press enter. 5. On the chart press ALT+A to open the Symbol Setup menu. Setup the symbol properties. 6. The symbol setup menu can also be accessed at Quote Page | System Quote Page | All Symbols and right click the instrument you just added.

3.4

Add/Delete Columns To add new columns to a quote page: 1. Right click a current column on a quote page. 2. Choose Add Column and select the field name for the column to be added.


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To delete columns from a quote page: 1. Right click the column to be deleted. 2. Choose Delete column. Other Options As can be seen from the screenshot above, there are other options that allow for further customization of quote pages and columns/rows. See Custom Columns for detailed information.

3.5

Custom Columns Overview Custom Quote Page Columns allow the MarketDelta® user to harness the power of the RTL language to display and test calculated values in quote pages. Any scan, trading signal, or custom indicator can be added to a quote page as a custom column. In addition, any of the built-in quote page columns can be used to define a custom column for color coding and formatting the data according to user preferences. Any technical indicator available for use in the RTL language can be made into a custom column by simply creating a custom indicator containing that sole indicator token. Any number of custom columns may be defined. Once defined and given a name, the custom column can be added to any number of quote pages. Custom columns saved with a quote page will reappear in the same columnar position and width when the quote page is opened, just like built-in columns.


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Each column has a user specified column heading (title). The title may be the same as the name of the column but this is not required. Each column can be assigned a specific display format (e.g. 99, 99.999, 32nds, etc.), and, for custom indicators, scans, and signals, a variety of options are provided to control the frequency of calculation of the formula underlying the column's displayed values. Each column can have a list of "rules" which govern the foreground and background colors used to display the column values. A rule can test for TRUE or FALSE, for example, when a scan or trading signal is used. For custom indicators, rules can test for ranges of numeric values. For each rule, the user can specify colors and optionally, a textual message to be displayed in the quote page cell when the rule is true for that row (instrument) in the quote page. The rules for a custom column can also specify sounds, charts, and schedules that will be triggered whenever a given rule is determined to be true for a row in the quote page. For example, a custom column may be created to display the state of a scan that tests for RSI breaking from below 70 to above 70. The custom column can be setup with a rule that makes a particular sound and opens a chart named "RSI Chart" whenever the scan detects an RSI break above 70. Further, the rule could prescribe a bright red background and yellow lettering to be used to display the message "RSI ALERT" in the quote page cell when the breaks occurs. If the condition is detected on say IBM, then you would first hear the sound and note the bright red message in IBM's quote page row, then the chart named "RSI Chart" would open, showing the chart of the instrument that caused the alert. The chart would typically be setup to show the same RSI indicator used in the custom column plus any other technical indicators of interest. Each custom column that invokes a scan, signal, or custom indicator calculation has its own periodicity. The column's periodicity it used to do the calculations, overriding the periodicity of the scan or signal itself, similar to the way Scan/Signal Markers use the periodicity of the chart in which the markers are created. This makes it possible to have say, 1minute, 5-minute, 30-minute and daily "Stochastics" displayed side by side in a quote page as custom columns. Using similar color coding rules in each column makes a powerful visual indicator when two or more of the columns take on values of interest.


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Custom Column User Interface The Custom Column Setup Window (the setup window) can be opened using Setup: Custom Column, or by using File: New: Custom Column. Once one more custom columns are created and saved, specific custom column setups can be accessed using the Open: Custom Column menu showing the names of all custom columns on file. When a custom column setup is modified and saved by clicking either the OK or Apply button in the setup window, all open quote pages that contain the particular column take on the new definition immediately. Use the Apply button to leave the setup window open so you can observe the visually effect of your changes before dismissing the setup window. If you have a quote page open with one or more custom columns in it, you can access the setup for the custom column by right-clicking on any custom column row in the quote page. The setup window has a menu of all custom columns at the top so once open, you can switch to any other custom column you wish to inspect it or make modifications.


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The setup window is a four tab interface. The "Type" tab is used to define whether the custom column is an override of a built-in data column or a scan/signal/custom indicator. When a scan, signal, or custom indicator is chosen, it's full formula and any comments are shown in the window. Choose the built-in column/scan/signal/custom indicator from the list button provided or operate the ">>" button to cycle through the items in the list. The "Type" tab includes the periodicity to be used when a scan, signal or custom indicator is selected source of the column's data. Convenience buttons are provided for creating or editing scans, signals, or custom indicators. Note that when editing a scan, signal, or custom indicator, saving the object causes all custom columns that reference that scan/signal/custom indicator to be updated to used the revised definition. The "Format" tab provides a simple user interface for specifying the column title to be used in the quote page for this custom column, and the display format and default colors to be used. All cells will have the specified default color scheme unless a rule ("Rules" tab) causes the color coding to be changed. The "Rules" tab is a spreadsheet containing up to nine rules that may be applied to the value of the custom column. The best way to explain the rules spreadsheet is to go step by step through a simple example. Suppose we want to create the rules for a custom column based on a custom indicator with the formula: 100 * (CL - LO)/ (HI - LO) This is, of course, the current bar raw stochastic (RawK). It takes on values from 0 to 100. In our example we will add rules to color code extreme values (over 70 and under 30), leaving those values between 30 and 70 at the default colors. We will add a special rule with a sound and a chart when the stochastic goes over 98. Under the rules spreadsheet is a menu of "operators". The operators can be shown in either English or mathematical symbols only according to your preference. Toggle between the two by checking and un-checking the box to the left of the operator menu. Choose "Is Less than X" and click "Add Rule" to add a rule with that operator. Fill in the value for X in the spreadsheet, in this case 30. Adjust the foreground and background colors for this rule by clicking in the color cells.


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Next choose "Is Greater than X" and click "Add Rule" to add a second rule to the sheet. Set X to 70 in this case and set the colors. Clicking the color cell gives you the "native" Windows "color picker". If you prefer to use the Market Delta standard color picker, ctrl-click (Windows). A shortcut: if you wish to change every cell in a color column to the same color, e.g. black as the foreground color, then shift-click on any cell and when your selection is completed, the chosen color will be set accordingly for all rules. Finally, click "Add Rule" again to add a third ("Is Greater Than") rule specifying X as 98. Choose a distinctive color-coding for this rule and enter the text "NEAR HI" in the text cell for the third rule. To specify a sound for this condition, click in the "Sound" cell for the third row and pick from the presented list of sounds. You can add your own sounds into the sounds directory within the Market Delta directory if you like. Other notes on the Rules tab: If you make a mistake or wish to eliminate a rule click on the row to select it and click the "Delete Rule" button. The "Move Rule" button enables the order of the rows to be arranged by moving the selected row "down one" in the list. When a rule is at the bottom of the list of rules, clicking "Move Rule" moves to back up to the top of the list. Note that every rule is tested and the actions associated with the rule are performed for every rule that tests true. With regard to color and text values, the last true rule's color and text message will appear in the quote page cell. This is why rule arrangement is important. The "Schedule" column in the rules spreadsheet is used just like the "Chart" column. Click on the cell to pick from a list of schedules. When a particular rule is TRUE, the schedule will be run. Once you have specified a sound, chart, or schedule for a rule, if you wish to eliminate it, simply shift-click on the cell to reset it to "none". The "Calculation" tab is only applicable when the custom column is associated with a scan, a signal, or a custom indicator. Because these formulas can be demanding on computer processing resources, options are provided for controlling the frequency of calculation of indicators. Market Delta keeps separate tabs on each instrument in the quote page so it can manage the calculation independently on each row in the quote page. The calculation options should look familiar; they are the same ones used to control the rate of calculation of technical indicators in charts. While "tick by tick" is available, we recommend using every 1, or every 2 seconds instead, especially if the quote page will contain very active instruments like the ES and NQ futures or QQQ.


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When the custom column setup is complete, click OK and you will be prompted to provide a name for the custom column. Provide a descriptive name like "Today's RawK", for example. Adding Custom Columns to a Quote Page Once one or more custom columns have been defined, you can add them to any existing quote page by right clicking (control click on Macintosh) on the column title row of the quote page. Choose "Add Custom Column" from the popup menu. To remove a custom column from any quote page, simply drag the custom column title heading off the title row and drop it into the body of the quote page. Custom Columns that exist in a quote page are saved with the quote page when you click the Save button on the quote page toolbar or use File: Save to save the quote page. Custom columns can be used with either system defined or user-define quote pages. Because system defined quote pages can easily contain hundreds or thousands of ticker symbols we recommend you get familiar with this powerful new feature of Market Delta using user-defined quote pages with a limited number of instrument rows. It is wise to create and test your custom columns using small quote pages until they operate as you intend before putting them in more populous quote pages. Modifying Custom Columns Once you have one or more custom columns operating in a quote page you may wish to make adjustments to the behavior of the custom column. You can edit any custom column using the Open: Custom Column menu. If the quote page is open, right click in any cell of the custom column to open its setup window. You can adjust things like column title, rule colors, etc. and press the Apply button to save the changes and see them reflected in the open quote page(s) that contain the column. In addition, you can entirely change the setup of the custom column if you wish by choosing a different custom indicator, or you can edit the custom indicator itself (using the Edit Cust Ind button in the "Type" tab). When you edit the custom indicator associated with a custom column you can revise the formula and/or revise the setups for technical indicators used in the custom indicator formula. When you then click Save to save your custom indicator setup, the changes are reflected immediately in all open quote page(s) that contain custom column(s) that reference the revised custom indicator. Deleting Custom Columns Custom Columns, just like charts, quote pages, scans, and other MarketDelta® "objects" can be deleted (or renamed) using the Delete/ Rename feature. When you delete a custom column using this facility, Market Delta will automatically remove the column for any open quote pages in which it resides.


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Technical Indicator Custom Columns Custom Columns can be created directly for all RTL technical indicators. Prior to this enhancement it was necessary to create a custom indicator that referenced a technical indicator to accomplish this. In the "Type" tab of the Custom Column setup window, check the "Technical Indicator" radio button. Choose an indicator from the list provided. The preferences for the selected indicator will initially be the default settings (as set in Setup: Preferences: Charts: Technical Indicators). Change the preferences for the indicator by clicking the Setup button. If there are any "presets" defined for the chosen indicator you can change the settings to a preset by clicking the "Use Preset" button. A list of presets for the indicator will appear when you click this button. Candlestick Pattern Custom Columns You can create a custom column that will report whether certain candlestick patterns are true for the instruments in a quote page. Setup the custom column as a "technical indicator" column. Choose "CPR: Candlestick Pattern Recognition" as the indicator. Click Setup and choose one more patterns to test. Setup an "Is True" rule using the "Rules" tab to display TRUE or your own text message when the indicator is true. For example, if you were looking for Doji's, you could create a custom column to test this one pattern and have the custom column display "DOJI" whenever that pattern occurs for the instrument. Each custom column can have its own periodicity, so you can easily create multiple columns looking for candlestick pattern(s) in various periodicities. Quote Pages, Formats, and Custom Columns You can create quote page formats containing one or more "custom columns". Such formats can be created using Setup: Preferences: Formats. Notice that all custom columns are listed in the list of "Available Items" that can be added to any format. All custom columns are listed prefixed with $CC: followed by the name of the custom column to distinguish them from the built-in data columns. If you already have a quote page setup with custom columns and you wish to save that page's list of columns as a format, simply right-click on any column title in the quote page and choose "Save Format…". Macintosh users with a one button mouse use control-click. You will be prompted for a name for the format and the Setup: Preferences: Format window will then show the newly saved format. Right-clicking on any column title in a quote page now offers a change format command in the resulting popup menu. A list of format names appears. You can pick any format name and click Apply or OK to change to the selected format. The Change Format button on the quote page toolbar can also be used for this purpose. ©2003 - 2009 MarketDelta LLC. All Rights Reserved.

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One of the interesting side-benefits of being able to include custom columns in formats is that the resulting format can be used as the output format for any scan's output quote page. For example, if you run a scan that includes RSI criteria, you could specify an output format that includes an RSI custom column that color codes various RSI levels appropriately in the resulting quote page.


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4


Menu Functions This section is specifically structured like the menu options in MarketDelta®. You will be able to quickly navigate the 100+ pages here to find what you want quickly. Some basic, self explanatory menu options were purposely left out because of space and repetition.

4.1

File

4.1.1

File | Revert Revert is in the File Menu and it also appears in the chart popup menu as well as the quote page "+" menu. The Revert command essentially reverts the chart or quote page back to its last saved state. So if you open a chart for example, and change various preferences or add indicators, the Revert command will restore the chart to its original form. For quote pages, any unsaved preference changes, format changes or row/ column modification will be reverted to the last saved definition of the quote page.

4.1.2

File | Duplicate Duplicate will make a copy of whatever window is selected at the time you choose to duplicate. SHORTCUT - right click any window and select DUPLICATE. Name the new window something unique when prompted and it will save accordingly.

4.1.3

File | Save The SAVE command offers many options over and above the traditional command. Here is the menu and associated functions. Save as Text - Quickly copy the entire textual content of a quote page or portfolio to the clipboard. Save to Clipboard - Save as Text to Clipboard displays the clipboard showing the textual content of the front window. At present the "Save: Object Text to Clipboard" function (and the new menu item) only operate on quote page and portfolio windows. The text of the quote page or portfolio cells is placed on the clipboard in "tab-delimited text" format. This means that the clipboard contents can be pasted directly into MS Excel spreadsheets with a Ctrl-V (Paste) command. Save as Excel - Saves the files as a text file with the DDE formula links so that you can quickly import into Excel and manipulate the data. Save Definition - Saves the chart definition. The definition defines how the window is constructed. A use for this would be if you wanted to save a chart definition for sharing or to keep a library of settings for a backup configuration. Save Layout - Saves the layout configuration of your windows. You name the layout and can have multiple layouts. To make a new layout the default layout, click the STARTUP LAYOUT button when saving. ©2003 - 2009 MarketDelta LLC. All Rights Reserved.

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Save Picture- Saves selected window as a .PNG file for emailing, printing, etc. Right click | Share Picture offer similar functionality except it saves the window to www. charthub.com and allows you to share the URL with others or store you screens publicly.

4.1.4

File | Share Picture The "Share Picture" command throughout MarketDelta® is used to publish charts, other images, and chart definitions for instant viewing by other users and interested parties. The Share Picture menu item is in the File Menu and all right click menus. It take a PNG snapshot of the front MarketDelta® window and publishes that image on the web site www.charthub.com. The URL of the published chart is placed on the clipboard so it may be immediately pasted into a chat room or an email message. MarketDelta® also opens your default web browser to that URL. If the Share Picture is not located on the right click menu of a window, click File | Share Picture and it will get posted to the site. The URL of the link where the snapshot is posted is automatically copied to the clipboard for quick pasting into an email or instant messenger window. When sharing for the first time, you have the option to define whether to include the definitions or not, as well as include other information with the windows you post such as name and comments. You may also assign a function key shortcut for "Share Picture" using Setup: Preferences: Keyboard Shortcuts. Share Picture is in the "Save" section along with Save As Picture. The selection function key will operate on the front window.

You have the option to share Chart Definitions when sharing pictures. Chart Definitions are all the settings you had applied to the chart when it was shared. This is a great way to share your settings with other very quickly and eliminate setup time. If you have a group of traders you can instantly share your chart and chart definition with them an quickly have everyone seeing exactly what you were seeing. To retrieve the chart definition from www.charthub.com, go to the chart posted, click the icon and save the chart definition to your computer. Open it in MarketDelta® by clicking File | Import | Chart Definition.


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4.1.5


File | Import With MarketDelta® you can import all sorts of different things, such as the list below. Most of these are intuitive, but a tutorial exists by following this link that explains how to import DATA into MarketDelta®. http://www.marketdelta.com/kb/article. aspx?id=10212&query=import

4.1.6

File | Export Exporting is meant for sending data OUT of MarketDelta®. A definition is defined as all the settings that dictate how an object is displayed. Definitions can be shared with others through exporting. Use the Historical Data function to export Time & Sales into a spreadsheet or other database application.

4.1.7

File | License Activation If you click Register without having copied the emailed registration code to the clipboard (instructions for copying were emailed with the registration code), this popup will appear.

Just click OK and the following registration screen will appear:


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From here you can type the information in or go back to the email and select all (CTRL+A) and then copy (CTRL+C) it to the clipboard. Come back to this registration screen and click Paste Registration. You will know it was accepted if a window similar to this one appears:

4.1.8

File | Reconfigure Use the RECONFIGURE command when changing from one data vendor to another. When switching to a different vendor, MarketDelta® needs to be reconfigured so everything works properly. Follow these simple steps to reconfigure: 1. Contact [email protected] to request an new registration key to replace your current one. This is needed because registration key is vendor and ID specific. 2. Once the new key is received, click File | Reconfigure and choose your new data vendor. 3. Click the reconfigure button and let MarketDelta® do its work. 4. When the new registration screen opens either type or paste in your new registration code.


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4.2

Setup

4.2.1

Preferences The PREFERENCES menu is the largest menu option in MarketDelta®. Many of these won't have descriptions but will have screenshots of the menus. This proves to be helpful because you can view all the menus in one place in a printed manual. Others will have descriptions and links to more information. Shortcut - Any time you have a preferences window and make changes to various settings, clicking CTRL+SHIFT+OK will make those settings the default settings for all future windows of that chart type.


Menu Functions

4.2.1.1

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Charts

4.2.1.1.1 General

You will want to leave most of these settings alone by default. The one setting that many users do change is "Color Histograms and Two Color Lines Based on"... rising/falling values or positive/negative values. This setting affects the way histograms and lines are displayed on traditional charts.

4.2.1.1.2 Traditional Charts

Traditional charts consist of bar, candlestick, line and many more variations. These are detailed under the Core Features section of this manual.


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4.2.1.1.3 Technical Indicators

What is a Preset? - "Setup: Preferences: Technical Indicators" is the place to specify your favorite settings for each of the indicators you utilize. These default preferences can now be setup from any technical indicator preference window as described below. Often it is desirable to have several sets of preferences per indicator, especially with some of the more complex indicators where there may be many useful combinations of settings that are often used. Presets give the user the ability to save multiple sets of preferences for each indicator, each set having a userassigned name. In general, you may create as many presets per indicator as you wish. The preset menu button can be found at the bottom of any Technical Indicator preference window, to the left of the "Help" button. Clicking on the Preset menu button initiates a popup window with several menu items: New - Choosing this menu item will open a window prompting for a name for a new preset. The current settings for the indicator at hand will be saved under this name for future reference. Make Default - Choosing this menu item will save the current settings as the default preferences for the indicator at hand. In essence, it replaces the default preferences with the current preferences shown in the window.


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Load - This menu item is a submenu. It allows the user to replace the displayed preferences in the current window with the settings from a preset. In other words, it will "Load" the chosen preset's settings into the indicator preference window at hand. If you have not yet saved any presets for this indicator, you will see only the choice " Default XYZ" (where XYZ is an identifier for the indicator type).in the popup list. " Default XYZ" will always be the first choice in this submenu. It allows you to reset the current settings back to the default settings for indicator XYZ. Save As - This menu item is also a submenu. It allows the user to quickly replace any existing preset with the settings currently at hand in the indicator setup window. In other words, it saves the visible preferences in the preset chosen from the submenu, thereby replaced the existing preset preferences with new ones (those that are currently visible). Using Presets - Presets can be a big time saver when you have an indicator with many settings and typically use the indicator with various combinations of these settings. Consider Volume Breakdown for example. The Volume Breakdown indicator has many user setup options. A user may have several different ways he/she uses this indicator. It can be very tedious to setup the preferences each time you want to is add the Volume Breakdown to a chart. With Presets, you can setup some preferences once, save them as a preset, and quickly apply these settings to any Volume Breakdown indicator in the future. The Preset Menu button is available in any of the various MarketDelta® technical indicator preferences windows. These include the "Scan" setup window, the "Add Technical Indicator" window for charts, the "Update Technical Indicator" window for charts, and the "Default Technical Indicator Window" accessed via "Setup: Preferences: Technical Indicators". Thus you can setup your presets beforehand or on the fly as you discover new combinations of indicator settings that work well. To save a new Preset, simply set your preferences as you like, then click the "Preset" button at the bottom, and choose "New...". Give the Preset a name when prompted. If you would like to save the current settings as the default settings for that indicator, then choose "Make Default". To reset the preferences to a saved preset, simply click on the Preset button and then select "Load". You will see a list of presets beginning with the "Default" choice. If you choose "Default", your settings will be reset to the default preferences. If you have saved other presets for this indicator, you will see them listed below default. Selecting one of these will reset the preferences to those presets. Using Presets in Chart Buttons - You can add "Buttons" to charts assigning the button a purpose of "Add/Remove Preset Indicator" and any preset name. When you click such a button in a chart, MarketDelta® will add the associated indicator with the preset preferences to the chart (it will remove the indicator if you click the button again).


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Viewing, Editing, Deleting Presets - Click the green trash can (Object Editor) button on the MarketDelta® main toolbar to open the Object Editor window. Choose "Presets" from the Object Type menu and a list of all user-defined presets will appear. Each preset listed consists of an upper case ID that identified the technical indicator type of the preset, a colon, and the user assigned name for the preset. You may view the settings of any preset by double-clicking on it (or select it and click the View button). You may make changes if you like while viewing a preset. This window may also be used to rename or delete presets. If the main toolbar window is not available you can access the View/Rename/Delete using the Control Menu (Control: Data Management: Delete or Rename). 4.2.1.1.4 Custom Profile

Custom Profiles allow for creation of screens to monitor various metrics for quotes pages, such as %Change and others. You can also view custom indicators in this window. Refer to this FAQ for more information on working with Custom Profiles.


Menu Functions

4.2.1.1.5 Day Bar

4.2.1.1.6 Point and Figure

More information: http://portal.knowledgebase.net/article.asp? article=287689&p=12729 Box Size is how you want the price increment displayed.


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4.2.1.1.7 Raw Tick

Raw Tick Info - FAQ with complete information. 4.2.1.1.8 Three Line Break

4.2.1.1.9 Footprint

Footprint charts consist of bid ask, delta, volume, volume with delta color, volume profile, and delta profile variation of the Footprint. These are detailed under the Core Features section of this manual. 4.2.1.1.10 Market Profile

Market Profile® are detailed under the Core Features section of this manual.


Menu Functions

4.2.1.2

Alarm

4.2.1.3

Chart Quote Page


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4.2.1.4

Chart Setup

4.2.1.5

Custom Column


Menu Functions

4.2.1.6

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Custom Indicator

This only will be functional for the Professional version of MarketDelta.

4.2.1.7

Custom Instrument

Use this to create spreads and pairs. Click here for more information on creating spreads. This will link to our Knowledge Base.


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4.2.1.8

Equity or Index Options

4.2.1.9

Futures

4.2.1.10 Futures Options


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4.2.1.11 Setup Instruments

The setup instrument window is used to specify how a symbol will be viewed and data collected. To access this window click ALT+A on any chart. Alternatively, right click a symbol in a quote page and click SETUP. The most important settings are the following:

Display Format - This determines how the price scale will be viewed. Note: if a symbol needs 3 decimal places but doesn't trade in .001, set it to 99.999 on this window and then specify a custom price scale increment for the actual chart. See Chart Preferences | Footprint® for further information. Trading Session - Usually this should be set to 24 hours. This will allow the database to collect and store 24 hour data and then you can use the session override function on each chart to filter the time frame desired. Override Requested Exchange - FOR IB USERS ONLY- if using Interactive Brokers, you must select this for each symbol and specify the appropriate exchange in the drop down box. When complete, click Modify and Close. 4.2.1.12 Pair Setup

This is another way to add spreads and pairs. This is a simpler interface for most basic spreads.


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4.2.1.13 Quote Sifter

4.2.1.14 Scan

Lots of information is available in the Knowledge Base for scans. What are Scans? FAQ How Do I Use Scans? FAQ

4.2.1.15 Schedule

A Schedule is a user-specified list of actions that are to be performed in a prescribed sequence at a prescribed time or times. MarketDelta® allows the user to define any number of schedules and to specify any number of actions for each schedule. A Schedule can be made "inactive". This means that its actions are performed only when the user issues an explicit command to "run the schedule". Alternatively, a schedule can be setup to run periodically or at certain fixed time(s) during the day. Common examples of schedules would be: ©2003 - 2009 MarketDelta LLC. All Rights Reserved.

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Daily Download - download all tick data for your symbol list at end of day. (FAQ) Scans - run a particular scan to search for predefined criteria in search of trading opportunities.

See this FAQ to learn how to setup a schedule. 4.2.1.15.1 Setting Up Schedules

The Schedule Setup Window Below is the Schedule Setup window. This window can be accessed by choosing "File:New:Schedule", or "Setup:Schedules". On the left, you see the list of schedules. As you click on an individual schedule, the action or events associated with that schedule will appear in the list on the right. Each schedule can have as many actions associated with it as you like. The actions will run in the order they appear in the list at the scheduled times. To create a new schedule or action, click on the "New" button beneath the respective list. To edit an existing schedule or action, either double click on the schedule/action, or select the schedule/action and then click the "Edit" button beneath the respective list. To remove a schedule/action, just select the schedule/action and then click on the "Delete" button beneath the respective list.


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When and how often can schedules be run? Periodic schedules run at some periodic interval within the trading hours of a particular trading session. The interval is user-specified as some number of seconds, minutes, or hours. Periodic schedules begin running at a user specified starting time. This starting time can be any valid time within the trading hours of the particular session for the schedule. In other words the first run-time of a schedule can be at the open of the session or any valid time within the session trading hours. Alternatively, schedules can be setup to run at specific time(s) during the day, independent of any particular trading session. One, two, or three fixed times can be specified for each schedule. What kinds of actions can be performed by a schedule? Each schedule can have one or more actions. If more than one action is defined within a schedule, the order of the actions as shown in the Schedule Setup window (see above) is the sequential order that the actions will be performed. An action can be any of the following: 1. Perform a particular database function (backup, verify, compress, etc.). 2. Open or close a particular chart. 3. Open or close a particular quote page. 4. Open or close a particular portfolio. 5. Open or close a particular quick quote. 6. Open a particular layout. 7. Run a particular scan. What kind of messages can be displayed by a schedule? Messages can be any arbitrary text including, if desired, RTL tokens for displaying market data for a particular instrument. For example, a "Show Message" event with user-specified text of... $INDU %CL $CH High=%HI, Low=%LO


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215

....would display a formatted message where the RTL tokens %CL, % CH, %HI and %LO are replaced by the current price, change, high and low of the Dow Jones Industrial average each time the message is displayed. Messages are displayed in the message area of the main toolbar. Optionally, the user can specify that the "Message requires an OK to continue". If this option is chosen, the message text is presented in a dialog box containing both OK and Cancel buttons. If OK is clicked, the schedule continues running the next action in sequence. If Cancel is clicked, the remainder of the schedule is bypassed. Why include a Keyboard Shortcut action in a schedule? The MarketDelta® Keyboard Shortcut facility (see Setup: Preferences: Keyboard Shortcuts) allows the user to assign a meaning to any function key on the keyboard (with or without modifier keys). Keyboard shortcuts can be setup for any button on any toolbar in Market Delta, adding (or removing) specific technical indicators to charts, starting slide shows, etc. Any shortcut can be invoked as an action within a schedule. For example, one can easily create a schedule to run at a certain time each day to perform a scan, open the resulting quote page of instruments identified by the scan, open a particular chart window, and start a slide show automatically on the instruments selected by the scan. How is a schedule defined to MarketDelta®? To create a new schedule, choose Setup: Schedules. The Schedule Setup window will appear showing all schedules on the left. When a particular schedule is selected in the list, the associated actions for that schedule appear in the list on the right. Schedules and actions may be added by clicking the New button, deleted by pressing the Delete button, edited by pressing the Edit button, or run by pressing the "Run Now" button. For actions, there are buttons for moving the selected action to the top, bottom, up one, or down one, in the list of actions for the associated schedule. The actions for a schedule will be run in the top to bottom order shown in the Schedule Setup window. How is a schedule or action made active or inactive?


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Schedules and actions can be made inactive by editing them and check marking the "Inactive" check box in the edit window. To edit a schedule or action, simple select its name in the list and click the Edit button. Double-clicking on a schedule or action name edits the item as well. A shortcut for activating or deactivating a schedule or action is to ctrldouble-click on the schedule name or action name in the list (on Macintosh use option-double-click). Schedules and actions that are "inactive" have their names displayed with an asterisk (*) prefix. When a schedule is active, revising the list of actions for the schedule takes effect the next time the schedule is run. How can I test a schedule? Open the Schedule Setup window, select a schedule (even an inactive one) and click on the "Run Now" button beneath the schedules list. Each active action in the schedule will then be run in sequence. Inactive actions within a schedule are NOT executed when running a schedule. To test an action within a schedule (even an inactive action), select the actions name and click the "Run Now" button beneath the actions list. Days of the week Each active schedule is run at the user-specified interval or at the specific times Monday through Friday by default. If you wish the schedule to run only on specific days of the week, use the checkboxes in the Edit Schedule window to indicate which days to run the schedule. Note that periodic schedules will only run when the associated trading session is open for trading regardless of which days you have checked. Schedules that run at fixed times can run at those times on any or all days of the week if desired. 4.2.1.16 Screen


Menu Functions

4.2.1.17 Signal

4.2.1.18 Signal Action


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4.2.1.19 Trading Order

4.3

Control

4.3.1

Database Wizard

4.3.2

Database Management MarketDelta® utilizes a powerful embedded database management system to record and maintain historical data, user preferences, and definitional data. The database contains many different kinds of records, for example there is a record for each instrument. These in turn are related (linked) to the records containing historical data for the instrument. Similarly, relationships are maintained between instruments and the ©2003 - 2009 MarketDelta LLC. All Rights Reserved.

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quote pages in which they appear, between instruments and trading positions within portfolios, between instruments and news items and trading notes pertaining to the instrument. Preferences and definitions of charts, quote pages, scans, signals, custom indicators, and all other saved objects are kept in the data base. The MarketDelta® database is a collection of 59 files kept within a folder (directory) named data_f inside the MarketDelta® startup directory/folder. Since many the individual files are inter-related, the entire collection of files is backed-up and restored as a whole. MarketDelta® has an automated daily back-up feature and built-in database recovery system that will restore the database back to its most recent back-up if the database is damaged in any way due to a power failure, system error or application failure. The Backup Preferences window allows the user to specify when daily backups are to be made and the location where the backup is kept. The back-up location is by default the backup_f folder (directory) within the data_f folder (directory). The back-up location may be on another hard drive or some other back-up volume if you like. Set the backup preferences for daily backup at some convenient time of day, or if you typically run MarketDelta® all day and exit the software regularly each day, setup the preferences to backup when quitting MarketDelta®. For new MarketDelta® users, during initial setup of MarketDelta®, as instruments, quote pages, charts and portfolios are being defined, it is good practice to periodically issue the Control: Database Utilities: Backup Database command to make a database backup. This assures that all of the setup work up to that point will be protected in the event of a system or application failure. Consider adding a keyboard shortcut that will invoke the Backup Database utility. This can be done easily by creating a "Schedule" (using Setup: Schedule) and assigning a function key, e.g. F2, to the schedule. The schedule will have one "action", i.e. "Backup Database", which is one of the Database Functions you can specify as an action.


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When MarketDelta® starts up, it determines whether the database was closed normally the last time MarketDelta® ended. If so, startup continues normally. If the database was not closed properly, MarketDelta® launches the database maintenance utility application to correct minor errors and verify the integrity of the database. If the database is okay, startup continues normally. If the database is damaged, the user is given the opportunity to restore the database to the most recent backup. The database maintenance utility process can take anywhere from a few seconds to several minutes to complete. The time depends on the speed of the computer and hard disk, the number of instruments tracked, and the amount of historical data on file. Options are provided in Backup Preferences for automating the recovery process. It is strongly recommended that the user enable the option to verify the database before making backups and enable the option to automatically restore the database if errors are encountered. If these options are not enabled, MarketDelta® cannot automatically protect against data loss or loss of the entire database in the event of system or application failure. The reason these protection features are "optional" is to provide flexibility to those users who have exceptionally large databases who wish to take special action in the event of a system or application failure. Daily backup is necessary. Additionally, a weekly or monthly backup to some other media is advised just in case hard drive failure renders both the database and backup unrecoverable. We recommend at least a monthly backup to CD ROM. Again, in the early phases of setting up MarketDelta® or when instruments, charts, quote pages, and portfolios are being defined, it is recommended that the database be backed up even more frequently using the Backup Database menu item in the Control menu, under Database Utilities.


Menu Functions

Download


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This screen is accessible using the Download button on the main toolbar. To download just one symbols data, select "One Instrument". To download a quote page, choose it from the list. VERY IMPORTANT - Periodicity should be set to TICK always if downloading intra day data. The database is structured so that if any other type of intra day data is downloaded, it will overwrite the previous intra day data for the selected instruments and time frame selected. Downloading daily data will not effect your intra day data. So when initially building your database it would be advisable to first download Daily data, then 50 days or so of 1 minute data, then 5 days of tick data. This will complete your database. Object Editor Use the object editor to delete all sorts of various things you created including but not limited to charts, scans & custom indicators.


Menu Functions

4.3.3

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Database Utilities Database Maintenance includes three internal maintenance procedures (that are not listed elsewhere) followed by the Database Verify step. The Database Verify is essentially the last step of the Database Maintenance. Database Maintenance is performed automatically by MarketDelta® at startup if the software was not shut down properly, e.g. power failure or end-task (force quit). There is usually no need to run this manually, but if Database Verify reports errors, it is a good idea to run Database Maintenance from the Control menu since it can correct minor database errors thereby avoiding the need to restore a database to the most recent backup. We recommend that the Database Verify be performed before all backups. Set these options in Setup: Preferences: Backup. Compression is not strictly necessary. These utilities simply compact the historical data to keep the size of the data files at a minimum. The Verify Historical Data is a utility function that fixes out of time-sequence historical data. It's a good idea to run this every day after the close or before the open or just once a week, but it's not strictly required. You can schedule this utility to run daily or once a week using a schedule. See Setup: Schedules. There are two "historical database" files managed by MarketDelta®, the Daily/Weekly/ Monthly database file (hist.d01) and the intra day historical database file (tick.d01). The Initialize Historical Database command initializes (empties) them both, i.e. it performs an Initialize D/W/M Database and an Initialize Intra day Database. Sometimes a database can become "damaged" in a limited way, e.g. an error or errors in the intra day database, or in the daily/weekly/monthly database. The initialize command will clear away all historical data on file, wipe the slate clean so to speak, thereby correcting the database errors so that the database will now verify successfully. Of course, all historical data must be reacquired if you do this, but the benefit is that the rest of the database with all of your instrument setups, charts, quote pages, scans, signals, trading systems, etc. remains intact. There have been instances when an MarketDelta® user discovered a damaged database and had no valid backup. In such a situation, if the errors are limited to the historical section of the database as they often are, the initialization utilities can reestablish database integrity while retaining everything except the historical data which can be reacquired via downloading.


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The Restore Database command is there as a last resort. If there are errors in the database first try to eliminate them by running the Database Maintenance. If errors persist, then typically a Database Restore is required to regain database integrity. After using the Restore Database command we recommend performing a Database Verify immediately just to be sure the database is now okay. If so, quitting MarketDelta® and starting up again is recommended but not strictly required. As described above, if database errors persist even after a restore (an event that theoretically should never happen), the initialization utilities may enable you to recover integrity. Of course, it's always a good idea to have at least two verified database backups, at the very least a weekly or monthly CD/DVD, NAS, or backup hard drive to return to as a last resort in case the database becomes damaged beyond repair. 4.3.4

System Status For support reasons MarketDelta® Support my request that you send them this information. It can be copy/pasted into an email and send to support@marketdelta. com.

4.4

Window

4.4.1

Overview The Window menu option provides all the standard Microsoft Windows functionality that you are used to. We will only provide information here this is more specific to MarketDelta® or offers functionality that is unique to MarketDelta®.

4.4.2

Toolbars

4.4.2.1

Layout Toolbar

The layout toolbar is accessible from the Window menu in MarketDelta® (Window-->Toolbars-->Layout Toolbar), or you can right-click inside the message area of the main toolbar and choose Layout Toolbar from the ensuing pop up menu. If the layout toolbar is open when you quit MarketDelta®, it will reappear in the same position the next time you open MarketDelta®. If you close the layout toolbar you can reopen it again from the Window menu or via the main toolbar pop up menu. The layout toolbar presents a series of tabs, each tab representing one of your layouts. Each tab will have a user-specified colored icon for the layout. To switch from one layout to another you simply click the tab for the layout you want. Normally the layout toolbar will be a thin strip showing 2 toggle button followed by the series of layout tabs. The first of these two buttons is used to expanded and contract the size of the toolbar to show/hide the settings for the activate layout. When you click the "New" tab, the toolbar automatically springs open so you can specify the name, color, and settings for the new layout you are creating.


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225

Each layout has several settings that control the appearance of the tabs in the toolbar itself and also specify how the windows of the layout are to be managed when you switch to a different layout. Each layout has a full layout name and a short name that will appear in the tab for the layout. The color setting of the layout controls the color of the icon that appears alongside the short name in the tab. The color coded tabs are designed to enable you to quickly locate the tab you want by color, especially useful when the layout toolbar has many tabs. The layout toolbar can be expanded horizontally to enable more tabs to be displayed at one time. If the number of tabs that can be displayed is less than the actual number of layouts, scrolling arrows will appears for shifting the right most tabs into view. Window management rules for each layout control when the windows of the layout are originally opened, at startup or on demand when the layout becomes the activate layout by clicking on its tab. If a layout calls for opening the windows at startup, but the layout is not the active layout, the windows will be opened but hidden from view. This makes them instantly available when you later activate the layout; MarketDelta® simply makes them visible with no delays opening and recomputing the window content. When the active layout becomes inactive (because some other layout's tab is clicked upon), the next option controls what happens to the windows of the layout, they can either remain open but hidden from view, or you may elect to close them. Closing the windows means it will take longer to activate the layout again later if you return to it; hiding the windows makes later activation of the layout instantaneous. The third window management option controls whether these hidden windows will be kept up to date while hidden or whether the windows will be idled. At present all windows are kept up to date while hidden. The option to idle the windows will be made available in a future release.


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Prior versions of MarketDelta® used two specially named layouts. If you created a layout named "Startup Layout", this layout would automatically be the layout of windows that would appear each time you started the application. If you have a Startup Layout, Version 9.2 will treat it just as any other layout. It will be your "Active Layout" when you start up the first time under Version 9.2. Its tab will have the short name "Start". When you quit MarketDelta®, the name of the layout that is selected at the time is noted and that layout will be opened as the initial layout the next time you start the application. The "Startup Layout" no longer has any special meaning at startup. Prior to version 9.2 the set of windows open at the time MarketDelta® quits was always saved as the "Last Session Layout". If there was no "Startup Layout" then the Last Session Layout would be opened at startup. When you upgrade to 9.2 your Last Session Layout (assuming there is no Startup Layout) will become the active layout in the layout toolbar at startup. It will have the short name "Last". The final window management option is a check box that specifies whether you wish to automatically save the layout when you quit or switch to another layout. Say your have an active layout named X with three window and you have check marked the "Automatically Save..." check box for this layout. If you revise the size and position of windows or if you open or close individual windows while layout X is active, if you then quit MarketDelta® or if you click another tab to switch to a different layout, all of these revisions will be saved automatically; when you return to this layout it will appear exactly as it looked that last time it was the active layout. Leaving the "Automatically Save..." check unchecked means that your layouts are saved only when you explicitly click on the Save Layout button in the Layout Toolbar. If you quit MarketDelta® and the active layout does NOT call for automatic saving of the layout, the currently open windows are saved as the "Last Session Layout". When MarketDelta® starts back up again, layout X will still be the active layout, but the Last Session Layout will be available as well, showing you the state of the windows when you last quit the application. There is no need to save the Last Session Layout when the active layout calls for automatic saving since the active layout will retain any revisions made to the collection of windows open when MarketDelta® quits. To delete a layout you can click on its tab then expanding the toolbar to reveal the Delete Layout button. Click Delete Layout and the tab will disappear. The windows of the deleted layout will remain open and the "New" tab will become the selected tab. You could then save all or some of the windows under a different name for example. You can also delete a layout using the Object Editor (Open-->Object Editor) without opening the windows of the layout. The tab for the layout will disappear when you perform layout deletions using the object editor. ©2003 - 2009 MarketDelta LLC. All Rights Reserved.

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Click on a tab to make it the active layout. Shift-click on a tab to make it the active layout and also expand the layout toolbar to reveal all of the layout's settings. Ctrl-click on a tab to make it the active layout and hide the setting, making the toolbar into a strip of tabs again. You will notice that when the toolbar is condensed the color code of the active tab appears as a long strip of color across the entire width of the thin toolbar. By assigning a unique color to each of your tabs, this color strip provide more visual feedback of the layout that is presently the active layout. When the layout toolbar is expanded to show the settings, you will see an array of convenience buttons at the left side of the window. These button provide quick access to all our charts, quotepages, portfolios, quick quote, and Market Profile® chart windows for augmenting the activate layout. There is even an Open Layout button which opens all the windows of any layout on top of the current active layout. For example, suppose you have layout A with 3 charts and layout B with 5 charts and you wish to create a new layout with all 8 charts open at once. Click the "New" tab; the toolbar will expand automatically; no windows will be visible; click the Open Layout button and pick Layout A; click again to open layout B; make any adjustments you wish to the windows or the settings, and click Save Layout. At the bottom of the layout toolbar setting, there is a place to specify a function key shortcut for the layout. This convenience feature is not yet implemented; however, you can easily setup a keyboard shortcut for activating any layout using Setup-->Preferences-->Keyboard Shortcuts.


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4.4.2.2


Chart Toolbar


Section

V

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5


Technical Indicators The online Knowledge Base contains many answers not contained here on how to work with technical indicators.

5.1

Adding Indicators How to add a technical indicator to a Footprint chart. This is the same procedure used for adding indicators to any chart in MarketDelta®. (4 minutes) There are 3 methods you can use to add a technical indicator to a chart. 1. The top right button on the chart toolbar will bring up the "Add Indicator" (seen below). If the toolbar is not showing right click the chart and choose "Show Toolbar" from the menu. 2. Press the INSERT key on the key board to open the "Add Indicator" window (seen below). 3. Right click the chart, choose Add/Delete/Edit and then choose "Add Technical Indicator". The window below will appear.


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231

4.Next, choose which indicator you want to add, customize it settings, and click Add+Close to add the indicator and close the window. To continue adding other indicators just click "Add" and then choose another indicator and choose "Add" or "Add+Close". All the drawing style indicators (trend lines, reference lines, etc) can be called upon by right-clicking in the chart and choosing "Draw" from the popup menu or by clicking the associated button on the chart toolbar button. To display the chart toolbar right click chart | Show toolbar.

5.2

Modifying Indicators The key to adjusting technical indicators is first being able to select the indicator in the chart. There are two ways to accomplish this. 1. You may select the indicator by either double left clicking on it with the mouse 2. Or by using the "tab" key on your keyboard. The keyboard method is a good option when either you find it difficult to select the indicator with the mouse, you prefer not to use the mouse when not necessary, or the indicator isn't currently visible in the chart window. Other methods include: 1. Single left click the indicator then press the "Enter" key on your keyboard. The Update window will appear. You can edit any associated properties and hit Apply or OK. The apply option gives you the ability to apply changes repeatedly without closing the window. 2. And finally, you can access the Update window by clicking on the "Edit a chart element" button

in the chart toolbar.

To select your indicator with the mouse, simply click somewhere on the indicator itself. The indicator should inflate slightly to indicate that it is selected. If you find it difficult to select the indicator by clicking, or you do not see your indicator in the window, use the tab key method above.

5.3

Removing Indicators There are two ways to remove a technical indicator from a chart window. 1. The easiest way is to select the indicator, using one of the methods described here, and then hit the "delete" key on your keyboard.


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2. Alternatively, you can click on the green trashcan icon on the charting toolbar, select the element you would like to delete, and then click "OK". 3. Right click chart | Add/delete/edit | Delete | All Indicators except buttons. (Note: choosing all indicators will delete buttons.) 4. To delete drawing tools Right click the chart | Add/delete/edit | Delete | All Drawing Tools. If you would like to delete multiple elements from the chart, you can select the element in the list, click the "Apply" button, and then repeat the process. The list will not appear to change until re-opening it. The indicators are immediately removed from the chart upon hitting apply. Also, clicking the "X" in the upper left hand corner of the chart window pane removes that window pane. Clicking that "X" in the main window pane, will remove all technical indicators from that pane and leave the instrument data in the pane.

5.4

Technical Indicator List We make every effort to be sure the indicators operate and calculate in the standard conventions accepted by traders. The 4 most popular technical indicators that are unique to MarketDelta® are: Footprint Bar Statistics (FPBS) Footprint Price Statistices (FPPS) Volume Breakdown Indicator (VB) Volume Price Statistics (VPS) Profile Indicator (PROF) Of course MarketDelta® has all the traditional technical indicators you have come to expect to be available and they can be found in the list. The most up to date place for a complete listing of technical indicators available can be found in our Knowledge Base.

5.4.1

Accumulation/Distribution The Formula SUM {[((CL - LO)-(HI - CL))/(HI - LO)] * VOL / DIVISOR} The Chart



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The blue line above, in the lower window pane of the chart, represents the Accumulation/Distribution Line based on Daily data for GOOG. The Preferences


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· Volume Divisor (DIVISOR)- This divisor is used to keep the values of the technical indicator in a reasonable range for chart scaling purposes. The volume will be divided by this number before being used in the formula. If you would prefer not to use a divisor, simply enter a "1". · Line Color - This control allows you to choose the color and thickness of the line that represents the technical indicator in the chart. The Description Accumulation/Distribution is a momentum indicator which takes into account changes in price and volume together. The idea is that a change in price coupled with an increase in volume may help to confirm market momentum in the direction of the price move.



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Note the similarity of this formula to that of the stochastic; this is basically a stochastic multiplied by volume. This means that if the security closes near its high, the volume multiplier will have a greater effect than if the security closes nearer to its low. If the Accumulation/Distribution indicator is moving up the buyers are driving the price move and the security is being accumulated. A decreasing A/D value implies that the sellers are driving the market and the security is being distributed. If divergence occurs between the Accumulation/Distribution indicator and the price of the security a change in price direction is probable. 5.4.2

ADX (Average Directional Movement) The Formula ADXi = [(ADX(i-1) * (n - 1)) + DXi] / n where n = Smoothing Period DX = [ 100 * ABS( (+DI) - (-DI) ) ] / ( (+DI) + (-DI) ) The Chart


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Above is a Daily Chart of Google (GOOG). The middle pane contains the ADX line (in blue) and the +DI (green) and -DI (red) lines. The Preferences

· DX Period - Period used in computing the DX, and it's component +DI, and -DI values. · Smoothing Period - Used to apply a Welles Wilder Smoothing to the DX, which results in the ADX value. · Line Color - Color and style of the ADX line in the chart The Description Average Directional Movement is a momentum indicator developed by J. Welles Wilder. The ADX attempts to measure the extent to which a market is trending. This indicator measures the strength of the trend, regardless of direction; the higher the value, the stronger the trend.



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The ADX can be used in conjunction with the Direction Indicator (+DI, DI) to produce an complete trading system. This system consist of three rules: the Crossover Rule, the Extreme Point Rule, and the Turning Point Rule. The Crossover Rule The Crossover Rule states to establish a long position whenever +DI crosses above -DI, and to establish a short position whenever -DI crosses above +DI. In RTL, the bullish crossover would be accomplished with the following scans... DIPLUS > DIMINUS AND DIPLUS.1 <= DIMINUS.1 ...while the bearish crossover would be accomplished with this scan... DIMINUS > DIPLUS AND DIMINUS.1 <= DIPLUS.1 The Extreme Point Rule Identify a trigger point at the extreme price on the bar the lines cross. If it's a bullish crossing (+DI cross above -DI), you would wait for the price to rise above this extreme price (the high price on the day the lines crossed) on a subsequent bar. If it's a bearish crossing (+DI crosses below -DI), the extreme point is defined as the low price on the bar the lines cross. You would then wait for price to break below this extreme price on a subsequent bar before entering into a short position. The Turning Point Rule The Turning Point rule first requires the ADX to be above both the DI lines (+DI and -DI). When the ADX turns lower while in this area, the market often reverses the current trend. This is a warning signal that the market is about to change direction. This condition can be discovered with a scan using the following syntax... ADX > DIPLUS AND ADX > DIMINUS AND ADX < ADX.1 AND ADX.1 >= ADX.2 According to the developer of this system, you should stop using any trend following system when the ADX is below both DI lines, as no discernable trend exists. RTL Tokens ADX can be accessed in the RTL language using the token ADX. Keyboard Adjustment


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The DX Period and the Smoothing Period both can be adjusted directly from they keyboard without opening up the preference window. First, select the indicator, then use the up and down arrow keys to adjust the DX Period up or down by 1. To adjust the Smoothing Period, hold down the shift-key while hitting the up and down arrows on your keyboard. For more information on technical indicator adjustment, click here. 5.4.3

ADXR (Directional Movement Rating) The Formula ADXRi = (ADXi + ADX(i - n)) / 2 where n = ADXR Interval The Chart



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Above is a Daily Chart of Google (GOOG). The middle pane shows the ADXR line in black, along with the ADX line in blue. In the lower pane, the directional indicator has the DI+ line in green and the DI- line in red. The Preferences

· DX Period - Period used in computing the DX · ADXR Interval - Used to average current ADX value with ADX value n periods back to get the ADXR · Smoothing Period - Used to apply a Welles Wilder Smoothing to the DX, which results in the ADX value · Line Color - Color of the ADXR line in the chart The Description


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Average Directional Movement Rating quantifies momentum change in the ADX. It is calculated by adding two values of ADX (the current value and a value n periods back), then dividing by two. This additional smoothing makes the ADXR slightly less responsive than ADX. The interpretation is the same as the ADX; the higher the value, the stronger the trend. The ADXR, being a smoothed version of ADX, and can be used similarly to the ADX in the three rule system discussed on the ADX section. The ADXR is a measure of the spread between the Directional Indicators (+DI and -DI). When the ADXR is declining, it's not advised to use a trend following system. However, a rising ADXR signals that the dominant trend is likely to continue. A rising ADXR, with both the ADXR and DI+ above the D- indicates a strengthening bullish market. The scan syntax needed to represent this condition would be... ADXR > DIMINUS AND DIPLUS > DIMINUS AND ADXR > ADXR.1 A rising ADXR, with both the ADXR and DI- above DI+ indicates a strengthening bearish trend. The scan syntax needed to represent this condition would be... ADXR > DIPLUS AND DIMINUS > DIPLUS AND ADXR > ADXR.1 If the ADXR has been below both DI+ and DI- but has begun to rise a new market trend is emerging. The scan syntax needed to represent this condition would be... ADXR < DIPLUS AND ADXR < DIMINUS AND ADXR > ADXR.1 RTL Tokens ADXR can be accessed in the RTL language using the token ADXR. Keyboard Adjustment The DX Period, the Smoothing Period, and the ADXR Period all can be adjusted directly from they keyboard without opening up the preference window. First, select the indicator, then use the up and down arrow keys to adjust the DX Period up or down by one. To adjust the Smoothing Period, hold down the ctrl-key while hitting the up and down arrows on your keyboard. To adjust the ADXR Period, hold down the shift-key while hitting the up and down arrows on your keyboard.



5.4.4

241

Andrew's Pitchfork The Formula N/A The Chart

Above is a Daily Chart of Google (GOOG). Andrew's pitchfork is drawn from a significant high, and intersects a line connecting a following significant high and low. The pitchfork is drawn using the preferences below. The Preferences


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· Handle - Starting Date/Time, color, width, and style of the handle of the fork. · High Fork - Starting Date/Time, color, width, and style of the higher fork tine. · Low Fork - Starting Date/Time, color, width, and style of the higher fork tine. · Draw Additional Tines - This option allows the drawing of multiple additional tines. · Tine Multiple(s) - Each multiple represents a multiple of the distance from the base trendline to the standard tines. By definition, the standard tines will be drawn at a multiple of 1. If you would like to add two additional tines on each side, equally spaced, then you would specify "2, 3" as the tine multiples. The multiples can be separated by a comma or a space and they may be whole or decimal numbers. · Schiff - Schiff Pitchfork are very similar to Andrew's Pitchforks in every way except the placement of the handle (see description below). ©2003 - 2009 MarketDelta LLC. All Rights Reserved.


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· Modified Schiff - Modified Schiff Pitchfork are very similar to Andrew's Pitchforks in every way except the placement of the handle (see description below). · Hide Andrew's - Option to hide the Andrew's Pitchfork when showing the Schiff or Modified Schiff Pitchforks. The Description Andrews' Pitchfork is a line study consisting of three parallel trendlines based on three user selected points in time. This tool was developed by Dr. Alan Andrews. This upper and lower tines of the pitchfork provide support and resistance levels. The first trendline begins at the left-most point selected (either a major peak or trough) and is drawn so it passes directly between the two right-most points. This line is the "handle" of the pitchfork. The second and third trendlines are then drawn beginning at the two right-most points (a major peak and a major trough) and are drawn parallel to the first line. These lines are the "tines" of the pitchfork. Additional tines may be added to the Pitchfork by checking the "Draw Additional Tines" checkbox and by specifying the multiple(s) in the "Tine Multiple(s)" checkbox. Each multiple represents a multiple of the distance from the base trendline to the standard tines. By definition, the standard tines will be drawn at a multiple of 1. If you would like to add two additional tines on each side, equally spaced, then you would specify "2, 3" as the tine multiples. The multiples can be separated by a comma or a space and they may be whole or decimal numbers. Andrew's Pitchfork can be quickly added to a chart by first clicking on the Pitchfork button (blue box above) in the charting toolbar. Then, click three times in the chart, first on the bar on which the pitchfork handle should begin, second, on the bar where the high tine should begin, and third on the bar where the low tine should begin. Any of these three points on the pitchfork may then be adjusted by simply clicking on the point, and then clicking on the bar to which you would like that point moved. Schiff Pitchfork are very similar to Andrew's Pitchforks in every way except the placement of the handle. The Schiff pitchfork moves the handle instead to the midpoint between the handle (point A) and the base of the tine furthest removed from point A (point B). The Schiff pitchfork can be seen below in blue. Notice A-B is drawn as a dotted line.


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The Modified Schiff Pitchfork similarly adjust it's handle, keeping the same horizontal (datetime) position as the original Andrew's Pitchfork handle (point A in chart above), but adjust the vertical position to half the vertical distance between points A and B. This example shows both the Modified Schiff and Andrew's Pitchfork on the same chart.



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Keyboard Adjustment The keyboard can be used to move the Pitchfork points to the right and left. First, click on the chart. Then hit the tab key repeatedly until you notice your Andrew's Pitchfork is selected. Then, press the right or left arrow keys on your keyboard to move beginning handle point to the right and left one bar at a time. If you would like to move the base of the first tine, then hold down the Shift key while pressing the right or left arrow keys. If you would like to move the base of the second tine, then hold down the Ctrl key while pressing the right or left arrow keys. 5.4.5

Annotation The Formula N/A The Chart


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Above is a 5 Minute Candlestick Chart of Google (GOOG). The Annotation is seen with a white background and purple text as seen in the preferences below. The Preferences



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· Text - Text to be displayed in the Annotation. You can include RTL Tokens in your text, prefixed with percent signs (%), such as: % TICKER: High: %HI, Low: %LO, and that dynamic data will be show in your Annotation. · Font - Font size and type used for the annotation. · Last - Show the last price in the annotation. · Bid - Show the bid price in the annotation. · Ask - Show the ask price in the annotation. · Change - Show the change in the annotation. · User Data - User data is an editable text column which each symbol contains. It can be added as a column to a quotepage and edited directly, or modified from the setup instruments window. · Draw Border - Check this box if you would like a border drawn around the annotation box, in the same color as the text.


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· Draw Background - If this option is checked, a background will be drawn in the background color specified, otherwise, the annotation background will be transparent, so bars and indicators can be seen through the annotation. · Attach to bar - Check this box if you want your annotation tagged to a specific date and time. If this box is unchecked, the annotation will be fixed in relation to the left side of the window, instead of fixed with relation to time. · Draw Marker - Draw a marker on the bar for which the annotation is associated. · Text/Border - Color of the annotation text and border (if applicable). · Background - Color of the background rectangle for the annotation. (if applicable). The Description The annotation tool allows the user to place text notes or markers directly on the chart. The chart toolbar has a button with letter "A" for annotation. Click the annotation tool button and the cursor changes to a pencil. Move the mouse to the spot in the chart where you wish to place a textual annotation. Click the mouse and a text entry box will appear. Type in the text and press return. The new Text tool creates an "Annotation" indicator. The annotation indicator has been a part of MarketDelta® for a long time but adding annotations has never been this easy. Like the trend line drawing tool, the text tool is "turned off" when you complete the mouse click. Hold down the shift key when you click to add an annotation if you want the tool to remain selected for placing another annotation box. Once you have placed an annotation in the chart window, if you want to revise the text then right + click (Mac users command + click) on the text. A dialog will appear showing the settings for the Annotation. Revise the text and/or any of the settings in the dialog. Note that the annotation indicator has been improved to allow the user to choose a marker to appear along with the textual commentary.



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There are two types of chart annotations-those that are associated with a specific date/time and those that are time-independent. In the annotation settings there is a checkbox titled "Attach to bar". When this box is unchecked, the text is fixed in the window. You can drag and drop the annotation to another location, but the text does not move as you change periodicities or scroll the horizontal viewing period scrollbar. If you drag and drop an annotation that is attached to a bar, the annotation will become associated with the bars date/time where you dropped it in the chart window. After completing a drag and drop of an annotation a message in the main toolbar message area will tell you the new date/time of the textual annotation. Use Setup: Preferences: Charting: Technical Indicators: Annotation to adjust the default settings for adding new annotations via the text tool. If you want your annotations to be fixed within the window rather than pinned to a particular date/time, be sure to mark the checkbox cited above. To adjust an existing annotation in a chart, simply right-click on it to access its properties. Then check the box titled Last, Bid, Ask, or Change if you wish these quoted prices to be appended to the text (you can leave the text blank if you like). The quoted prices are updated as trades occur. If the "Text is not date/time specific" checkbox is unchecked, the annotation will be pegged to the date specified, that is, the note will move as the horizontal scroll bar is used to scroll the chart. If this box is check, the note behaves like a "sticky" note, that is, it does not move as the time axis changes. Change the font and text color if desired using the color box and the font box. Select a time to which your note pertains. To enable more powerful diagnostic messaging during backtesting, the Annotation indicator (from MarketDelta's charting system) has been added to the RTL language. The token is NOTE. The NOTE token is simply a way to output instrument specific values to the backtesting detail report. Typically, the NOTE token ( considered a "logical" token not an arithmetic one) could be added to an existing rule's signal, e.g. NOTE and MACD.1 < 0 and MACD > 0 Or, the NOTE can be isolated into a NONE or TEST rule as simply: NOTE = TRUE


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The NOTE token always evaluated as TRUE. The NOTE token, like any other technical token can be qualified, e.g. a TEST rule may look like: NOTE.1 and NOTE.2 and NOTE.0 The NOTE can be setup as a string of text plus instrument specific RTL tokens preceded by the % percent sign. For example, the NOTE text of: %TICKER at %CL, HI=%HI LO=%LO displays messages like the following in the backtesting detail report: IBM at 104.50, HI=105.75 LO=104.00 When you qualify a NOTE, e.g. NOTE.1, the values displayed will be for the preceding bar. This applies to historical tokens like %OP, %HI, % LO, %CL, %VO, %OI. It does not apply to V# variables. A NOTE text that contains "%V#1" for example will display the current value of V#1 for the instrument regardless of the qualifier. Using the NOTE tokens inside signals that are used to form TEST or NONE action rules provides the user with a powerful diagnostic capability to see step-by-step for each bar why the trading system is performing the way it is.

5.4.6

Arms Ease of Movement The Formula EMV = [(HI + LO)/2 - (HI.1 - LO.1)/2] / [VOL/(HI - LO)] where VOLADJ = VOLUME / VOLDIVISOR The Chart



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Above is a Daily Chart of Google (GOOG). The blue line in the lower window pane represents the Arms Ease of Movement, as specified in the preferences below. The Preferences


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· MA Type - Smoothing type, smoothing is applied the the EMV vales, if you prefer no smoothing, the place a 1 in the Period. · Period - Smoothing Period. · Volume Divisor - This divisor is used to bring the volume down to a more reasonable number in the above calculation of the EMV. · Line Color - Color of the EMV line in the chart. The Description The Arms' Ease of Movement Value (EMV) is a momentum indicator developed by Richard W. Arms, Jr. The indicator takes into account both volume and price changes to quantify the ease (or difficulty) of price movements. The calculation is as follows: EMV = (HI + LO)/2 - (HI1 - LO1)/2 all divided by VOL/(HI-LO) ©2003 - 2009 MarketDelta LLC. All Rights Reserved.


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HI, LO, VOL are the high, low, and volume for the current period HI1 and LO1 are the high and low for the previous period The volume is scaled by dividing by a constant divisor, usually 10000. This divisor may be varied by the user in the Arms EMV setup. If the EMV line appears flat, try increasing the divisor by a factor of 10 or 100. The Arms EMV values for each period are then smoothed with a moving average. The period and type of moving average smoothing are user specified in the Arms setup window. The smoothed Arms EMV line oscillates around zero. The decision rule is to buy when EMV goes positive and sell when it goes negative. This indicator is seldom used by itself, but as a confirming indicator in concert with other signals. 5.4.7

Aroon Indicator The Formula AroonUp = 100 * (Period - PeriodHigh) / Period where PeriodHigh = Number of bars since highest high of the Period AroonDown = 100 * (Period - PeriodLow) / Period where PeriodLow = Number of bars since lowest low of the Period AroonOscillator = AroonUp - AroonDown The Chart


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Above is a Daily Candlestick Chart of Google (GOOG) . The 2nd pane shows the AroonUp (green) and AroonDown (red) lines. The 3rd pane shows the Aroon Oscillator. The Preferences



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· Price - Price used as input for the calculations (Close, (High+ Low)/2, etc.). · Aroon Period - Period used to calculate the AroonUp and AroonDown values. · Oscillator - If this checkbox is checked, the Aroon Oscillator will be drawn, otherwise, the AroonUp and AroonDown lines will both be drawn. The Description The Aroon indicator was developed by Tushar Chande in 1995. Aroon is used to measure the presence and strength of trends.


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Aroon can be drawn either as two lines, the AroonUp and AroonDown, or an Aroon Oscillator representing the difference between the AroonUp and the AroonDown lines. The AroonUp and AroonDown lines oscillate between 0 and 100, while the Aroon Oscillator oscillates between -100 and +100. AroonUp for a given time period is calculated by determining how much time (on a percentage basis) elapsed between the start of the time period and the point at which the highest closing price during that time period occurred. AroonUp will be 100 when the instrument is setting new highs for the period. Conversely, AroonUp will be 0 if the instrument has continually dropped throughout the period. AroonDown is calculated in a similar manner, expect looking for lows as opposed to highs. Chande states that when AroonUp and AroonDown are moving lower in close proximity, it signals a consolidation phase is under way and no strong trend is evident. When AroonUp dips below 50, it indicates that the current trend has lost its upwards momentum. Similarly, when AroonDown dips below 50, the current downtrend has lost its momentum. Values above 70 indicate a strong trend in the same direction as the Aroon (up or down) is under way. Values below 30 indicate that a strong trend in the opposite direction is underway. The Aroon Oscillator signals an upward trend is underway when it is above zero and a downward trend is underway when it falls below zero. The farther away the oscillator is from the zero line, the stronger the trend. 5.4.8

Automatic Trendlines The Formula UpTrend Line: connects the lowest low in the user specified period with the next lowest low preceding without penetrating any of the other bars in the period. DownTrend Line: connects the highest high in the user specified period with the next highest high preceding without penetrating any of the other bars in the period. Classic Mode UpTrend Line: connects the lowest low in the user specified period with the next lowest low preceding the highest high for which the trend line is not penetrated. DownTrend Line: connects the highest high in the user specified period with the next highest high preceding the lowest low for which the down trend line is not penetrated. The Chart ©2003 - 2009 MarketDelta LLC. All Rights Reserved.


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Above is a Daily Candlestick Chart of the Google (GOOG). The uptrend line can be seen in green, with the downtrend line in red. The trendline is based on a period of 50 as seen in the preferences below. Refer the the description at the bottom of this page for further details on how the trendlines are determined. The Preferences


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· Use X bars -Number of bars to use when determining the trendline(s). · Beginning X bars back - Number of bars back to begin consideration for the trendline. This allows the user to have the most recent X bars ignored when determining the trendline. · Trendline Sensitivity -Minimum number of bars separating the bars which form a trendline. · Show ___ Trendlines - The user may choose to either "Show All Trendlines", "Show Steepest Trendline", "Show Flattest Trendline", "Show Longest Trendline", or "Show Shortest Trendlines". · Classic Mode - Determines the trendlines based on the rules specified in the formula above. · [Check box] Dictates whether or not to draw the up or down trendlines. · UpTrend Color - Color and size of the uptrend line. · DnTrend Color - Color and size of the downtrend line. The Description ©2003 - 2009 MarketDelta LLC. All Rights Reserved.


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The automatic trend line indicator determines the current up trend and down trend line and draws them. Trend lines may also be drawn manually using the drawing tool on the charting toolbar, but this indicator does it automatically. The user specifies the number of periods to "look back" from the present to determine where to place the trend lines. The up trend line connect the lowest low in the user specified period with the next lowest low preceding the highest high for which the trend line is not penetrated. The down trend line connects the highest high in the period with the next highest high preceding the lowest low for which the down trend line is not penetrated. The user may specify the colors and whether to draw either the up, the down trend, or both. In some cases, depending on the historical pricing of a particular issue, there may not be a valid up or down trend for the user specified period. This indicator can be applied multiple times to the same chart window. For example, in a daily chart, you could add auto trend lines for periods of 500, 250, and 60, to see long term, intermediate term and short term trends in your charts. Auto trend lines are especially useful in slide shows. As the slide show advances from one issue to the next, the current trend lines for the issues are calculated and drawn automatically. This is not possible with manually drawn trend lines. RTL - TLU and TLD - Auto Uptrend (TLU) and Auto Downtrend (TLD) tokens have been added to the RTL language. The value of these tokens will represent the value of the steepest automated trendline at the current bar. Each token uses the preferences of the Automatic Trendline indicator. These tokens can be helpful in finding instruments that may be breaking through the trend. For instance, you may run the following scan: CL <= TLU OR CL >= TLD ...to find instrument that have either broken above the auto-downtrend or broken below the auto-uptrend. 5.4.9

Balance of Power (BOP) The Formula (CL - OP) / (HI - LO)


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The Chart

Above is a 5 Minute Candle Chart of Google (GOOG). The Balance of Power Indicator can be seen in the lower pane, drawn as an oscillator in red and blue. The BOP oscillator is based on the preferences seen below. The Preferences



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· Smoothing Type - Type of smoothing used to smooth the raw BOP values. · Smoothing Period - Period used to smooth the raw BOP values. · Draw As: - The resulting oscillator can be drawn as a continuous line, a connected line, a solid histogram, or a hollow histogram. · Color - BOP line or histogram color(s) as seen in the chart. The Description Balance of Power has been added to MarketDelta®, both for charting and for use in scans, custom indicators, and signals (token BOP). The MarketDelta® implementation of the BOP is based on an article by Igor Livshin that can be found on p. 18 of the August 2001 issue of Stocks and Commodities Magazine.


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According to Livshin, "The balance of power (BOP) indicator measures the strength of the bulls vs. bears by assessing the ability of each to push price to an extreme level." Although the article goes on to describe a somewhat involved calculation of the BOP, it breaks down to nothing more than... (CL - OP)/(HI - LO) This resulting raw BOP value can then be optionally smoothed using any moving average type, and can be drawn as a line or histogram. The BOP oscillates between extremes of -1 and +1. Livshin goes on to make the following statements: · For daily charts, a 14-period moving average is recommended, though the number of periods varies depending on the nature of the market and the time frame. · One of the most important properties of BOP is the level at which it clusters its tops and bottoms. During bull markets, its tops often reach the upper limit and never reach the bottom level. During bear markets, the picture is reversed. · BOP supports price divergence, trends, and overbought-oversold levels. · A change in the BOP trend serves as a warning signal and should be confirmed by a change in the price direction. RTL Tokens The Balance of Power Indicator can be accessed in RTL language using the the token BOP. The following scan detects when the BOP crossing into positive territory. BOP > 0 AND BOP <= 0 Keyboard Adjustment The smoothing period involved in the BOP indicator can be adjusted directly from they keyboard without opening up the preference window. First, select the indicator, then use the up and down arrow keys to adjust the smoothing period up or down by 1. 5.4.10 Bar Lines The Formula N/A The Chart



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Above is a 30-minute chart of the Google (GOOG). The BarLines are drawn as horizontal reference lines in red and green. The green lines represent the High, Low, and Open of the previous day, while the red lines represent the High, Low, and Open of the current day. The Preferences


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BarLines- This turns on the BarLines option inside the Reference Line tool. This results in 6 lines, at the High, Low, and Open of the current and previous day. The lines for the current high and low are dynamic. The previous lines will be drawn in the color right of the bar lines, while the current lines will be drawn in the color at the bottom of the dialog. Actually, the BarLines aren't limited to daily periodicity. Any periodicity may be specified. For instance, if 60-minutes is chosen as the periodicity, then the current lines will draw at the high, low, and open of the current 60-minute bar, while the previous lines will draw at the high, low, and open of the previous 60-minute bar.



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IMPORTANT NOTE: If your chart is an intraday chart, and you want the BarLines to reflect daily values, AND to reflect the SESSION OVERRIDE that you've assigned to that chart (for instance, your symbol may be set to the 24 hr session 31, while the chart is set to the RTH session 2), then just setup the BarLines with a periodicity of "1000 minutes" (instead of daily). This will result in BarLines reflecting the RTH daily values. If you specify a periodicity of "Daily" for the BarLines, then the daily bars on the database will be used (those seen in a daily bar chart), and that is not always what is desired by the user. This will only work for overriding sessions which span 1000 minutes or less (session 0 spans 390 minutes, session 2 spans 405 minutes, but session 31 spans 1425 minutes and there are 1440 minutes in a day). The Description The Horizontal Reference line tool has been enhanced with a new option entitled "Bar Lines". This option gives the user an automated tool that draws horizontal reference lines at 6 levels: current open, current high, current low, previous open, previous high, previous low. This option comes with a periodicity control that dictates the periodicity of the bars used to determine the current and previous levels. For instance, if you specify a periodicity of "Daily", then your previous open will be the open of the previous day, and your current high will be the high of today. If you specify a periodicity of 30 minutes, then your previous low will be the low of the previous 30 minute bar, while your current open will be the open of the current 30 minute bar. Each horizontal reference line is labeled with a description and value. (eg. 33.75 PrevOp) This option also comes with an additional color, allowing the user to specify different color for current versus previous lines. 5.4.11 Bear Power (BEARP) The Formula Elder-Ray Method LO - MA Livshin Method Average of the following three values: 1) OP - LO 2) HI - CL 3) MAX(OP - CL, 0.0) The resulting average is the raw Bear Power value. It can be optionally smoothed by specifying a Moving Average period greater than 1. Gimelfarb Method The Gimelfarb is "path-based" and discussed further in the "Description" section below. ©2003 - 2009 MarketDelta LLC. All Rights Reserved.

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The Chart

Above is a Daily Chart of the E-Mini S&P (ES). The lower window pane contains the Bear Power indicator. The Preferences



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· Method - Three computation methods are available: Elder-Ray, Livshin, and Gimelfarb. The calculations of each can be seen above in the "Formula" section, and a more detailed discussion of each can be found below in the "Description" section. · Moving Average - The Moving Average takes on different meanings depending on which method is chosen. Elder-Ray - The Moving Average result is subtracted from the high price to give the Bear Power result. Livshin/Gimelfarb - The Moving Average is used to optionally smooth the resulting raw Bear Power value. For no smoothing, a Period of 1 should be specified. · Type - Type of smoothing used to compute the Moving Average. · Period - Period used to compute the Moving Average.


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· Price - Price value used as input for the Moving Average. The "Price" is only visible and relevant for the Elder-Ray Method (For Livshin and Gimelfarb, the Moving Average is just used to smooth the raw Bear Power value). · Draw as - Style and color(s) used to draw the resulting Bear Power in a chart. The Description Elder-Ray Method "Elder-Ray" is a technical analysis method developed in 1989 by Dr. Alexander Elder. Dr. Elder, a medical doctor by training, chose the name "Elder-Ray" as a parallel to "X-Ray", since the purpose of the analysis is to look beneath the surface of the market. An exponential moving average (EMA, 13-period) and two other technical indicators, called Bull Power and Bear Power are used in the analysis. Bull Power is simply the difference between the high of each bar and the EMA, while Bear Power is the difference between the low of each bar and the EMA. Both indicators are usually drawn as oscillators (histograms). Bears are strongest when Bear Power is most negative. Bulls are strongest when Bull Power is most positive. The MarketDelta® implementation of Bear and Bull power allow you to select other moving average types if you like and to alter the averaging period as well. Elder uses 13-period exponential averages. For a complete discussion of Elder-Ray, see Dr. Elder's text, "Trading for a Living", pp 220-227. To setup an MarketDelta® chart for Elder Ray analysis, create a bar chart of daily periodicity and add a 13-period exponential moving average to the bar chart pane. Then add both Bull Power and Bear Power technical indicators, each to a new pane, below the instrument pane. Save the chart as "Elder-Ray Daily" for future reference. Elder describes four conditions for the strongest buy signal: 1. 2. 3. 4.

The trend is up, i.e. the EMA is sloping upward. Bear Power is negative but is rising. The latest peak in Bull Power is higher than the previous peak. Bear Power is rising from a bullish divergence.

A bullish divergence here would be a period when price is declining to a new low while the Bear Power makes a higher (less negative, less bearish) bottom and begins rising. Livshin Method Technician Igor Livshin defined Bear Power as the average of the following three values:



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1. The ability of bears to reduce the price from the opening price to the lowest price. (HI - OP) 2. The ability of bears to reduce the price from the highest price to the closing price. (HI - CL) 3. The ability of bears to reduce the price from the opening price to the closing price. (OP - CL if OP > CL, zero otherwise) He goes a step further to define his "Balance of Market Power" (BMP) to be the difference between the Bull Power and the Bear Power (BULLP BEARP). The MarketDelta® Bear Power indicator gives the user the ability to optionally smooth these resulting raw Bear Power values. If no smoothing is desired, specify a smoothing (MA) period of 1. Gimelfarb Method Technician Vadim Gimelfarb derived a method of computing Bear Power which was based on determining a maximum movement achieved by the bears. Five prices are consider in the evaluation: Open (OP), High (HI), Low (LO), Close (CL) and Previous Close (CL.1). From Previous Close to Close, there are a potential of 4 movements between prices, from CL.1, to OP, then to HI/LO, then to LO/HI, then to CL. The key is to determine whether the HI or LO occurred first. This is determined using the following rules: * If OP > CL: we assume LO occurred first. (Since it's closer to OP than it is to CL) * If OP < CL: we assume HI occurred first. (Since it's closer to OP than it is to CL) * If OP = CL AND HI - CL > CL - LO: we assume the LO occurred fist. (maximum price movement was gained by the side that was more successful at the close) * If OP = CL AND HI - CL < CL - LO: we assume the HI occurred fist. (same logic as above) * If OP = CL AND HI - CL = CL - LO AND CL < CL.1: we assume the HI occurred fist. (maximum price movement was gained by the side that was more successful at the close in relation to previous day's closing price) * If OP = CL AND HI - CL = CL - LO AND CL > CL.1: we assume the LO occurred fist. (same logic as above) * If OP = CL AND HI - CL = CL - LO AND CL = CL.1: Bull and Bear Powers are equal at this point (no logical path, just use HI - OP for value).


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The Bear Power is then find the maximum "bearish" (downward) single price movement. If the path from CL.1 to OP is downward, and the path then continues downward from OP to LO, then the price movement from CL.1 to LO is considered as one single price movement. If, on the other hand, the path moves from CL.1 down to OP then up to HI, then two movements are considered separately, a bearish movement from CL.1 to OP followed by a bullish movement from OP to HI. The MarketDelta® Bear Power indicator gives the user the ability to optionally smooth these resulting raw Bear Power values. If no smoothing is desired, specify a smoothing (MA) period of 1. RTL Tokens The Bear Power indicator can be referenced in the RTL language using the token BEARP. To create a custom indicator that represents the moving average of the difference between the Bull Power and Bear Power: MA(BULLP - BEARP) Keyboard Adjustment The Bear Power Moving Average Period can be adjusted directly from the keyboard without having to open up the preferences window. Just select the indicator and then hit the up or down keys on your keyboard to adjust the period. The up arrow key increases the period by 1 while the down arrow key decreases the periods by 1. 5.4.12 Bollinger Bands The Formula Typical Price (TP) = (HI + LO + CL) / 3 BOLU = MA(TP, n) + m * SD[TP, n] BOLD = MA(TP, n) - m * SD[TP, n] where BOLU = Upper Bollinger Band BOLD = Lower Bollinger Band n = Smoothing Period m = number of Standard Deviations SD = Standard Deviation over last n periods The Chart



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Above is a Daily Candlestick Chart of the E-mini S&P (ES). The red bands in the upper chart pane represent the Bollinger Bands created using the preferences specified below. The blue center line represents the average typical price off which the Bollinger Bands are based. The Preferences


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· Moving Avg Type - MA Type used for the smoothing of the typical price. The smoothed typical price will be used as the center line for the Bollinger Bands. · Moving Avg Period- Period used for the smoothing of the typical price. This period is also used to compute the standard deviation. · Standard Deviations - Number of standard deviations above and below the center line for which to draw the upper and lower Bollinger Bands. · Bands Color - Color of the Bollinger Band lines. · MA Line Color - Color of the Center line (if drawn). · Draw Bands Only (no center line) - If this checkbox is checked, then the center line will not be drawn. Only the Bollinger Bands will be drawn. The Description



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Bollinger Bands are volatility based bands used to help identify situations where prices are too high, or too low, on a relative bases. When prices reach or rise above the upper band, they are too high. When prices reach or drop below the lower band, they are too low. Bollinger bands are calculated by first smoothing the typical price using the MA type and period specified. The typical price for each bar is defined as (high + low + close)/3. The standard deviation is then calculated for the series of typical prices. The same period used for smoothing the data is also used for calculating the standard deviation of typical price. Trading bands are then drawn at some user-specified multiple of standard deviations above and below the center smoothed typical price line. Market reversals often occur near the upper and lower bands. Bollinger recommends using a Simple 20 period moving average, on a typical price of HLC/3, and with bands at 2 standard deviations. Two other indicators have been derived from Bollinger Bands. Both are discussed on p. 58 of the May 2002 issue of Stocks and Commodities Magazine in an interview with John Bollinger. The first on is called "%b", and tells us where price currently is in relation to the bands. This %b indicator can be created within MarketDelta® Professional using a Custom Indicator with the following syntax: (CL - BOLD) / (BOLU - BOLD) BOLU represents the upper band. BOLD represents the lower band. CL represents the current (closing) price. The Bollinger %b should be interpreted as follows: A value of 1.0 would mean that price is currently at the upper band. A value above 1 would mean that price is currently above the · upper band. A value of 0 would mean price is currently at the lower band. · A negative value would mean that price is currently below the · lower band. ·

The %b custom indicator can be seen charted in the illustration above. The second indicator is the Bollinger Bandwidth. It is the upper band minus the lower band divided by the middle band. The bandwidth can be created within MarketDelta® using a Custom Indicator with the following syntax: ©2003 - 2009 MarketDelta LLC. All Rights Reserved.

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(BOLU - BOLD) / MA BOLU represents the upper band. BOLD represents the lower band. MA represents the smoothed typical price using the same MA type and period as the Bollinger Bands. This MA will give you the same value as is used for the center line. High values of bandwidth represent regions of high volatility, while low values of bandwidth represent regions of low volatility. The bandwidth custom indicator can be seen charted in the illustration above. RTL Tokens The RTL Tokens for the Bollinger Bands are BOLU for the upper band, and BOLD for the lower band. A common system for trading the Bollinger Bands is to look for overbought situations when price rises above the upper band: HI > BOLU And similarly, to look for oversold situations when price falls below the lower band: LO < BOLD Other strategies involving Bollinger Bands can be found in the description above. Keyboard Adjustment The MA Period and the Standard Deviations involved in the Bollinger Bands indicator can both be adjusted directly from they keyboard without opening up the preference window. First, select the indicator, then use the up and down arrow keys to adjust the MA Period up or down by 1. To adjust the Standard Deviation multiple hold down the shift-key while hitting the up and down arrows. The Standard Deviation multiple will be adjusted in increments of 0.10. 5.4.13 Bull Power (BULLP) The Formula Elder-Ray Method HI - MA Livshin Method Average of the following three values: 1) HI - OP 2) CL - LO ©2003 - 2009 MarketDelta LLC. All Rights Reserved.


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3) MAX(CL - OP, 0.0) The resulting average is the raw Bull Power value. It can be optionally smoothed by specifying a Moving Average period greater than 1. Gimelfarb Method The Gimelfarb is "path-based" and discussed further in the "Description" section below. The Chart

Above is a 5 Minute Line Chart of the E-mini S&P (ES). The lower window pane contains the Bull Power indicator. The Preferences


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· Method - Three computation methods are available: Elder-Ray, Livshin, and Gimelfarb. The calculations of each can be seen above in the "Formula" section, and a more detailed discussion of each can be found below in the "Description" section. · Moving Average - The Moving Average takes on different meanings depending on which method is chosen. Elder-Ray - The Moving Average result is subtracted from the high price to give the Bull Power result. Livshin/Gimelfarb - The Moving Average is used to optionally smooth the resulting raw Bull Power value. For no smoothing, a Period of 1 should be specified. · Type - Type of smoothing used to compute the Moving Average. · Period - Period used to compute the Moving Average.



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· Price - Price value used as input for the Moving Average. The "Price" is only visible and relevant for the Elder-Ray Method (For Livshin and Gimelfarb, the Moving Average is just used to smooth the raw Bull Power value). · Draw as - Style and color(s) used to draw the resulting Bull Power in a chart. The Description Elder-Ray Method "Elder-Ray" is a technical analysis method developed in 1989 by Dr. Alexander Elder. Dr. Elder, a medical doctor by training, chose the name "Elder-Ray" as a parallel to "X-Ray", since the purpose of the analysis is to look beneath the surface of the market. An exponential moving average (EMA, 13-period) and two other technical indicators, called Bull Power and Bear Power are used in the analysis. Bull Power is simply the difference between the high of each bar and the EMA, while Bear Power is the difference between the low of each bar and the EMA. Both indicators are usually drawn as oscillators (histograms). Bears are strongest when Bear Power is most negative. Bulls are strongest when Bull Power is most positive. The MarketDelta® implementation of Bear and Bull power allow you to select other moving average types if you like and to alter the averaging period as well. Elder uses 13-period exponential averages. For a complete discussion of Elder-Ray, see Dr. Elder's text, "Trading for a Living", pp 220-227. To setup an MarketDelta® chart for Elder Ray analysis, create a bar chart of daily periodicity and add a 13-period exponential moving average to the bar chart pane. Then add both Bull Power and Bear Power technical indicators, each to a new pane, below the instrument pane. Save the chart as "Elder-Ray Daily" for future reference. Elder describes four conditions for the strongest buy signal: 1. 2. 3. 4.

The trend is up, i.e. the EMA is sloping upward. Bear Power is negative but is rising. The latest peak in Bull Power is higher than the previous peak. Bear Power is rising from a bullish divergence.

A bullish divergence here would be a period when price is declining to a new low while the Bear Power makes a higher (less negative, less bearish) bottom and begins rising. Livshin Method Technician Igor Livshin defined Bull Power as the average of the following three values:


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1. The ability of highest price. (HI - OP) 2. The ability of closing price. (CL - LO) 3. The ability of closing price. (CL - OP if CL

bulls to raise the price from the opening price to the bulls to raise the price from the lowest price to the bulls to raise the price from the opening price to the > OP, zero otherwise)

He goes a step further to define his "Balance of Market Power" (BMP) to be the difference between the Bull Power and the Bear Power (BULLP BEARP). The MarketDelta® Bull Power indicator gives the user the ability to optionally smooth these resulting raw Bull Power values. If no smoothing is desired, specify a smoothing (MA) period of 1. Gimelfarb Method Technician Vadim Gimelfarb derived a method of computing Bull Power which was based on determining a maximum movement achieved by the bulls. Five prices are consider in the evaluation: Open (OP), High (HI), Low (LO), Close (CL) and Previous Close (CL.1). From Previous Close to Close, there are a potential of 4 movements between prices, from CL.1, to OP, then to HI/LO, then to LO/HI, then to CL. The key is to determine whether the HI or LO occurred first. This is determined using the following rules: * If OP > CL: we assume LO occurred first. (Since it's closer to OP than it is to CL) * If OP < CL: we assume HI occurred first. (Since it's closer to OP than it is to CL) * If OP = CL AND HI - CL > CL - LO: we assume the LO occurred fist. (maximum price movement was gained by the side that was more successful at the close) * If OP = CL AND HI - CL < CL - LO: we assume the HI occurred fist. (same logic as above) * If OP = CL AND HI - CL = CL - LO AND CL < CL.1: we assume the HI occurred fist. (maximum price movement was gained by the side that was more successful at the close in relation to previous day's closing price) * If OP = CL AND HI - CL = CL - LO AND CL > CL.1: we assume the LO occurred fist. (same logic as above) * If OP = CL AND HI - CL = CL - LO AND CL = CL.1: Bull and Bear Powers are equal at this point (no logical path, just use HI - OP for value).



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The Bull Power is then find the maximum "bullish" (upward) single price movement. If the path from CL.1 to OP is upward, and the path then continues upward from OP to HI, then the price movement from CL.1 to HI is considered as one single price movement. If, on the other hand, the path moves from CL.1 to OP to LO, then two movements are considered, a bullish movement from CL.1 to OP followed by a bearish movement from OP to LO. The MarketDelta® Bull Power indicator gives the user the ability to optionally smooth these resulting raw Bull Power values. If no smoothing is desired, specify a smoothing (MA) period of 1. RTL Tokens The Bull Power indicator can be referenced in the RTL language using the token BULLP. To create a custom indicator that represents the moving average of the difference between the Bull Power and Bear Power: MA(BULLP - BEARP) Keyboard Adjustment The Bull Power Moving Average Period can be adjusted directly from the keyboard without having to open up the preferences window. Just select the indicator and then hit the up or down keys on your keyboard to adjust the period. The up arrow key increases the period by 1 while the down arrow key decreases the periods by 1. 5.4.14 Candle Codes The Formula CandleCode = BodyColor + BodySize + UpperShadow - LowerShadow + Gap where... if(ABS(CL - OP) >= AvgBodySize * 2) BodySize = BodySizeWeight else BodySize = BodySizeWeight * ABS(CL - OP) / (AvgBodySize * 2) if(HI - MAX(CL,OP) >= AvgShadow * 2) UpperShadow = UpperShadowWeight else UpperShadow = UpperShadowWeight * (HI - MAX(CL,OP)) / (AvgShadow * 2) if(MIN(CL,OP) - LO >= AvgShadow * 2) LowerShadow = LowerShadowWeight ©2003 - 2009 MarketDelta LLC. All Rights Reserved.

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else LowerShadow = LowerShadowWeight * (MIN(CL,OP) - LO) / (AvgShadow * 2) Gap = GapWeight * (OP - CL.1) / AvgGap if(CL > OP) BodyColor = BodyColorWeight else if(CL < OP) BodyColor = -1 * BodyColorWeight else (CL = OP) BodyColor = 0 AvgBodySize = Average Body Size over entire data series AvgShadow = Average Shadow over entire data series AvgGap= Average Gape over entire data series SingleSmooth = MA(CandleCode, SingleType, SinglePeriod) DoubleSmooth = MA(SingleSmooth, DoubleType, DoublePeriod) Oscillator = SingleSmooth - DoubleSmooth The Chart



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Above is a 5-Minute Candlestick Chart of the E-mini S&P (ES) . The 2nd pane shows the raw candle code data. The 3rd pane shows a single and double smoothing of the data. The 4th pane shows an oscillator representing the difference between the single and double-smoothed lines. The Preferences


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· Raw Codes - If this checkbox is check, the raw candle code line will be drawn. · Single Smoothed Line - If this checkbox is check, the single-smoothed candle code line will be drawn. · Double Smoothed Line - If this checkbox is check, the doublesmoothed candle code line will be drawn. · Oscillator - If this checkbox is check, the oscillator representing the difference between the single and double-smoothed lines will be drawn. · Weighting - Here, the weights are assigned to 5 different characteristics of the candlestick. The weights can be any number greater than or equal to zero. · Single-Smoothing - Defines the type and period of the moving average used to smooth the raw candle code data. · Double-Smoothing - Defines the type and period of the moving average used to smooth the single-smoothed candle code data. ©2003 - 2009 MarketDelta LLC. All Rights Reserved.


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The Description The Candle Code indicator is used to assign a numerical value to each candle based on five candlestick characteristics, including Body Color, Body Size, Upper Shadow, Lower Shadow, and Gap. Positive candle code values represent bullish candles while negative candle code values represent bearish candles. The more positive the code, the more bullish the candle. The more negative the code, the more bearish the candle. Each of the five candle characteristics can be weighted according to the user's preferences. A higher weight will make that characteristic have a greater influence on the codes value. A weight of zero will cause that characteristic to have no influence on the code. The raw candle code values are very noisy when charted, and may be both single and double-smoothed. An oscillator may also be draw which represents the difference between the single and double-smoothed values. Signals are produced when the single smoothed line crosses over the double-smoothed line, or when the double smoothed line changed direction of slope in extreme positive or negative territory. 5.4.15 Candlestick Pattern Recognition The Formula Engulfing Bearish or Bullish Candles Candlestick Characteristics The following candlestick characteristics are used to to determine if patterns are present. Some patterns may only use one of these characteristics, while others may use several. Color Color is either White or Black. Color is considered White for up candles (CL > OP) and Black for down candles (CL < OP). Shape Shape is either Long, Small, or Doji. Shape is considered Long if the Body is larger than the average body size (of previous candles). Shape is considered Doji if the body is less than EP% of the lowest body price, where EP is the Equal Percent option available in the CPR preferences which defaults to 0.50 but can be customized by the user. In other words, it's Doji if: ABS(CL - OP) < (EP/100) * MIN(CL, OP) And the Shape is considered Small if the body is anywhere between Long and Doji. The Shape will always be one of the three (Long, Small, Doji). ©2003 - 2009 MarketDelta LLC. All Rights Reserved.

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Top Shadow Top Shadow can be either Long, Small, or Medium. The Top Shadow may also be referred to as the Upper Wick. The Top Shadow is Long if it is greater than body multiplied by LS (the Long Shadow setting in the CPR prefs). The Top Shadow is Small if it is less than body multiplied by SS (the Small Shadow setting in the CPR prefs). The Top Shadow is considered Medium anywhere in between. Bottom Shadow Bottom Shadow can be either Long, Small, or Medium. The Bottom Shadow may also be referred to as the Lower Wick. The Bottom Shadow is Long if it is greater than body multiplied by LS (the Long Shadow setting in the CPR prefs). The Bottom Shadow is Small if it is less than body multiplied by SS (the Small Shadow setting in the CPR prefs). The Bottom Shadow is considered Medium anywhere in between. The Chart



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Above is a Daily Candlestick Chart of the E-mini S&P (ES). The red diamonds in the lower window pane represent the existence of the corresponding candlestick pattern in the scale to the right. When the cursor is over a bar, any patterns recognized on that bar are displayed in the pane title bar for the candlestick patterns. The Preferences

· Available Patterns - These are the candlestick patterns from which you can choose from. · Selected Patterns - These are the patterns you've chosen to look for in the chart. · Long Shadow - Used to determine whether a candle shadow is long. · Small Shadow - Used to determine whether a candle shadow is short. · Equal Percent - Used to specify how close two prices must be to be considered equal. · Marker Color - Color used for the pattern markers in the chart. ©2003 - 2009 MarketDelta LLC. All Rights Reserved.

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The Description The candlestick pattern recognition technical indicator allows the user to test for and visualize any of 41 distinct candlestick patterns of interest. When adding the indicator to a chart object, choose as many patterns as you like from the list of available patterns. Other parameters include three values used by the indicator to perform the pattern matching. The "Equal Percent" value is used to specify how close two prices must be to one another to be considered "equal" for the purposes of pattern recognition. . Specify the value in percentage points, e.g. 1 means 1%, .5 means one half of 1%. If a candlestick closes within "Equal Percent" of it's open, then it is considered a Doji pattern. If a body is too long to be a Doji pattern, then it is considered either "Long" or "Small". It is "Long" if the body is larger than the average of all candle body lengths in the chart and "Small" if it is smaller. The "Long Shadow" value is used to test whether a candlestick has a long shadow. The shadow of a candle, sometimes called "wick", is the portion of the candle that protrudes above or below the candle body. The long shadow value is multiplied by the actual body length and compared with the shadow length to determine if the shadow is "long". A value of 2, the default, means that a shadow must be twice a long as the candle body to be considered a long shadow. Similarly, the "Small Shadow" value is used to determine whether a candle has a shadow smaller than the value times the real body length. A value of 1, the default, means that smaller shadows are those whose length is less that one body length. A value of .5 means that a shadow must less than half the size of the body to be considered small. The candle pattern recognition indicator is display in its own sub window within a chart window. Each pattern name selected is represented by a horizontal line with diamonds marking the view period positions where a the pattern was recognized. It is advisable, but not necessary, that the chart of the instrument be displayed in candlestick format. The crosshair tool may be used to line up a diamond with the actual candle. Pointing the mouse at an instrument's candle while holding the mouse button down causes the title bar of the candle pattern recognition sub window to show the names, if any, of any patterns recognized for that candle. Below is a list of the candlestick patterns that are currently recognized in MarketDelta®. Please email support at MarketDelta.com if you have others you would like added.



Abandoned Baby Top Advance Block Belt Hold - Bearish Belt Hold - Bullish Counter Attack-Bearish Counter Attack-Bullish Dark Cloud Cover Engulfing - Bearish Engulfing - Bullish Evening Doji Star Evening Star Falling Three Method Gravestone Doji Hammer Hanging Man Harami-Bullish Harami Cross-Bullish Harami -Bearish Harami Cross-Bearish High Wave

In Neck Inverted Hammer Long Legged Doji Mat Hold Morning Doji Star Morning Star Piercing Line Rising Three Separating Line-Bearish Separating Line-Bullish Shooting Star Side by Side Wide Gap Down Side by Side Wide Gap Up Stalled Tasuki Downside Gap Tasuki Upside Gap Three Gaps Down Three Gaps Up Three Soldiers-Bullish Thrusting Line Upside Gap 2 Crows

5.4.16 Engulfing Bullish or Bearish The Formula Engulfing Bullish Color = White AND Color.1 = Black AND Shape = Long AND Shape.1 = SMALL AND OP < CL.1 AND CL > OP.1 Engulfing Bearish Color = Black AND Color.1 = White AND Shape = Long AND Shape.1 = Small AND OP >CL.1 AND CL < OP.1 The Presentation

Above is an Engulfing Bullish Candlestick Pattern. ©2003 - 2009 MarketDelta LLC. All Rights Reserved.

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Above is an Engulfing Bearish Candlestick Pattern. Candlestick Characteristics The following candlestick characteristics are used to to determine if patterns are present. Some patterns may only use one of these characteristics, while others may use several. Color Color is either White or Black. Color is considered White for up candles (CL > OP) and Black for down candles (CL < OP). Shape Shape is either Long, Small, or Doji. Shape is considered Long if the Body is larger than the average body size (of previous candles). Shape is considered Doji if the body is less than EP% of the lowest body price, where EP is the Equal Percent option available in the CPR preferences which defaults to 0.50 but can be customized by the user. In other words, it's Doji if: ABS(CL - OP) < (EP/100) * MIN(CL, OP) And the Shape is considered Small if the body is anywhere between Long and Doji. The Shape will always be one of the three (Long, Small, Doji). Top Shadow Top Shadow can be either Long, Small, or Medium. The Top Shadow may also be referred to as the Upper Wick. The Top Shadow is Long if it is greater than body multiplied by LS (the Long Shadow setting in the CPR prefs). The Top Shadow is Small if it is less than body multiplied by SS (the Small Shadow setting in the CPR prefs). The Top Shadow is considered Medium anywhere in between. Bottom Shadow Bottom Shadow can be either Long, Small, or Medium. The Bottom Shadow may also be referred to as the Lower Wick. The Bottom Shadow is Long if it is greater than body multiplied by LS (the Long Shadow setting in the CPR prefs). The Bottom Shadow is Small if it is less than body multiplied by SS (the Small Shadow setting in the CPR prefs). The Bottom Shadow is considered Medium anywhere in between. Notes



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These two Engulfing patterns are effected only by the "Equal Percent" (EP) setting in the CPR prefs. Since the previous candle must have a "Small" Body (not Doji or Long), the smaller the EP value, the more likely the previous candle body is to be Small as opposed to Doji. If you're not seeing as many patterns as you expect, try decreasing the Equal Percent value (to something like 0.01). See Also: Candelstick Pattern Recognition indicator

5.4.17 CCI (Commodity Channel Index) The Formula TP = (HI + LO + CL) / 3 TP stands for Typical Price

MATP = MA(TP, n) n = CCI Period MATP stands for Moving Average (Simple) of Typical Price

where n = CCI Period MDTP stands for Mean Deviation of Typical Price

CCI = (TP - MATP) / (MDTP * 0.015) Modified CCI When "Modified CCI" is checked, the Typical Price is calculated differently, as seen below. Otherwise, the calculations are identical.

TP = (Max(HI,n) + Min(LO,n) + CL) / 3 n = CCI Period TP stands for Typical Price

The Chart


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Above is a 5 Minute Line Chart of Gold (GC #F). The blue line in the lower window pane represents the CCI using the preferences seen in the window below. The Preferences



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· CCI Period - Period used in the CCI calculations above. · Reference Line (1, 2) - Levels at which to draw horizontal reference lines. · Modified CCI - Dictates the method used for calculating "Typical Price". (See "Formula" section above.) · Smoothed CCI - Check this if you would like the CCI line smoothed. · Smoothing Period - Smoothing period used only if "Smoothed CCI" is checked. · Smoothing Type - Smoothing type used only if "Smoothed CCI" is checked. · Draw As - Options for drawing the CCI as a continuous or connected line, or a hollow, solid, or custom histogram. · Line Color - Color and style of the CCI line in the chart. The Description


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The Commodity Channel Index (CCI) is a price momentum indicator developed by Donald R. Lambert in 1980. It is designed to detect beginning and ending market trends. CCI represents the position of current price relative to the average of price over a recent period. Lambert discussed CCI in detail in a 1980 article in Stocks and Commodities V.1:5(120-122). The CCI usually falls in a channel of -100 to 100. The conventional CCI trading system works as follows. When it rises above 100, buy and hold until CCI falls back below 100. When CCI falls below -100, sell short and cover the short when it rises above the -100 line. Some trading systems cover on a rise above minus 85. The following scans represent this strategy. Buy Signal CCI > 100 AND CCI.1 <= 100 Sell Signal CCI < -100 AND CCI.1 >= -100 A more aggressive use of the CCI indicator dictates entering positions when the index crosses the 0 line. This method helps incorporate the early part of a new move. When the CCI crosses above the 0 line from negative territory, this is a bullish signal. When the CCI crosses below the 0 line from positive territory, this is a bearish signal. The following scans represent this strategy. Buy Signal CCI > 0 AND CCI.1 <= 0 Sell Signal CCI < 0 AND CCI.1 >= 0 Some traders actually use this indicator in the exact opposite way. They interpret levels above 100 as overbought regions and bearish signals, and levels below -100 as oversold regions and bullish signals. RTL Tokens The RTL Token for the Commodity Channel Index is CCI. A common system for trading the CCI is to buy when the CCI crosses above 100: CCI > 100 AND CCI.1 <= 100 And to liquidate this position when the CCI crosses back below the 100 line: CCI < 100 AND CCI.1 >= 100 ©2003 - 2009 MarketDelta LLC. All Rights Reserved.


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Other strategies involving CCI can be found in the description above. Keyboard Adjustment The periods involved in the CCI indicator can be adjusted directly from they keyboard without opening up the preference window. First, select the indicator, then use the up and down arrow keys to adjust the CCI Period up or down by 1. To adjust the Smoothing Period (assuming "Smoothed CCI" is turned on), hold down the shift-key while hitting the up and down arrows. 5.4.18 Center Of Gravity (COG) The Formula COG = -1 * NUM / DEN NUM =

n [ PRICE[i] * (i + 1) ] i =0

DEN =

n PRICE[i] i =0

Where... PRICE[i] = The price of the ith bar back. PRICE[0] = price of current bar. PRICE[2] = price 2 bars back, etc. The Chart


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Above is a Daily Chart of Gold (GC #F). The lower window pane contains the Center of Gravity Oscillator drawn using the preferences displayed below. The Preferences



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· Price - Price value used as input for the computation. Options include Open, Close, High, Low, HI+LO/2, HI+LO+CL/3, O+H+L+C/4, % Change, or OP+CL/2. · Period - Period over which the Center of Gravity is computed. · Volume Weighted - If this checkbox is checked, volume will be used, in addition to price, to weight the number series in the Center of Gravity calculations. · Oscillator 1 - This oscillator represents the difference between the COG and the Signal line (or COG.1) multiplied by 100. When the oscillator crosses the zero line in the upward direction, it represents the COG turning upward, and should therefore be considered a bullish signal. When the oscillator crosses the zero line in the downward direction, it represents the COG turning downward, and should therefore be considered a bearish signal. The reason the oscillator value is multiplied by 100 is for scaling purposes. The oscillator is really nothing more than the change in the COG multiplied by 100. ©2003 - 2009 MarketDelta LLC. All Rights Reserved.

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· Oscillator 2 - This oscillator shifts the COG values so that they oscillate about the 0 line. Otherwise, COG oscillates about a reference line at (Period + 1)/2. This oscillator value is also multiplied by 100 to give more reasonable (scalable) results. This option makes it easier to compare COG indicators of differing periods. The Description COG is an oscillator based on an article by John F. Ehlers on page 20 of the May 2002 issue of Stocks and Commodities Magazine. COG has essentially zero lag and enables clear identification of turning points. This indicator is a result of Ehlers research into adaptive filters. The MarketDelta® implementation of COG includes an option to "Volume Weight" the oscillator. When this option is checked, volume will be used in addition to price to weight the indicator. RTL Tokens The Center Of Gravity indicator can be referenced in the RTL language using the token COG. To scan for the bullish signal of the COG turning up, use the following syntax: COG > COG.1 AND COG.1 <= COG.2 And to scan for the bearish signal of COG turning down, use the following syntax: COG < COG.1 AND COG.1 >= COG.2 Keyboard Adjustment The Center Of Gravity period can be adjusted directly from the keyboard without having to open up the preferences window. Just select the indicator and then hit the up or down keys on your keyboard. The up arrow key increases the period by 1 while the down arrow key decreases the period by 1. 5.4.19 Chaikin Money Flow (CMF) The Formula CMF = SUM(AD, n) / SUM(VOL, n) where n = Period AD = VOL * (CL - OP) / (HI - LO) AD stands for Accumulation Distribution The Chart



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Above is a Daily Chart of the E-mini S&P (ES). The histogram seen in the lower window pane represents a 21 period Chaikin Money Flow indicator, drawn using the preferences seen below. The Preferences


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· Period - Period used in the CMF calculations above. · Draw Type - The CMF can be drawn as a line (connected or continuous) or a histogram (solid or hollow). · Color - When the draw style is a line, the color, style, and thickness may be controlled. When the draw style is a histogram, two colors are presented, one for increasing values of CMF, the other for decreasing values of CMF. The Description



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Developed by Marc Chaikin, the Chaikin Money Flow indicator (CMF) is calculated by summing Accumulation Distribution over the given period and then dividing by the sum of volume over the given period, as can be seen in the formula section above. A period of 21 is recommended. The volume is essentially nothing more than volume times change divided by range. A positive CMF value signals accumulation, while a negative CMF value signals distribution. A reference line is drawn at zero to help quickly identify accumulation/distribution regions. The further the distance from the zero reference line, the stronger the signal. It is recommended to go long if a breakout above resistance is supported by Chaikin Money Flow staying above zero, while it is recommended to go short if a breakout below support is confirmed by negative Chaikin Money Flow. It is also recommended to go long on bullish divergence, and short on bearish divergence. If Chaikin Money Flow greater than zero, it is an indication of buying pressure and accumulation. The longer the oscillator can remain above zero, the stronger the evidence of accumulation. Extended periods of accumulation or buying pressure are bullish and indicate that sentiment towards the security remains positive. Not only should the oscillator remain above zero, but it should also be able to increase and attain a certain level. The more positive the reading is, the more evidence of buying pressure and accumulation. RTL Tokens The RTL Token for the Chaikin Money Flow indicator is CMF. To find instances where the CMF has crossed above zero (into bullish territory), use the following scan/signal: CMF > 0 AND CMF.1 <= 0 Similarly, to find instances where CMF has crossed below zero (into bearish territory), use the following scan/signal: CMF < 0 AND CMF.1 >= 0 Keyboard Adjustment The period of the CMF indicator can be adjusted directly from they keyboard without opening up the preference window. First, select the indicator, then use the up and down arrow keys to adjust the CMF Period up or down by 1. To adjust the signal period, hold down the ctrl key while hitting the up or down arrow keys. 5.4.20 Color Markers The Formula N/A ©2003 - 2009 MarketDelta LLC. All Rights Reserved.

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The Chart

Above is a 5-Minute Chart of Google (GOOG). The Color Marker is added to the lower pane. Below are the settings top marker (rectangle) in the bottom pane. The Preferences



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·

Scan/Signal - If you choose to use Scans or Signals, the listbox below will populate with all the available scans/signals that are available in your system. The syntax of the chosen Scan/Signal will display below the listbox. The results of Scans/Signals with either be TRUE or FALSE. You will be presented with two colors for these two results.

·

Custom Indicator - If you choose to use a custom indicator, the listbox below will populate with all the available custom indicators that are available in your system. The syntax of the chosen custom indicator will display below the listbox. The results of custom indicator will be numeric. You will be given three color options for three different result ranges.

·

Edit - You may click this button to edit the Scan/Signal/Custom Indicator that is indicator in the list to the left.

·

Position - You have three choices for the position of the marker: Top to Bottom, Offset from Top, or Offset from Bottom. Top to Bottom will draw your marker then entire height of the window pane it's in. Offset from top will draw the marker a certain offset from the top of the pane, based on the offset and height you


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specify. ·

Offset From - This dictates how far from the top or bottom of your chart that your marker will be drawn. You have three options for the units you can specify: Pixels, % of Width, % of Pane. Pixels gives you a constant distance in pixels. The other two options are dynamic and related on the size of other items. % of Width represents the % of the width of the bar. Since the width of the marker is always the same as the width of the bar, you could specify 100 % of width to keep the height and width constant. % of pane represents the % of the height of the pane. You could put 10 markers in a pane, each starting 10% further down the pane than the last, and each with a height of 10%.

·

Height - This dictates the vertical height of your marker. The available units are the same as those discussed above for offset.

·

Color Last ___ Bars - Here, you can choose how many bars you would like your color markers drawn on. For instance, if you specify 100, it will draw markers on your last 100 bars (most recent bars).

·

Shape - There are four available marker shapes, including Rectangle, Oval, Up Arrow, and Down Arrow.

·

Hollow - The shape is solid by default, but will be drawn hollow if this options is checked.

The Description This new indicator provides a flexible, colorful, compact method for displaying signal markers on charts. The signals can be based on the results of either Scans, Trading Signals, or Custom Indicators. For Scans and Trading Signal, color options are given for both TRUE and FALSE results. For Custom Indicators, color options are given for three different user specified price ranges. Four shape options are currently available, including rectangle, oval, up arrow, and down arrow. The color marker for each bar has the same width as the bar. The height and position in the window is user customizable. The markers can be offset any distance from the top of bottom of the window pane, or it can be drawn the full length of the pane. If the marker is offset from the top or bottom, it can also be given a user-specified height. Height and offset options can be specified in three units: pixels, % of bar width, or % of window pane height. Color Markers can be dragged between window panes, maintaining their relative position in the pane. Markers can also be adjusted using the keyboard. To move the markers up or down, select the marker by clicking on it, and then use the up and down arrow keys on your keyboard. To adjust the height of the markers, hold down the shift key while hitting the up and down arrow keys on your keyboard. These shortcut keys make it much easier to tweak your markers to the correct height and positioning. Color Markers give the user the ability to place multiple signal markers into a small amount of space. The markers can be stacked at the top or bottom of the instruments window pane, can be stacked in their own window pane, or can each have it's own pane. To stack several markers on top of one another, you would just add them in succession, increasing the offset each time. For instance, you may choose a height of 8 pixels. You could then add your first marker at an offset of 0 pixels from the top. Your next marker would then be added at an offset of 8 pixels from the top, the third at an offset of 16 ©2003 - 2009 MarketDelta LLC. All Rights Reserved.


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from the top. This would stack 3 markers on the top of the window pane, each with a height of 8 pixels. You can add as many markers to each window pane as you wish, or you may choose to add only one marker per window pane that is relevant only to the indicator in that pane.

5.4.21 Correlation Coefficient The Formula Calculating the Mean E(X) = (X 1 + ... + XN) / N Calculating the Variance V(X) = (X12+ ... + XN2) / N - (E(X))2 Calculating the Covariance COV(X,Y) = (X1Y 1+ ... + XNY N2) / N - E(X)E(Y) Calculating the Correlation Coefficient COCO = COV(X,Y) / SQRT(V(X)V(Y))

The Chart

Above is a 5 Minute Line Chart of Gold (red) and Silver (green) futures. The blue line in


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the lower window pane represents the Correlation Coefficient as specified in the preferences below. Horizontal reference lines are automatically draw at -1, 0, and 1.

The Preferences

·

Price - Price data of the ticker symbol in the chart that will be used in comparison.

·

Period - Number of bars to be used in computing the correlation coefficient.

·

Use Ticker as Pattern - If this box is checked, then the "Pattern Specs" below it will be relevant, otherwise, those settings will not be used. This specifies whether the data will be compared against a specific pattern, or against all the data of the underlying ticker.

·

Start Date - The starting date for the underlying pattern. The pattern will be based off daily closing prices, beginning on this date and going forward the number of periods specified above.

·

Scaling Factor - If you would like to scale your pattern up or down, you can do so by specifying values other than 1 here. ©2003 - 2009 MarketDelta LLC. All Rights Reserved.


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·

Rel to - The ticker symbol which will be used for comparison in computing the correlation coefficient.

·

Correlation Line - Color and width of the correlation line in the chart.

The Description The Correlation Coefficient is a very versatile pattern matching technical indicator. By definition, the correlation coefficient is a statistic that is used to measure goodness-tofit. We will be using it to compare actual price data against either specific chart patterns, or other price data. The correlation coefficient ranges in value between 1 and -1. A value of 1 represents a perfect correlation, while a value of -1 represents an inverted correlation. A value of zero represents no correlation at all. The correlation coefficient is a normalized indicator, meaning the actual values of the price or pattern data are not important, only the shapes of the patterns and charts. MarketDelta's implementation of the correlation coefficient can be used in a couple of ways. First, you may choose to use a specific pattern of data, represented by any userspecified number of prices. For instance, you may choose to create a head and shoulders pattern using 20 consecutive prices. You may then add the correlation coefficient to your chart using this pattern, and the data points on the correlation line will represent how closely the previous 20 bars back from that point correlated with your specified pattern. You may also choose to scale your pattern up or down. This will be discussed further below. Alternatively, you may choose to simply compare two instruments to see how closely those two instruments correlate to one another. Again, you would specify a period of bars for which to compute the correlation. The resulting correlation coefficient on your chart would then represent how closely the two instruments correlated over time. Now let's move from the "What" to the "How". We'll start with correlating the data of two instruments. Let's say, for instance, you wanted to see how closely several Nasdaq stocks correlated to the Nasdaq Index itself. First, you would open a traditional daily chart on one of the symbols you are interested in. Now, click the "Add Technical Indicator" button in the charting toolbar, and then choose "Correlation Coefficient" as the indicator. In the list on the left, we are going to want to choose the ticker for the Nasdaq Index ($COMPX in my case). For price, we'll choose "Close" and for period, we'll choose "10". These are both up to you, but this way, we will be correlating the last 10 closing prices for the two instruments. We want to uncheck the checkbox "Use Ticker as Pattern". This should disable the "Pattern Specs" preferences, as these are irrelevant in our case. Now, choose a line color, style, and thickness using the color control, and click "OK". Your resulting line now shows you, for each day, how closely the two instruments correlated based on the prior 10 days. Again, 1 means perfect correlation while zero means no correlation. The correlation coefficient would work equally well, with periodicities such as 1-minute, 3-minute, weekly, etc. Just keep in mind that you need data on both instruments in order for this indicator to function. You may now simply switch the instrument in the chart to another Nasdaq stock to quickly see how well others correlated with the Nasdaq Index. Now let's discuss correlating the price data with a specific pattern. In it's current implementation, here is how you specify what pattern to use. The pattern will use the daily closing prices of a user-specified instrument. The specific daily bars to use are ©2003 - 2009 MarketDelta LLC. All Rights Reserved.

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specified with the "Start Date" and "Period" fields in the preferences. The daily bars will be drawn from the instrument chosen in the list on the left. The pattern will begin at the "Start Date" and will go forward from there number of periods specified. You may either choose to a pattern you see for a ticker already in your system, or you may choose to create your won user-defined ticker symbol and import your own pattern data. Let's say you have create a ticker symbol called "HDNSLD" (for head and shoulders) and have imported 20 daily bars beginning 01/16/01. The closing prices of these daily bars represent the prices of your pattern. In the indicator preferences, you would then choose HDNSLD from the list of instruments on the left, choose "01/16/01" as the Start Date, and choose "20" as the period. You also must check the "Use Ticker as Pattern" checkbox. For now, just choose a Scaling Factor of 1. Click "OK". You resulting line represents how closely your pattern was correlated in the actual price data based on the previous 20 bars from each data point. The Scaling Factor is provided in order to stretch or compact your pattern. For instance, if you wanted to stretch your head and shoulder pattern out over twice as many bars (40), you would specify 2 as your Scaling Factor. Similarly, if you would like to compact your pattern to only span 1/3 as many bars, you would specify 1/3 in the scaling factor. The scaling factor and starting dates are only relevant when you are using a ticker as a pattern, not when you are correlating two instruments completely.

5.4.22 Darvas Box (DB) The Formula N/A The Chart



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Above is a Daily Candle Chart of the E-mini S&P (ES). The Darvas Box indicator is drawn with a green upper band and a red lower band overlaying the ES candles. Buy signals are drawn in green arrows beneath the candles, while sell signals are drawn with red arrows above the candles. The Preferences


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· Box Upper Band - A band that represents the top of the Darvas Box. · Box Lower Band - A band that represents the bottom of the Darvas Box. · Buy Signal - This marker will be drawn wherever a buy signal is generated due to price breaking above the Darvas Box. · Sell Signal - This marker will be drawn wherever a sell signal is generated due to price breaking below the Darvas Box. · Closing Price Must Break Box - When this checkbox is checked, the closing price must break outside the Darvas Box in order to generate a buy or sell signal. When this checkbox is unchecked, buy and sell signals will be generated when the high breaks above the box, or the low breaks below the box. In general, more signals will be generated if this box is unchecked. The Description



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The description below explains the method used to construct boxes that immediately follow buy signals. A similar method is used to construct boxes that are following sell signals, except the lows are considered first, then highs (basically, just interchange the highs and the lows). We'll call the method explained below the HighFirst method (as opposed to LowFirst method). The HighFirst method is used after buy signals, while the LowFirst method is used after sell signals. So which method is used to begin with (starting on very first bars)? Which ever method results in a Darvas box being formed first is the method that is chosen. The HighFirst Method At least three bars are spent finding and validating the top of a box (States 1, 2 and 3), and at least three bars are spent finding and validating the bottom of a box (States 3, 4 and 5). Once State 5 is reached, the Darvas Box is now complete with a valid box top and a valid box bottom, and we simply wait until we get an input price greater than the top of the box or less than the bottom of the box.


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First, obtain the high and low price of the stock for the first bar. On bar one, you start off in "State 1". This state tells you to set the BoxTop to this bar's high. Now what? Nothing, you are done for the bar. Only one state per bar. From State 1, we determine if the BoxTop that was saved from State 1 is greater than this bar's high. If the BoxTop that was saved from the previous bar is bigger than this bar's high price, go to State 2 and keep the BoxTop from the previous bar. If the BoxTop that was saved from the previous bar is smaller than this bar's high, go back to State 1, and set the BoxTop to this bar's high (a new BoxTop). From State 2, we determine if the BoxTop that was saved from State 1 is greater than this bar's high. If the BoxTop that was saved from two bars ago is greater than this bar's high price, go to State 3 and keep the BoxTop from two bars ago, plus we now set the BoxBottom to this bar's low. If the Box Top that was saved from two bars ago is smaller than this bar's high, go back to State 1, and set the BoxTop to this bar's high (a new BoxTop). From State 3, we look to see if the BoxTop that was saved from bars past is greater than this bar's high. If this bar's high is greater than the BoxTop, we must go all the way back to State 1. On the other hand, if the BoxTop that you saved from bars past is still greater than this bar's high, you get to move to the second decision box. Now, we look to see if the BoxBottom that was saved from the previous bar is lower than this bar's low. If it is, we can move to State 4 and keep the previous bar's BoxBottom. On the other hand, if this bar's low is lower than the saved BoxBottom, go back to State 3, and set the BoxBottom to this bar's low. State 4 is similar to State 3. First, determine if the BoxTop that was saved from bars past is greater than this bar's high. If this bar's high is greater than the BoxTop, we go back to State 1. On the other hand, if the BoxTop that was saved from bars past is still greater than this bar's high, we move to the second decision box. Now, we determine if the BoxBottom that you saved from two bars ago is still lower than this bar's low. If the BoxBottom that was saved is higher than this bar's low, we go back to State 3. Once in State 3, we again set the BoxBottom to this bar's low selling price. If we have a BoxBottom lower than this bar's low, we move to State 5. In State 5, we now have a valid BoxTop and a valid BoxBottom. Once in State 5, we have created a Darvas Box. Simply wait until you get a bar's high selling price that is greater than your BoxTop (a buy signal) or a bar's low selling price that is lower than your BoxBottom (a sell signal). ©2003 - 2009 MarketDelta LLC. All Rights Reserved.


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RTL Tokens The Darvas Box indicator result can be accessed in the RTL language with the token DBOX. This token provides access to the "Upper Band", "Lower Band", "Buy Signal", or "Sell Signal". In the token preference, just check which ever option you'd like as your result. If you select "Buy Signal" or "Sell Signal", you'll need to use the following syntax to alert you to signals in your scan. DBOX = 1 5.4.23 Data Validation The Formula N/A The Purpose If the Data Validation indicator detects invalid data based on your preferences below, a red diamond will appear in the lower pane. The conditions for invalid data are explained below in the description section. The Preferences

The Description


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The Data Validation Technical Indicator is a charting or scan indicator that inspects the data for some instrument and looks for exceptional conditions. The data validation indicator when used in a chart window has an option to remove any data bars or ticks having a price that is outside some user specified acceptable range. The Data Validation indicator resides in the chart window and "recalculates" each time a tick arrives. If the tick is out of the user specified range, it is removed automatically from the chart. The bad tick has no effect on the chart or any other technical indicators in the chart window. The data validation indicator does not delete the "bad ticks" from the database, is only removes them from the chart window. If you open another chart of the same instrument that does not have a data validation indicator in it, the "bad ticks" will be present. The Data Validation indicator also has a checkbox titled "Auto-correct invalid bar data". When checked, the indicator will "fix" any bars where the relationship between open, high, low, and close is invalid (e.g. close less than low). The "fix" employed by MarketDelta® is to adjust the bar so that open, high, and low are all set to the last trade price. Note the these "auto" fixes will impact the calculation of any technical indicators based on the associated instrument. It is recommended that you first add the Data Validation indicator to the chart window with the "AutoCorrect" box unchecked to see if any invalid bar data is present in the chart, if so you may elect to fix it by turning on the "Auto-Correct" checkbox. 5.4.24 Delta Divergence Indicator What is "Delta" – Delta is the term we use to describe the net difference between the buying and selling entering the market. It is calculated by subtracting the volume transacted at the bid price from the volume transacted at the ask price. By definition, MarketDelta® considers trades that occur at the ask price to be trades initiated by aggressive buyers. Trades that occur at the bid price are considered to be initiated by aggressive sellers. Thus, a positive delta would reflect more aggressive buying as the result of motivated buyers lifting the ask. A negative delta would reflect more aggressive selling as the result of motivated sellers hitting the bid. Calculation: Ask Traded Volume – Bid Traded Volume = Delta The components required to calculate delta are: bid price, ask price, last trade price, last trade volume, time.



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Example: If the bid price in the market is 1445.25 and the ask price is 1445.50 and 25 contracts/shares trade at 1445.50, then the delta would be counted as +25. If a second trade occurs with the same bid and ask price in the market, but this time the trade occurs at 1445.25 for 10 contracts/shares, then the delta for that trade would be -10 and the total delta would now be +15. Delta Divergence Summary: This indicator is looking for instances where the delta for a bar is opposite what is "expected". The expectations are set by a few simple conditions described below. When the condition is met the indictor is signaled on the chart in realtime. There are instances where a signal will be given but then vanish if conditions change intrabar. Not until the bar closes will the signal be confirmed. Condition 1: Each new day unique and the indicator resets the days high and low each day on the open. Condition 2: If price trades at or equal to a new high AND the delta for that bar is negative, then short signal given. Condition 3: If price trades at or equal to a new low AND the delta for that bar is positive, then a long signal is given. It is for conditions 1 and 2 that the high and low each day are important. Because of this there will surely be a signal or two produced in the opening minutes because a new daily high/low are naturally being created. There are no reversal or target signals placed upon an initiating trade. You could logically assume you are either long or short all session, but that would not necessarily be the correct way to use this indicator. Purchase Information: The delta divergence indicator can be purchased from MarketDelta® for a one time fee of $499. The Professional edition or higher is required for this indicator to work. It can be purchased by visiting the order page. The delta divergence indicator ("Delta D") is also available for TradeStation through www.tradethemarkets.com. The cost is a one time fee of $499 and can be purchased by visiting here. 5 min Overview Recording - This video shows it applied to a multipane candlestick chart. It can also be applied to a Footprint chart. The Chart Example 1


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Example 2



Example 3

5.4.25 Detrended Oscillator The Formula MA2[ PRICE - MA1(PRICE) ] The Chart


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Above is a 5 Minute Line Chart of the E-Mini S&P (ES). In the lower pane, the Detrended Oscillator is drawn in a burgundy color, using the preferences specified below. The oscillator oscillates around a reference line of zero. The Preferences



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· Price - Price used as input to MA1. · MA1 - Smoothing type and period used to initially smooth the prices. · MA2 - Smoothing type used to smooth the difference between price and MA1. · Line Color - Color and style of the resulting oscillator line. The Description


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The Detrended Oscillator is calculated by first calculating the difference between "price" and a user specified moving average of "price" for the instrument. The price used may, of course, be the high, low, close, open, average of high and low, or average of high, low, and close. The resulting array of differences is then smoothed according to another user specified moving average. The resulting indicator oscillates around zero. This indicator makes it easy to spot situations when an instrument is trading at historical extremes relative to its average price. The Detrended Oscillator can be used in scans, trading signals, and custom indicators. The RTL token is DTREND. 5.4.26 Directional Indicators The Formula +DI = 100 * wSum(+DMI, n) / wSum(TR, n) -DI = 100 * wSum(-DMI, n) / wSum(TR, n) where n = DI Interval wSum = Welles Summation (Sum = Value + Sum.1* (n - 1) / n) The DMI is calculated as follows ... HiDiff = HI - HI.1 (current high - previous high) LoDiff = LO.1 - LO (previous low - current low) if (HiDiff < 0 and LoDiff < 0) or (HiDiff = LoDiff) then +DMI = 0 - DMI = 0 if (HiDiff > LoDiff) then +DMI = HiDiff -DMI = 0 if (HiDiff < LoDiff) then +DMI = 0 -DMI = LoDiff See Also: TR : True Range See Also: ADX : Average Direction Movement The Chart



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Above is a 5 Minute Line Chart of the E-mini S&P (ES). The lower pane shows the ADX line in orange. In the middle pane, the directional indicator has the DI+ line in green and the DI- line in red. The Preferences


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· DI Interval - Period over which the DMI and True Range values are summed in the DI calculations. · +DI Line Color - Color and style of the +DI line in the chart. · -DI Line Color - Color and style of the +DI line in the chart. The Description



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The Directional Indicator is a momentum indicator which attempts to quantify the trending or directional behavior of a market. It is one of the best trend following indicator in technical analysis. It helps identify trends and whether or not price is moving quickly enough to be worth a long or short play. It also helps traders take a nice profit out of the middle of significant trends. Directional Indicator is defined as the largest part of the current period price range which lies outside the previous period price range. If the larger excess is above the previous period high, it is considered a Positive Directional Indicator, or +DI. If the larger part of the current range is below the previous period low, it is considered a Negative Directional Indicator, or -DI. These values are summed and smoothed using the method described in the formula above. Consider the +DI to measure the percentage of up movement and -DI to measure the percentage of downtrend. When the +DI rises above the DI, it is a bullish signal. A bearish signal occurs when the +DI falls below the -DI. When an instrument is in a trading range, these DI crosses can produce whipsaws. Wilder recommends the following extreme price method to help avoid these whipsaws. Identify an trigger point at the extreme price on the bar the lines cross. If it's a bullish crossing (+DI cross above -DI), you would wait for the price to rise above this extreme price (the high price on the day the lines crossed). If it's a bearish crossing (+DI crosses below -DI), the extreme point is defined as the low price on the day's the lines cross. +DI and -DI are components in the calculation of the ADX (Average Directional Movement) and ADXR (Directional Movement Rating) indicators. ADX and ADXR help confirm signals generated by DI crosses. RTL Tokens Both components of the Directional Indicator and be accessed in RTL. The Positive Directional Indicator (+DI) is represented by the token DIPLUS, while the Negative Directional Indicator (-DI) is represented by the token DIMINUS. The following scan finds instances where the +DI has just crossed above the -DI (a bullish indication). DIPLUS > DIMINUS AND DIPLUS.1 <= DIMINUS.1 Keyboard Adjustment The Direction Indicator Interval can be adjusted directly from they keyboard without opening up the preference window. First, select the indicator, then use the up and down arrow keys to adjust the interval up or down by 1. 5.4.27 True Range The Formula MA(TR, Type, Period) ©2003 - 2009 MarketDelta LLC. All Rights Reserved.

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TR = MAX{ ABS(HI - LO), ABS(HI - CL.1), ABS(CL.1 - LO)} The Presentation

Above is a Daily Candle Chart of GOOG. The blue line in the bottom pane shows the Average True Range for the smoothing period specified. The Preferences



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* Smoothing Period - Smoothing period used to smooth the raw True Range values. If a period of 1 is specified, no smoothing will occur and the raw True Range values will result. *Smoothing Type - Type of moving average used to smooth the raw True Range values. * Actual Range - When this option is selected, the indicator will compute the actual range (maximum high minus minimum low) over the number of bars specified. * Draw As - Color(s) and style used to draw the True Range in the chart. The Description Welles Wilder described these calculations to determine the trading range for a stock or commodity. True Range is defined as the largest of the following: ©2003 - 2009 MarketDelta LLC. All Rights Reserved.

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* The distance from today's high to today's low. * The distance from yesterday's close to today's high. * The distance from yesterday's close to today's low. Wilder included price comparisons among subsequent bars in order to account for gaps in his range calculation. The raw True Range is then smoothed (a 14-period smoothing is common) to give an Average True Range (ATR). The True Range can be smoothed using a variety of moving average types, including Simple, Exponential, Welles Wilder, etc. ATR measures a security's volatility. It does not indicate price direction or duration, rather the degree of price movement. Average True Range can be interpreted using the same techniques that are used with the other volatility indicators. Wilder states that high values of ATR often occur at market bottoms following a sell-off. Low ATR values are often found during extended sideways or consolidation periods. Several other indicators are built off True Range, including DI+/DI-, ADX, and ADXR. 5.4.28 Donchian Channels The Formula Upper Band = MAX(HI, n) Lower Band = MIN(LO, n) Middle Band = (Upper Band + Lower Band) / 2 Note: If the "Include Current Bar" checkbox is uncheck, then only the previous n bars are considered, otherwise, the current bar and previous n-1 bars are considered in the calculation of the band values. The Chart



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Above is a Daily Candle Chart of the E-Mini S&P (ES). The upper band of the Donchian Channel is shown in blue, with the lower band in red and the middle band in grey. The Preferences


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· Period - Period considered when determining the channel values. · Upper Band - If this checkbox is checked, the upper band will be drawn in the color and line style specified to the right. · Lower Band - If this checkbox is checked, the lower band will be drawn in the color and line style specified to the right. · Middle Band - If this checkbox is checked, the middle band will be drawn in the color and line style specified to the right. · Include Current Bar - If this checkbox is unchecked, then only the previous n bars are considered, otherwise, the current bar and previous n-1 bars are considered in the calculation of the band values. For traditional Donchian Channels, this checkbox should remain unchecked, allowing you to see when the price breaks through the channel. The Description Donchian Channels were introduced by Richard Donchian, a pioneer in the field of trend following.



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The Donchian Channel is a simple trend following breakout system. The Donchian Channel works well in trending markets, but doesn't work well in a sideways channel. The signals derived from the Price Channel are based on the following basic rules: · When price closes above the Donchian Channel, buy long and cover short positions. · When price closes below the Donchian Channel, sell short and liquidate long positions. The Donchian Channel indicator is not meant to catch tops or bottoms, only trends. Trend traders may want to extend the standard 4 week period to 8 weeks in order to wait for significant trend signals, while others may shorten the period to a more sensitive 1 or 2 weeks for liquidation purposes. Keyboard Adjustment You can adjust the period of the Donchian Channel by using the keyboard. To increase the period, select the indicator and use the up arrow on your keyboard. To decrease, select and hit the down arrow on your keyboard. 5.4.29 Elastic Volume Weighted Moving Average (eVWMA) The Formula eVWMA = [(N - v) * eVWMA.1 + v*p] / N where... p = price v = volume of bar N = volume "period". This period can either be specified (as a constant value) or computed as a multiple of the recent average volume. The Chart


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Above is a 5 Minute Line Chart of Google (GOOG). The blue line represents the eVWMA using the preferences seen below. The Preferences



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· Volume Period - Volume total that is used to determine the period of the moving average. · Use Constant Value - Use a constant number for the volume period. · Use __ Period Average Volume x __ - Here, you can specify a multiple of the average volume to be used as the volume period. The average volume will be computed using the bars and periodicity of the chart (simple moving average using period specified). In a daily chart, the average will be the daily average volume, if in a 3-minute chart, it will be the average volume of 3-minute bars. · EVWMA Color - Color, thickness, and style of the eVWMA line in the chart. The Description


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eVWMA is a statistical measure using the volume to define the period of the moving average. It incorporates volume information in a natural and logical way. The eVWMA can be looked at as an approximation to the average price paid per share. The ability to "Use Average Volume" as your volume period, makes this indicator both symbol-independent and timeframe independent. This allows the use to switch both timeframe and symbol without having to change the volume period. Prior to version 7.5, when the Volume Period was specified as "Use Average Volume x __", the average was always computed with a period of 40 (40 period moving average of volume). This period has now been made an option, and reads in the preferences as "Use __ Period Average Volume x __". Also, all three available values/periods in the Volume Period groupbox are now "Optimizable" (can be specified using V# variables). These values/periods include the Constant Value, the new volume smoothing Period, and Average Volume multiplier. 5.4.30 Elder's Force Index The Formula EFI = MA( VOL * (CL - CL.1) ) The Chart



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Above is a Daily Candle Chart of the E-Mini S&P (ES). The blue line in the middle window pane represents the Elder's Force Index, based on the preferences specified below. The Preferences · MA Type - Moving average type - Elder's recommends using an exponential moving average. · MA Period - Moving average period - Elder's recommends using a 2 period EMA. · Line Color - Color of the EFI line (or histogram) in the chart. The Description


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The Elder's Force Index uses volume and price change from previous close to determine the momentum behind a price move in a given direction. An increasing Force Index is indicative of strong interest in the direction of the price move while a decreasing Force Index suggests that price is moving counter to the major trend. It is calculated by exponentially smoothing the product of volume and the difference in price from previous close to current close. The default period in MarketDelta® is 2 as suggested by the indicator's author, Alexander Elder. 5.4.31 Engulfing Bullish, Engulfing Bearish Candlestick Patterns The Formula Engulfing Bullish Color = White AND Color.1 = Black AND Shape = Long AND Shape.1 = SMALL AND OP < CL.1 AND CL > OP.1 Engulfing Bearish Color = Black AND Color.1 = White AND Shape = Long AND Shape.1 = Small AND OP >CL.1 AND CL < OP.1 The Chart

Above is an Engulfing Bullish Candlestick Pattern.

Above is an Engulfing Bearish Candlestick Pattern. Candlestick Characteristics The following candlestick characteristics are used to to determine if patterns are present. Some patterns may only use one of these characteristics, while others may use several. Color ©2003 - 2009 MarketDelta LLC. All Rights Reserved.


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Color is either White or Black. Color is considered White for up candles (CL > OP) and Black for down candles (CL < OP). Shape Shape is either Long, Small, or Doji. Shape is considered Long if the Body is larger than the average body size (of previous candles). Shape is considered Doji if the body is less than EP% of the lowest body price, where EP is the Equal Percent option available in the CPR preferences which defaults to 0.50 but can be customized by the user. In other words, it's Doji if: ABS(CL - OP) < (EP/100) * MIN(CL, OP) And the Shape is considered Small if the body is anywhere between Long and Doji. The Shape will always be one of the three (Long, Small, Doji). Top Shadow Top Shadow can be either Long, Small, or Medium. The Top Shadow may also be referred to as the Upper Wick. The Top Shadow is Long if it is greater than body multiplied by LS (the Long Shadow setting in the CPR prefs). The Top Shadow is Small if it is less than body multiplied by SS (the Small Shadow setting in the CPR prefs). The Top Shadow is considered Medium anywhere in between. Bottom Shadow Bottom Shadow can be either Long, Small, or Medium. The Bottom Shadow may also be referred to as the Lower Wick. The Bottom Shadow is Long if it is greater than body multiplied by LS (the Long Shadow setting in the CPR prefs). The Bottom Shadow is Small if it is less than body multiplied by SS (the Small Shadow setting in the CPR prefs). The Bottom Shadow is considered Medium anywhere in between. The Notes These two Engulfing patterns are effected only by the "Equal Percent" (EP) setting in the CPR prefs. Since the previous candle must have a "Small" Body (not Doji or Long), the smaller the EP value, the more likely the previous candle body is to be Small as opposed to Doji. If you're not seeing as many patterns as you expect, try decreasing the Equal Percent value (to something like 0.01). See Also: Candlestick Pattern Recognition indicator. 5.4.32 Equi-Indicator (EquiVolume) The Formula N/A ©2003 - 2009 MarketDelta LLC. All Rights Reserved.

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The Chart

Above is a 5 Minute Line Chart of the E-mini S&P (ES). The lower window pane contains the EQUI indicator. The Preferences



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· Bar Width Based On Indicator - The resulting values indicator selected in this list box (along with the preferences specified for that indicator) control the width of the Equi-Indicator bars. In the example above, the volume (VMA) indicator is selected. Therefore, the greater the volume for the bar, the wider the bar. This configuration is more commonly known as an EquiVolume indicator. · Indicator Preferences - Clicking this button will bring up the preferences of the selected indicator, and allow the user to adjust them. · Bar Style - Three "Bar Styles" are available: "Open, High, Low, Close", "High, Low, Close", and "Close, Previous Close". These control the prices that are represented in the bars. These options are discussed further in the description section below.


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· Up/Down Colors - These colors are used when drawing the body of the bar, based on whether it is an up or down bar. The Description The "Equi-Indicator" is a flexible implementation of the more common EquiVolume indicator. While the EquiVolume indicator bases the width of each bar on the volume of that bar (wider bars for larger volumes), the Equi-Indicator allows the user to base the width of each bar on the magnitude of any indicator. As another example, the user may choose to base the width of the bars on the range (height) of the bars. This would be accomplished by basing the Equi-Indicator on the indicator "Custom Indicator" in the MarketDelta® Professional edition or higher with the syntax of the custom indicator being "HI - LO". Similarly, the width could be based on the number of ticks in the bar, the distance of price from a moving average, or the CCI or RSI value There are three different "Bar Styles", which are each described below. While the style controls the prices and color schemes of the bar, the width is always controlled by the magnitude of the selected indicator. - Open, High, Low, Close - This style is similar in concept to candlesticks, in that the the open, high, low, and close are all represented, and the color of the body reflects whether the bar closed higher than the open. This style can be seen in the chart above in both panes 1 and 2. - High, Low, Close - This style shows only the high, low, and close of each bar, and the color reflects whether the close is greater or less than the previous close. If the current close is greater than the previous close, it is considered an up bar and the up color is used. If the close is less than the previous close, it is considered a down bar and the down color is used. If it is a down bar, the area between the high and close is painted. If it is an up bar, the area between the low and close is painted. - Close, Previous Close - This style simply depicts the relationship between the close and the previous close. A box is drawn between the close and the previous close (with a width based on the value of the selected indicator). If close is greater than previous close, the box is drawn in the up color. If close is less than previous close, the box is drawn in the down color. 5.4.33 Equivolume & Equi-Indicator Information The "Equi-Indicator" is a flexible implementation of the more common EquiVolume indicator. While the EquiVolume indicator bases the width of each bar on the volume of that bar (wider bars for larger volumes), the Equi-Indicator allows the user to base the width of each bar on the magnitude of any indicator. ©2003 - 2009 MarketDelta LLC. All Rights Reserved.


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As another example, you may choose to base the width of the bars on the range (height) of the bars. This can be seen in pane 2 of the chart above (EquiRange). This would be accomplished by basing the EquiIndicator on the indicator "True Range". Similarly, the width could be based on the number of ticks in the bar, the distance of price from a moving average, or the CCI or RSI value There are three different "Bar Styles", which are each described below. While the style controls the prices and color schemes of the bar, the width is always controlled by the magnitude of the selected indicator. - Open, High, Low, Close - This style is similar in concept to candlesticks, in that the the open, high, low, and close are all represented, and the color of the body reflects whether the bar closed higher than the open. This style can be seen in the chart above in both panes 1 and 2. - High, Low, Close - This style shows only the high, low, and close of each bar, and the color reflects whether the close is greater or less than the previous close. If the current close is greater than the previous close, it is considered an up bar and the up color is used. If the close is less than the previous close, it is considered a down bar and the down color is used. If it is a down bar, the area between the high and close is painted. If it is an up bar, the area between the low and close is painted. - Close, Previous Close - This style simply depicts the relationship between the close and the previous close. A box is drawn between the close and the previous close (with a width based on the value of the selected indicator). If close is greater than previous close, the box is drawn in the up color. If close is less than previous close, the box is drawn in the down color. The Chart


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Technical

Indicators

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Bar Width Based On IndicatorThe - resulting values indicator selected in this list box (along with the preferences specified for that indicator) control the width of the Equi-Indicator bars. In the example above, the volume (VMA) indicator is selected. Therefore, the greater the volume for the bar, the wider the bar. This configuration is more commonly known as an EquiVolume indicator. Indicator Preferences - Clicking this button will bring up the preferences of the selected indicator, and allow the user to adjust them. Bar Style - Three "Bar Styles" are available: "Open, High, Low, Close", "High, Low, Close", and "Close, Previous Close". These control the prices that are represented in the bars. These options are discussed further in the description section below. Up/Down Colors - These colors are used when drawing the body of the bar, based on whether it is an up or down bar. 5.4.34 Ergodic Oscillator The Formula Ergodic = TSI Ergodic Signal Line = EMA(TSI) Ergodic Oscillator = TSI - EMA(TSI)


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By default, TSI is setup with a Short Term of 5 and a Long Term of 20 and EMA is setup with a period of 5. The Chart

Above is a 5 Minute Candle Chart of the E-mini S&P (ES). The Ergodic Oscillator is chart in the second pane as a histogram. The Ergodic (Red) and the Ergodic Signal (Blue) lines are charted in the lower pane. The Preferences



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The Ergodic chart seen above can be downloaded and imported into MarketDelta® using the process below (Professional version or higher Required): · Right-click here and choose "Save Target As". · Select a location on your computer to save the Ergodic.txt file (chart definition). · From within MarketDelta®, choose "File: Import: Chart Definition". · Locate and select the Ergodic.txt file you just saved to your computer and then click "Open". · The Ergodic chart should appear. The three custom indicators (Ergodic, ErgodicSig, and ErgodicOsc) will also be imported and appear in the chart. · You may have to download data and/or switch symbols or periodicity in order to properly view the indicators. The Description


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Trading Ergodics with the Trend - Rules 1. Enter or hold position only when slope of Ergodic Signal line has the same direction as the trend. 2. Stand aside when slope of Ergodic Signal Line is in the opposite direction of trend. 3. Enter or exit position when Ergodic and its Signal Line cross RTL Tokens Use the token CI to reference any Custom Indicator. Keyboard Adjustment When any Custom Indicator is selected, press the up or down arrow keys on your computer to directly access the Custom Indicator definition window.To adjust the signal period, hold down the ctrl key while hitting the up or down arrow keys. 5.4.35 Fibonacci Arcs The Formula N/A The Chart



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Above is a Daily Chart of E-mini S&P (ES). The Fibonacci Arcs are drawn with the colors and levels specified in the preferences below. The Preferences


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· Begin - Starting date/time for the trendline period. · End - Ending date/time for the trendline period. - Dictates whether that Fibonacci Arc level will be draw in the chart. · · % Levels - Fib levels at which the Arcs will be drawn. · Color - Color of the Arcs in the chart. Each level can have it's own color and width. · Default - This button will restore the % levels back to recommended default values. The Description Fibonacci Arcs are displayed by first drawing a trendline between two extreme points, for example, a trough and opposing peak The arcs are drawn, centered on the second extreme point, so they intersect the trendline at the Fibonacci levels specified.



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The interpretation of Fibonacci Arcs involves anticipating support and resistance as prices approach the arcs. A common technique is to display both Fibonacci Arcs and Fibonacci Fan Lines and to anticipate support/resistance at the points where the Fibonacci studies cross. Note that the points where the Arcs cross the price data will vary depending on the scaling of the chart, because the Arcs are drawn so that they are circular relative to the computer screen. Keyboard Adjustment The keyboard can be used to move the Fibonacci arcs to the right and left. First, click on the chart. Then hit the tab key repeatedly until you notice your Fibonacci Arc trendline is selected. Then, press the right or left arrow keys on your keyboard to move the entire Fibonacci line right or left one bar. If you would like to move only the endpoint, then hold down the Ctrl key while pressing the right or left arrow keys. If you would like to move only the beginning point, then hold down the Shift key while pressing the right or left arrow keys. 5.4.36 Fibonacci Extensions The Formula N/A The Chart


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Above is a Daily Chart of E-mini S&P (ES). The diagonal red line represents a trendline between two extreme points, based on the datetime ranges specified below. The horizontal trendlines represent the Fibonacci Levels selected in the preferences below. The Preferences



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· Retracement Price Source - Specifies what method will be used for identifying the beginning, ending, and extension points of the extension trendline(s). · Begin/End/Extend - The preferences labeled "Begin" or "End" have different meanings based on which Price Source checkbox is selected. If "Use Bars" is selected, then Begin or End will represent the beginning or ending dates that will be used as endpoints to the trendline. The extreme price of the bar will be used as the endpoint price. If "Use Price" is selected, then Begin or End will represent the beginning or ending prices of the trendline. If "Use Variables" is selected, then Begin and End will be a choice of variable prices, including High, Low, and the V# custom variables. Begin and End are not used for Automatic Retracements.


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· Use Bar - This option allows the user to specify the date/times of the bars that will be used for the extension trendline(s). The prices will be determined based on the high of the higher bar, and the low of the lower bar. · Use Price - This option allows the user to use specific prices as trendline endpoints, independent of the highs and lows of the actual bar data. · Use Variable - This option allows the user to link the trendline endpoints to different variables, including the High and Low of the day, or any of the custom V# variables. By giving the user access to the V# custom variables, the user may set the endpoints to essentially any data accessible using RTL. · Retracement - Retracement options include Price, Time, Both, and Neither. Price Retracement lines are horizontal lines retracing from then ending price of the trendline back towards the beginning price of the trendline. Time retracement lines are vertical lines retracing from the ending date/time back towards the beginning date/time of the trendline. A 70% Price Retracement line drawn on a fib trendline going from $60 to $70 will be drawn as a horizontal line at $63. · Expansions - Expansion options include Price, Time, Both, and Neither. Price Expansion lines are vertical lines projecting past the ending price. Time expansion lines are vertical lines projecting forward in time past the ending date/time. A 50% Time Expansion drawn on a fib trendline that spans 50 bars, will be drawn as a vertical line 25 bars (50% of 50) past the endpoint of the trendline. ·

- Dictates whether that retracement level will be draw in the chart. The last and longest entry box allows the user to enter comma or space delimited numbers for additional retracement levels.

· % Levels - Fib percent levels at which to draw the horizontal lines. These levels can also be $ levels if the "$" checkbox is checked. See "$ (Use Absolute Dollar Retracement)" below. · Color - Color and style of the retracement lines in the chart. Each level can have it's own color and width. If the "One Color" checkbox is checked, then all but one color control will be hidden, and that color will be used for all lines. · Extend Right - Extend the retracement lines to the right edge of the chart.



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· Extend Left - Extend the retracement lines to the left edge of the chart. · Show %/$ - Show the % or $ retracement or expansion levels of each line. · Show Price - Show the price of each line. · Text on Right - Place the text labels on the right side of the chart. · One Color - Allow the user to specify only one color for all retracement lines, as opposed to unique color for each. When check, all color controls except one will be hidden. · $ (Use Absolute Dollar Retracements) - This option changes your retracement levels from % levels to absolute $ levels. For instance, if your trendline is drawn from 10 to 20, in the % mode, a retracement of 10(%) would bring you back to 19, while in the $ mode, a retracement of 10($) would bring you back to 10. · Live - When this option is checked, a line is drawn at the right edge of the chart showing the actual percent retracement level of the current bar. This value/line updates dynamically as price changes. The Description A new indicator called Fibonacci Extensions has been added to MarketDelta®. A drawing tool button for this indicator is on the chart toolbar. The Fibonacci Extensions tool is similar to the Fibonacci Retracements tool. The Fibonacci Extensions indicator requires a third point. The extensions and retracement levels are drawn from this third point, but based upon the distance between the first two points. A common use of this tool is to first connect two points that represent the endpoints of a major trend (or wave). Then choose the third point to be the endpoint of a retracement of that trend. Extensions are then drawn in the direction of the initial trend, from the third point, using the distance between points one and two as a basis for the extension levels. For example, suppose the initial trendline moved in price from 100 (point 1) to 110 (point 2). Then, price retraced to 105. The 0% extension line would then be drawn at 105 (105 + 0%*(110 - 100)). A 100% extension line would be drawn at 115 (105 + 100%*(110 - 100)). A 50% extension line would be drawn at 110 (105 + 50%*(110 - 100))... and so on.


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The Fibonacci Extensions toolbar button and drawing tool work much like the Andrew's Pitchfork drawing tool. First, click on the Fibonacci Extension button on the toolbar. Then, click three times, once on each of the points that are involved in the Fibonacci Extension. The first click should be on the starting point of the initial trendline. The second click should be on the ending point of the initial trendline. The third click should be on the ending bar of the retracement period. As with Fibonacci Retracements, there is a great deal of flexibility for all three price points (Begin, End, and Extend Prices). Each price level can have "Use Bar" or "Use Price" selected. If "Use Bar" is selected, the endpoints will snap to the extreme prices of the corresponding bars. If "Use Price" is selected, the exact price at each mouse click point will be used. Fibonacci Extension share the same flexibility as Fibonacci Retracements regarding "Show Price", "Show %", "Extend Left", "Extend Right", "Text on Right", etc. Also, both retracements and extensions in both time and price may be drawn. Keyboard Adjustment The keyboard can be used to move the first trendline points to the right and left. First, click on the chart. Then hit the tab key repeatedly until you notice your Fibonacci Extension lines are selected. Then, press the right or left arrow keys on your keyboard to move the entire Fibonacci line right or left one bar. To move the trendline up or down, press the up and down arrows on the keyboard. If you would like to move only the endpoint, then hold down the Ctrl key while pressing the right or left arrow keys. If you would like to move only the beginning point, then hold down the Shift key while pressing the right or left arrow keys. 5.4.37 Fibonacci Projections The Formula N/A The Chart



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Above is a Daily Chart of the E-mini S&P (ES). The diagonal red line represents a trendline between two extreme points, based on the datetime ranges specified below. The three horizontal trendlines represent the Fibonacci Levels selected in the preferences below. The Preferences


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· Begin - Starting date/time for the trendline period. · End - Ending date/time for the trendline period. - Dictates whether that projection lines will be draw in the chart. · · % Levels - Fib levels at which to draw the projection lines. · Fan Line Color - Color of the projection lines in the chart. Each level can have it's own color and width. · Default - This button will restore the % levels back to recommended default values. The Description



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Fibonacci Projections, or Fan Lines, are displayed by drawing a trendline between two extreme points, for example, a trough and opposing peak. Then an "invisible" vertical line is drawn through the second extreme point. Three trendlines are then drawn from the first extreme point so that they pass through the invisible vertical line at the Fibonacci levels of 23.6 %, 38.2 %, 50.0 %, 61.8 %, 76.4%, or whatever customized levels you prefer. Keyboard Adjustment The keyboard can be used to move the Fibonacci points to the right and left. First, click on the chart. Then hit the tab key repeatedly until you notice your Fibonacci Projection lines are selected. Then, press the right or left arrow keys on your keyboard to move the entire Fibonacci line right or left one bar. If you would like to move only the endpoint, then hold down the Ctrl key while pressing the right or left arrow keys. If you would like to move only the beginning point, then hold down the Shift key while pressing the right or left arrow keys. 5.4.38 Fibonacci Retracements The Formula N/A The Chart


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Above is a Daily Chart of the E-mini S&P (ES). The diagonal red line represents a trendline between two extreme points, based on the datetime ranges specified below. The horizontal trendlines represent the Fibonacci Levels selected in the preferences below. The Preferences



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· Retracement Price Source - Specifies what method will be used for identifying the beginning and ending points of the retracement trendline. · Begin/End - The preferences labeled "Begin" or "End" have different meanings based on which Price Source checkbox is selected. If "Use Bars" is selected, then Begin or End will represent the beginning or ending dates that will be used as endpoints to the trendline. The extreme price of the bar will be used as the endpoint price. If "Use Price" is selected, then Begin or End will represent the beginning or ending prices of the trendline. If "Use Variables" is selected, then Begin and End will be a choice of variable prices, including High, Low, and the V# custom variables. Begin and End are not used for Automatic Retracements.


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· Use Bar - This option allows the user to specify the date/times of the bars that will be used for the retracement trendline. The prices will be determined based on the high of the higher bar, and the low of the lower bar. · Use Price - This option allows the user to use specific prices as trendline endpoints, independent of the highs and lows of the actual bar data. · Use Variable - This option allows the user to link the trendline endpoints to different variables, including the High and Low of the day, or any of the custom V# variables. By giving the user access to the V# custom variables, the user may set the endpoints to essentially any data accessible using RTL. · Automatic Using Last X bars - This option provides for an auto-fib retracement capability. If this options is checked, then a trendline will automatically be drawn from the highest high to the lowest low over the past X bars, and then the Fibonacci levels will be drawn off this. · Price Projections - This turns the Fibonacci Tool into a Price Projection tool. In this mode, it will use only one price, and base it's retracements off retracements from that price down to zero. If the price is 100.0, then a 10% retracement line would be drawn at 90, while a 20% projection line would be drawn at 120. It gives the user an ability to draw multiple reference lines all based off one common price. · Retracement - Retracement options include Price, Time, Both, and Neither. Price Retracement lines are horizontal lines retracing from then ending price of the trendline back towards the beginning price of the trendline. Time retracement lines are vertical lines retracing from the ending date/time back towards the beginning date/time of the trendline. A 70% Price Retracement line drawn on a fib trendline going from $60 to $70 will be drawn as a horizontal line at $63. · Expansions - Expansion options include Price, Time, Both, and Neither. Price Expansion lines are vertical lines projecting past the ending price. Time expansion lines are vertical lines projecting forward in time past the ending date/time. A 50% Time Expansion drawn on a fib trendline that spans 50 bars, will be drawn as a vertical line 25 bars (50% of 50) past the endpoint of the trendline. ·

- Dictates whether that retracement level will be draw in the chart. The last and longest entry box allows the user to enter comma or space delimited numbers for additional retracement levels. ©2003 - 2009 MarketDelta LLC. All Rights Reserved.


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· % Levels - Fib percent levels at which to draw the horizontal lines. These levels can also be $ levels if the "$" checkbox is checked. See "$ (Use Absolute Dollar Retracement)" below. · Color - Color and style of the retracement lines in the chart. Each level can have it's own color and width. If the "One Color" checkbox is checked, then all but one color control will be hidden, and that color will be used for all lines. · Extend Right - Extend the retracement lines to the right edge of the chart. · Extend Left - Extend the retracement lines to the left edge of the chart. · Show %/$ - Show the % or $ retracement or expansion levels of each line. · Show Price - Show the price of each line. · Text on Right - Place the text labels on the right side of the chart. · One Color - Allow the user to specify only one color for all retracement lines, as opposed to unique color for each. When check, all color controls except one will be hidden. · $ (Use Absolute Dollar Retracements) - This option changes your retracement levels from % levels to absolute $ levels. For instance, if your trendline is drawn from 10 to 20, in the % mode, a retracement of 10(%) would bring you back to 19, while in the $ mode, a retracement of 10($) would bring you back to 10. · Live - When this option is checked, a line is drawn at the right edge of the chart showing the actual percent retracement level of the current bar. This value/line updates dynamically as price changes. The Description The Fibonacci Retracement / Expansion study is a very flexible tool in MarketDelta®, allowing for drawing of both retracement and expansion lines, based on either price (horizontal), time (vertical), both. The Fibonacci trendline endpoints can be automated, can be user specified, can snap to extreme prices, or can even be set automatically to any custom value using a scan. Over 16 custom retracement/expansion levels can be drawn with each instance of the study. The price retracements can be based on either % levels, or absolute price ($). ©2003 - 2009 MarketDelta LLC. All Rights Reserved.

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Fibonacci Retracements are displayed by first drawing a trendline between two extreme points, for example, a trough and opposing peak. A series of 8 or more horizontal lines can be drawn intersecting the trendline at the Fibonacci levels of 0.0 percent, 23.6 percent, 38.2 percent, 50 percent, 61.8 percent, 100 percent, 161.8 percent, 261.8 percent, or whatever custom levels you prefer. Levels can be specified in unit of % or $. After a significant move, (either up or down), prices will often retrace a significant portion (if not all) of the original move. As prices retrace, support and resistance levels often occur at or near the Fibonacci Retracement levels. A new checkbox (labeled "$") in the lower right hand corner of the Fibonacci Retracement preference allows the user to setup the study to use absolute price retracements as opposed to % retracements. Typically, the Fibonacci retracement interprets the levels as % levels on which to draw retracement lines. With the absolute price retracement option checked, the retracement lines will be drawn at absolute price distances from the endpoint. This option in combination with the Price Projection option gives the user to draw multiple horizontal reference lines at specific price levels throughout the chart. Fibonacci Retracements now maintain their high or low prices and positions properly when switching periodicities, regardless of the price sources specified. In the past, when using the "Use Bar" option, switching intraday periodicities could sometimes result in slightly altering the price of the endpoints. Now, when switching from a 10minute chart to a 1-minute chart, for instance, the endpoints will maintain their high and low positions, and attach themselves to the proper 1-minute bars which contain those highs and lows. Switching back to a 10-minute chart will again maintain the original 10-minute prices and endpoints. Retracement Price Source



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The user has a great deal of flexible automation available in determining the endpoints of the retracement trendline. Four options are available. The "Use Bars" option allows the user to specify the date/times of the bars that will be used for the retracement trendline. The prices will be determined based on the high of the higher bar, and/ or the low of the lower bar. When dragging and dropping, the endpoints will snap to the high or low of the bar on which it is dropped. "Use Price" allows the user to use specific prices as trendline endpoints, independent of the highs and lows of the actual bar data. This option should be specified if the user wants complete flexibility over where the endpoints can be dragged and dropped. "Use Variables" allows the user to link the trendline endpoints to different variables, including the High and Low of the day, or any of the custom V# variables. By giving the user access to the V# custom variables, the user may set the endpoints to essentially any data accessible using RTL. "Automatic Retracement Using last X bars" provides for an auto-fib retracement capability and is discussed further below. Automatic Fibonacci Retracments If you select the "Use last X bars" option, then your Fibonacci trendline becomes automated and can then change dynamically as new prices come into the chart. The Fibonacci trendline will be drawn from the highest high over the period specified to the lowest low, and the resulting retracement levels will then be draw respectively. The trendline, and thus the retracement levels, can change with each new tick and each new bar. The Begin and End date-times will be ignored in this situation, as the indicator always be based on the most recent period of bars. As a new bar comes into the picture for consideration, an old one is no longer considered. RTL Tokens FIBR The Auto-Fibonacci Retracement study has been added to the RTL language in the form of the token FIBR. The FIBR token represents the % retracement level based on an automated trendline connected the high and low extremes of the retracement period specified in the preferences. The only preferences that is used for the FIBR token is the auto-retracement period along with a checkbox labeled "Use Hi/Lo". If a period of 50 is specified, for instance, then MarketDelta® looks back over the past 50 bars and finds the highest high and lowest low and constructs trendline between these two. Then, the FIBR result is computed as the percent that the current price has retraced from the endpoint of the trendline vertically back toward the starting point. If the "Use Hi/Lo" checkbox is checked, then the high or low value of the current bar will be used when determining the retracement level. If the Fibonacci trendline slope is positive, then the low will be used, while a negative slope dictates the high will be used.


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Keyboard Adjustment The keyboard can be used to move the Fibonacci points to the right and left. First, click on the chart. Then hit the tab key repeatedly until you notice your Fibonacci Retracement lines are selected. Then, press the right or left arrow keys on your keyboard to move the entire Fibonacci line right or left one bar. To move the trendline up or down, press the up and down arrows on the keyboard. If you would like to move only the endpoint, then hold down the Ctrl key while pressing the right or left arrow keys. If you would like to move only the beginning point, then hold down the Shift key while pressing the right or left arrow keys. 5.4.39 Finite Volume Elements The Formula INTRA = LOG(HI) - LOG(LO) VINTRA = STD(INTRA, PERIOD) INTER = LOG(TYP) - LOG(TYP.1) VINTER = STD(INTER, PERIOD) CUTOFF = 0.1 * (VINTER + VINTRA) * CL MF = CL - (HI + LO)/2 + TYP - TYP.1 VE = Volume Element IF(MF > CUTOFF) VE = +VOL ELSE IF(MF < -CUTOFF) VE = -VOL ELSE VE = 0 FVE = 100 * SUM(VE, PERIOD) / (MA(VOL, PERIOD) * PERIOD) where STD = Standard Deviation LOG = Natural Logarithm (base e) TYP = Typical Price (HI + LO + CL)/3 PERIOD = FVE Period The Chart



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Above is a 5 Minute Candle Chart of the E-mini S&P (ES). The lower window pane contains the Finite Volume indicator with the preferences below. The Preferences


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· FVE Period - Time segment chosen. This period is used in extensively in the calculation of FVE as seen in the formula section above. · Smoothed FVE - If checked, the result will be a smoothed FVE using the smoothing period and type specified below. · Smoothing Period - Period used to smooth the data, when "Smoothed FVE" is checked. · Smoothing Type - Type of smoothing used, when "Smoothed FVE" is checked. · Draw As - Options for drawing the FVE as a line (continuous, connected, two color, or stepped), or a histogram (hollow, solid, or custom histogram).



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The Description The Finite Volume Element Indicator (FVE) was developed by Markos Katsanos and introduced in the April 2003 issue of Technical Analysis of Stocks & Commodities magazine. It was modified for volatility in the September 2003 issue of TASC. FVE is a money flow indicator but with two important differences from existing money flow indicators: · It resolves contradictions between intraday money flow indicators (such as Chaikin’s money flow) and interday money flow indicators (like On Balance Volume) by taking into account both intra- and interday price action. · Unlike other money flow indicators which add or subtract all volume even if the security closed just 1 cent higher than the previous close, FVE uses a volatility threshold to take into account minimal price changes. The FVE provides 3 types of signals: 1. The strongest signal is divergence between price and the indicator. Divergence can provide leading signals of breakouts or warnings of impending corrections. The classic method for detecting divergence is for FVE to make lower highs while price makes higher highs (negative divergence). An alternative method is to draw the linear regression line on both charts, and compare the slopes. A logical buy signal would be for FVE, diverging from price, to rise sharply and make a series higher highs and/or higher lows. 2. The most obvious and coincident signal is the slope of the FVE line. An upward slope indicates that the bulls are in control and the opposite for downward. 3. This is a unique and very important property of this indicator. Values above zero are bullish and indicate accumulation while values below zero indicate distribution. FVE crossing the zero line indicates that the short to intermediate balance of power is changing from the bulls to the bears or vice versa. The best scenario is when a stock is in the process of building a base, and FVE diverges from price and rises to cross the zero line from below, at a sharp angle. Conversely the crossing of the zero line from above is a bearish signal to liquidate positions or initiate a short trade. 5.4.40 Fisher Transform (FISH) The Formula ©2003 - 2009 MarketDelta LLC. All Rights Reserved.

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FISH = 0.5*LOG((1+Value)/(1-Value))+0.5*FISH.1 Value = 0.33*2*((Price - MinLo)/(MaxHi - MinLo) - 0.5)+0.67*Value.1 MinLo = Min(Lo, Period) MaxHi = Max(Hi, Period) Price = User Specified (Hi+Lo/2 is recommended) Period = User Specified (10 is recommended) The Chart

Above is a 5 Minute Candle Chart of the E-mini S&P (ES). The lower window pane contains the Fisher Transform indicator with the preferences below. The Preferences



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· Price - Price value used as input for the computation. Options include Open, Close, High, Low, HI+LO/2, HI+LO+CL/3, O+H+L+C/4, % Change, or OP+CL/2. · Period - Period used to compute the maximum high and minimum low in the calculation above. The Description Fisher Transform (FISH) is based on the article "Using The Fisher Transform" by John Ehlers that will be available in the November 2002 issue of Stocks and Commodities Magazine. FISH has sharp and distinct turning points that occur in a timely fashion. It is based on the assumption that prices do not have a Gaussian probability density function (PDF), but you can create a nearly Gaussian PDF for prices by normalizing price, or an indicator such as RSI, and applying the Fisher Transform. The resulting peak swings clearly identify price reversals.


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RTL Tokens FISH The Fisher Transform can be referenced in the RTL language using the token FISH. To scan for the bullish signal (swing low) of the FISH turning up below the -1 line, use the following syntax: FISH < -1 AND FISH > FISH.1 AND FISH.1 <= FISH.2 And to scan for the bearish signal (swing high) of FISH turning down above the 1 line, use the following syntax: FISH > 1 AND FISH < FISH.1 AND FISH.1 >= FISH.2 Keyboard Adjustment The Fisher Transform period can be adjusted directly from the keyboard without having to open up the preferences window. Just select the indicator and then hit the up or down keys on your keyboard to adjust the period. The up arrow key increases the period by 1 while the down arrow key decreases the periods by 1. 5.4.41 Footprint Bar Statistics Refer to Charts | Footprint | Adding Technical Indicators | Footprint Bar Statistics. 5.4.42 Footprint Price Statistics Refer to Charts | Footprint | Adding Technical Indicators | Footprint Price Statistics. 5.4.43 Fractals (FRAC) The Formula N/A The Chart



Above is a Daily Chart of the SPDR Trust ETF (SPY). The Fractal indicator is drawn overlaying the SPY candles, using the preferences seen below. The Preferences


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· Bars Involved - The number of bars required in order for a fractal to be considered complete. Traditionally, fractals involve 5 bars. A 5-bar up fractal defines a pattern where one bars is preceded 2 bars with lower highs and followed by 2 bars with lower highs (deviations exist and are discussed below). Others options include 3, 7, 9, 11, 13, 15, 17, or 19 bars. · Up Fractal - Marker size, style, and position for up fractals. Up fractals occur when a bars high exceeds the high of a given number of preceding and following bars. · Down Fractal - Marker size, style, and position for down fractals. Down fractals occur when a bars low is lower than the low of a given number of preceding and following bars.Label Markers With Stop Price If this box is checked, the markers will be labeled with the "Stop Price". The Stop Price value is dictated by the following preference. ©2003 - 2009 MarketDelta LLC. All Rights Reserved.


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· Stop Price is ___ Outside Fractal Extreme - The "Fractal Extreme" is the high price of an up fractal, or the low price of a down fractal. If a value of 0.25 outside fractal extreme is specified, and an up fractal occurs with a high of 875.50, then the marker will be labeled with a stop price of 875.75. Similarly, if a down fractal occurred with a low price of 860.25, then the down fractal marker would be labeled with a stop price of 860.00. On up fractals, the stop price is generally placed one "tick" above the high price, and the stop is considered a "Buy Stop" in which a long position should be entered when price returns to that stop price. On down fractals, the stop price is generally placed one "tick" below the low price, and the stop is considered a "Sell Stop" in which a short position should be entered when price returns to that stop price. · Only Label When Fractal Markers Are Selected - If this checkbox is checked, the marker labels will only appear when the indicator/markers are selected. This can reduce clutter in the chart, and draw labels only when needed. · Label Only The Selected Marker When Selected - If this checkbox is checked, then only the marker that was selected will be labeled. If this checkbox is unchecked, all labels will be shown when markers are selected (provided that option is turned on as well). · Reference Line At Selected Marker Stop Price - If this option is checked, a reference line will be drawn at the markers stop price when that marker is selected. · Label Font - This controls the font, size, and style of the marker label. The Description The MarketDelta® Fractal indicator is based upon the "Bill Williams Fractal" in the book "Trading Chaos" by Bill Williams, PhD. A fractal is an entry technique that is traditionally defined as "a bar that has two preceding and two following bars with lower highs (or lower lows, on a down move)". Several different varieties of up and down bar 5-bar fractal formations can be seen below.


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5.4.44 Gann Lines and Gann Angles The Formula The 1x1 line is drawn from a significant low to a significant high. This line represents a 45 degree angle, or a slope of 1. Other angles are then drawn as multiples of the 1x1 line, with the same origin. For instance, the 2x1 line is drawn as a line with twice the slope of the 1x1 line but beginning at the same point. The Chart



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Above is a Daily Candlestick Chart of the E-mini S&P (ES) . The red line represents the 1x1 Gann Angle, the other angles are shown in the preferences below. The Preferences


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· Begin - The date/time of the bar to which the beginning of the 1x1 line is attached. · End - The date/time of the bar to which the ending of the 1x1 line is attached. · 1 x __ x 1 - There are up to 5 customizable Gann angle multiples, each with their own color, line thickness and line style. The Description William Gann (1878-1955) developed a unique combination of geometric and mathematical principles, which he applied to trading stocks and commodities. The proportional relationship of time to price was the basis for much of Gann's work.



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Price and time come together in Gann angles, which project trend lines from important tops or bottoms. All of Gann's angles are quoted in price to time relations, (i.e., 1 x 8). Translated, this means move 1 unit of time to the right and 8 units of price, up or down. The angle representing price and time in balance is 45 degrees (1 x 1, price to time). To Gann, this was the most important angle. Other important angles, in order of importance are: 2 x 1 and 1 x 2, 4 x 1 and 1 x 4, 8 x 1 and 1 x 8. These lines are drawn down from the top or up from the bottom. Keyboard Adjustment The keyboard can be used to move the Gann Angles begin and end points left and right. First, click on the chart. Then hit the tab key repeatedly until you notice your Fibonacci Retracement lines are selected. Then, press the right or left arrow keys on your keyboard to move both the begin and end points right or left one bar. If you would like to move only the endpoint, then hold down the Ctrl key while pressing the right or left arrow keys. If you would like to move only the beginning point, then hold down the Shift key while pressing the right or left arrow keys. You can also drag the begin and endpoints of the 1x1 angle to other positions on the chart. 5.4.45 Heiken Ashi The Chart


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This chart contains the Heiken-Ashi chart discussed in the article "Using the Heiken-Ashi Technique" in the February 2004 issue of Technical Analysis of Stocks & Commodities Magazine. More information can be found here. To replicate this chart in your MarketDelta® right click here and follow below. · Save the file to disk as a .txt file. · In MarketDelta® choose "File: Import: Chart Definition" from the main menu. · The chart should appear. If it is blank change the symbol and/or download data for the symbol shown. 5.4.46 Indicator Adjusted Average (IAA) The Formula IAA = MA(Price, Simple, n) where... n = IND * (maxN - minN) / (maxIND - minIND) maxN = Maximum Period minN = Minimum Period IND = Indicator Value at current bar maxIND = Maximum Indicator Value in chart minIND = Minimum Indicator Value in chart The Chart



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Above is a Daily Chart of the E-mini S&P (ES). The bold blue line in the upper window pane represents a Volatility Adjusted Average of the closing price using the preferences below. The volatility is also depicted in the lower window pane in blue. The Preferences


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· Indicator - Indicator which will be used to determine the smoothing period. · Indicator Preferences - Clicking on this button will bring up the preferences for the indicator listed in the list box above. You can set up specific preferences for the adjusting indicator. · Price - Data value used for computation of the adjusted average. · Minimum Period - Lower limit for the adjustable period being used. · Maximum Period - Upper limit for the adjustable period being used. · Line Color - Color used to draw the adjusted average line in the chart.



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The Description The MarketDelta® indicator entitled “Indicator Adjusted Average” allows the user to create a Moving Average whose period varies within a specified range and is determined based on the value of any other selected indicator within that indicators range. The indicator used to control the variance of the moving average period can be any of the 80+ predefined indicators or even a custom indicator created using the MarketDelta® RTL language. The preferences for the Indicator Adjusted Average can be seen above. The development of the Indicator Adjusted Average was inspired by the article entitled "Variable Interval Moving Average" in the July 2001 issue of Stocks and Commodities Magazine. The best way to simulate the Variable Interval Moving Average is to use a Volatility Indicator as the underlying indicator in the Indicator Adjusted Average study, and assign a range of periods from 10 to 50. The range of maximum and minimum volatility values will be calculated, and then compared to the volatility values for each bar to decide which period between the maximum / minimum range will be used to compute the moving average for that bar. The Indicator Adjusted Average may also be used in the MarketDelta® Scan language to automatically search for crossovers or breakouts. The scan token is IAA. The Token IAA The scan token is IAA. 5.4.47 Indicator Weighted Average (IWA) The Formula IWA = SUM(PRICE * ABS(INDICATOR), n) / SUM(ABS(INDICATOR), n) where... PRICE is the selected price data (cl, hi, lo, etc.) INDICATOR is the selected indicator value The Chart


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Above is a Daily Chart of the E-mini S&P (ES). The blue line represents a 12 Period Volume Weighted Average of the closing price. The volume analysis is show in the lower window pane of the chart. The Preferences



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· Indicator - Indicator which will be used to weight-average the price data over the specified period. · Indicator Preferences - Clicking on this button will bring up the preferences for the indicator listed in the list box above. You can set up specific preferences for the weighting indicator.Price - Data value used for computation of the weighted average. · Period - Number of bars used in computation of the weighted average. · Line Color - Color used to draw the weighted average line in the chart. The Description


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MarketDelta® has a flexible technical indicator in its library of built-in studies called the “Indicator Weighted Average” or IWA. The IWA is simply a moving average that is weighted using another indicator. The weighting can be based on any of the built-in indicators in the MarketDelta® library, or any user-defined custom indicators. The IWA gives the user control over the period, the price data to be weightaveraged (close, high, low, open, hi +lo/2, ohlc/4, etc.), and the indicator used to weight the data. When you choose a weighting indicator, you specify the preferences relevant to that indicator. The IWA makes it easy to code weighted average indicators such as the VWAP. For the example above, we show the VWAP. First, click on the “Add Technical Indicator” button in the charting toolbar and add the IWA indicator to your chart with the preferences shown above… As seen above, the Volume Analysis Indicator was chosen as the weighting factor. Click on the “Indicator Preferences” button and specify the settings for the volume analysis. In this example, specify a smoothing period of one so that raw volume data will be used in weighting the price data. Specify a higher smoothing period if you want to weight using a smoothed volume average. The raw volume will be used to weight the closing price data and average it over a 5-period span. The chart above shows the VolumeWeighted average (VWAP) in blue. The Volume indicator themselves has been added to the lower windowpane. The chart above is a daily chart, but the IWA can be used in charts of any intra-day periodicity as well. Using IWA, MarketDelta® users can develop an unlimited array of weighted moving averages and use them in scans, charts, trading signals, and backtests. 5.4.48 Info Box The Formula N/A The Chart



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Above is a Daily Candlestick Chart of Google (Goog). The Info Box is shown on the left side of the upper window pane, representing the preferences below. The Preferences


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· Font - Font style and size of all text in the Info Box. · Text Color - Color of the text and the Info Box border. · Background Color - Color of the Info Box background. · Width - Width, in pixels, of the Info Box. · Show Last Price and Change - If this checkbox is checked, the closing price and the change will be shown in the box. · Show Op, Hi, Lo ,Vol - If this checkbox is checked, the open, high, low, and volume will be displayed. · Show Bid/Ask/Sizes - If this checkbox is checked, the bid and ask prices, in addition to the bid and ask sizes, will be shown. ©2003 - 2009 MarketDelta LLC. All Rights Reserved.


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· Show Which Bar - Determines what data is displayed in the Info Box. If "current bar" is selected, then the info box will always show the data representing the most current bar in the chart (regardless of mouse pointer position). If "Prior Bar" is selected, the Info Box will always show the data representing the next to last bar (last completed bar) in the chart (regardless of mouse pointer position). If "Mouse Pointer" is selected, the data shown will represent the bar on which the mouse pointer is positioned. The Description Info Box is a chart "indicator" that provides a tabular display of an instrument's market data and optionally, the values of technical indicators displayed in the chart window. User preferences are provided for background and text color, text font and size. The height of the info box is determined by the software based on the content requested. The width of the info box can be specified by the user in the preferences and can be adjusted using the keyboard. The market data displayed can be for (a) the current bar (the bar in progress), or (b) the last completed bar, (c) the bar on which the mouse pointer is resting. Multiple info boxes can be added to the same or different panes within a chart. For example, you could have one info box showing the current values of an instrument, and another info box setup to show the values of all technical indicator in the chart based on the bar where the mouse is pointing. By default, info boxes are positioned in the upper left corner of the window pane. Info Boxes can be dragged and dropped from one pane to another using the mouse. The preferences for the info box can be accessed by right-clicking inside the box. An Info Box can be "selected" by clicking once inside the box. The border rectangle is drawn slightly thicker when the box is selected. When selected a variety of keyboard shortcuts are provided for moving the box's position inside the window pane, or expanding/contracting the width of the info box. When an Info Box is "Selected": Left arrow key moves the Info Box 1 pixel left. Right arrow key moves the Info Box 1 pixel right. Up arrow key moves the Info Box 1 pixel up. Down arrow key move the Info Box 1 pixel down. Hold down the arrow key for continuous movement of the box in the desired direction. If the Shift key is held down while using the up/down/left/right arrow keys, the movement increment is 5 pixels at a time for faster movement of the box in the desired direction. ©2003 - 2009 MarketDelta LLC. All Rights Reserved.

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If the Ctrl key is held down the left and right arrow keys will contract and expand the width of the Info Box. Hold down the ctrl and arrow keys together for continuous width adjustments. Use the Ctrl key in conjunction with the up and down arrow keys to adjust the display content of the Info Box. There are three choices for market data content. Any or none of these can be setup for display: 1. Last Price and Change 2. Open, High, Low, Volume 3. Bid/Ask and Bid/Ask Sizes In addition, there are three choices for the kind of technical indicator content to be shown: 1. All Indicators in the Chart 2. Just the Indicators in the Pane containing the Info Box 3. No indicators This give rise to 24 combinations of content options. You can easily adjust the content settings by right-clicking on the Info Box to edit the preferences, or you can ctrl-up arrow or ctrl-down arrow to cycle through all of the content variations visually using the keyboard. The Info Box preferences window has a checkbox titled "Use Indicator Colors". When checked, the text of each technical indicator value shown in the Info Box is drawn in a color obtained from the preferences for the indicator. Thus if you have both red and green moving averages in the chart, then the values will be shown using those "line colors" so you can distinguish between them. To keep the Info Box as narrow as possible, MarketDelta® uses short abbreviations for each indicator (e.g. MA, CCI, MACD, etc.) so the color coding is recommended so you can equate the value with the appropriate indicator when where are two or more of the same indicator in the chart. 5.4.49 Keltner Channels The Formula Center Line: MA(CL, Period, Type) Hi Band: Center Line + MA(True Range, Period, Type) * HiMultiplier Lo Band: Center Line - MA(True Range, Period, Type) * LoMultiplier The Chart



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Above is a Daily Chart of the E-mini S&P (ES). The grey line is the center line of the Keltner study, while the blue and redlines represent the high and low bands, based on the preferences specified below. The Preferences


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· MA Type - Moving Average type, which is applied to both the true range, and the closing price in the calculation. · MA Period - Moving Average period, which is applied to both the true range, and the closing price in the calculation. · Center Line Color - Color of the Center Line. · Hi Band Color - Color of the High Band. · Lo Band Color - Color of the Low Band. The Description



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The Keltner Channel is a volatility-based indicator which makes us of the "envelope theory" and uses the range of high and low. Moving average bands and channels, like the Keltner Channels, all fall into the general category of envelopes. Envelopes consist of three lines: a middle line and two outer lines. Envelope theory states that the price will most likely fall within the boundaries of the envelope. If prices drift outside our envelope, this is considering and anomaly and a trading opportunity. In the case of Keltner Channels, when the price touches or moves past either of the outer bands, a reaction toward the opposite band can be expected. When price reaches the upper band, it is believed to be overbought, and when price reaches the lower band, it is believed to be oversold. 5.4.50 Linear Regression The Formula The least square method is used to determine the best line to fit the series of data points. The Standard Deviation is computes as follows: - Sum the squares of the differences between the raw prices, and the linear regression line. - Divide this sum by number of bars in the regression series data range. - Take the square root of the result, giving the standard deviation. The Chart


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Above is a Daily Chart of the E-min S&P (ES). The blue center line represents the regression line, based on the preferences selected below. The red lines represent channels based on the standard deviations specified in the preferences below. The Preferences



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· Price - Price data to be used as input in calculating the regression line. · Pre-Smoothing Type - Smoothing type used to pre-smooth data before performing the regression. · Pre-Smoothing Period - Smoothing Period used to pre-smooth data before performing the regression. · Data Range - This group box contains the options used to specify where the regression analysis will begin and end. · Automated using the last X bars - This option results in an automated moving regression line, always using the most recent X bars.


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· From dd/mm/yy hh:mm:ss to dd/mm/yy hh:mm:ss - This option allows the user to specify a specific start and end point in time. · From dd/mm/yy hh:mm:ss to Present - This option results is an automated moving regression line, always beginning at a specific fixed starting bar, and always ending at the most recent bar. The data range will expand as time moves forward. · Standard Deviation(s) Above - Number of standard deviations above the regression line to draw a parallel channel line. (0 for no line) You may specify multiple channel levels here, simply by comma separating the values (eg. 1, 1.5, 2). · Standard Deviation(s) Below - Number of standard deviations below the regression line to draw a parallel channel line. (0 for no line) You may specify multiple channel levels here, simply by comma separating the values (eg. 1, 1.5, 2). · Raff Channels - Developed by Gilbert Raff, this method finds the maximum distance between any closing price and the regression line. This distance is then used as the basis for the channels. The channels are drawn parallel to the regression line, at a distance above and below the line equal to the maximum distance computed. The upper channel is then used for support, while the lower channel is used for resistance. · Extend Line to Present - Check this box if you would like your regression line (and channel lines if applicable) extended to the right of the chart. · Regression Color - Color and style of the regression line in the chart. · Channel Color - Color and style of the channel line(s) in the chart. The Description Linear regression is a statistical tool used to predict the future from past data, and commonly used to determine when prices are overextended. The MarketDelta® Linear Regression tool uses a least square method to plot a "best-fit" straight line through a series of data points. The data points used as input can be any of the following: Open, Close, High, Low, Hi+Lo/2, Hi+Lo+Cl/3, OHLC/4, %Change, or Op+Cl/2. These data points can be optionally pre-smoothed prior to construction of the best-fit line. If no smoothing is desired, simply chose a smoothing period of 1.



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Several options exist for selecting the range of prices that will be included in the regression analysis (Data Range). The first option "Automated using the last X bars", results in an automated moving regression line, always using the most recent X bars. The second option, "From dd/mm/yy hh:mm:ss to dd/mm/yy hh:mm:ss", allows the user to specify a specific start and end point in time. The third option, "From dd/mm/yy hh:mm:ss to Present", is another automated moving regression line, always beginning at a specific fixed starting bar, and always ending at the most recent bar. The data range will expand as time moves forward. Click the linear regression icon in the charting toolbar to enable the linear regression drawing tool. Mouse down in the window at the point you'd like to begin your regression line. Hold your mouse button down while you drag the drawing tool between the two points of interest. When you release the mouse button MarketDelta® draws the regression line. As an option, you may choose to draw straight band lines parallel to the regression line. The bands are drawn a user-specified distance above and below the regression line. The distance is specified by the user as the number of standard deviations away from the regression line. You are not limited to drawing only one channel line above and below the linear regression line. You may specify multiple levels simply by separating them with a comma. For instance, you may have: Standard Deviation(s) Above: 1, 1.5, 2 Standard Deviation(s) Below: 1, 1.5, 2 And three channels will be drawn, at 1, 1.5, and 2 standard deviations from the regression line respectively. The standard deviation value is computed using the same range of data values used in determining the regression line (Data Range). The values specified in the preferences are multipliers of this standard deviation value, used to compute the distance(s) of the channels from the regression line. If the Raff Channels checkbox is checked a different method will be used to compute the bands. Developed by Gilbert Raff, this method finds the maximum distance between any closing price and the regression line. This distance is then used as the basis for the channels. The channels are drawn parallel to the regression line, at a distance above and below the line equal to the maximum distance computed. The upper channel is then used for support, while the lower channel is used for resistance. Again, you can specify multiple levels, separated by commas. The levels will be used as multipliers of the standard Raff channels. To simply draw the standard Raff channels, specify multipliers of 1 for both the above and below channels.


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The Linear Regression Study can optionally be extended to the right with the "Extend Line to Present" option. This will project the line forward to the right edge of the chart. The begin and ending points of the trendline may still be clearly seen as small dots in the line. These points can be dragged to a new position in the price data. When a drag occurs, the regression is recomputed and a new regression line is drawn considering the new data range. When the "From dd/mm/yy hh:mm:ss to Present" data range option is being used, then only the begin point can be dragged to a new fixed location. The begin point will then remain fixed while the end point will adjust to the most current bar as new bars form. The following approximations offer a few rules of thumb for using the standard deviation settings: Plus or minus one standard deviation takes in 68.3% of all expected outcomes (historical price moves) Plus or minus two standard deviations takes in 95.4% of all · expected outcomes (historical price moves) Plus or minus three standard deviations takes in 99.7% of all · expected outcomes (historical price moves) ·

For example, excursions of price more than 2 standard deviations above or below the regression line represent an unlikely event (less than 5% probable). Such excursions usually represent overbought or oversold conditions. The Token LRF It is recommended that the LRF token be used to access the ending point of an automated regression line, or optionally, a forecasted regression value, using the most recent X bars. Keyboard Adjustment The keyboard can be used to move the Linear Regression Line endpoints to the right and left. First, click on the chart. Then hit the tab key repeatedly until you notice your Linear Regression line is selected. Then, press the right or left arrow keys on your keyboard to move the entire Regression line right or left one bar. To move the trendline up or down, press the up and down arrows on the keyboard. If you would like to move only the endpoint (rightmost), then hold down the Ctrl key while pressing the right or left arrow keys. If you would like to move only the beginning point, then hold down the Shift key while pressing the right or left arrow keys. 5.4.51 Linear Regression Acceleration The Formula ©2003 - 2009 MarketDelta LLC. All Rights Reserved.


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Acceleration = Change in Slope / Bar = Slope - Slope.1 Normalized Acceleration = Change in Normalized Slope / Bar = (Slope * 100 / Price) - (Slope.1 * 100 / Price.1) The Chart

Above is a Daily Chart of the E-mini S&P (ES). The Linear Regression Acceleration (LRA) is drawn in histogram form in the lower chart pane. The LRA oscillates about the zero line. The Preferences


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· Price - Price data to be used in computation. · MA Type - Type of smoothing to be applied prior to regression · MA Period - Smoothing period to be used prior to regression. · Regression Period - Number of bars to be used in computing the regression line. x 100 / Price (Normalize) - Option to normalize the resulting acceleration value. More details on normalization can be found in the description below. · Histogram Color - Color of the resulting histogram in the chart. Up bars will be drawn in the first (Up) color, down bars will be drawn in the second (Dn) color. The Description ©2003 - 2009 MarketDelta LLC. All Rights Reserved.


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First, the data, based on the price selected, is smoothed using the moving average period and type. If you prefer no smoothing, choose a period of 1 here. The resulting data is then used to form regression lines ending at each bar, using the regression period specified. The linear regression acceleration of each bars regression line is then recorded as the change in slope of the regression line from the slope of the regression line of the previous bar. For instance, using the preferences specified above, the raw closing price would be used (smoothing period of 1). Then, using that resulting data, for each bar, we would us that bar and the previous 8 bars (9 total) to form a regression line. The LRA of that bar is then recorded as the difference between that regression lines slope and the slope of the regression line of the previous bar.. The same calculation is done for each bar and then plotted in the chart, as a histogram or a line. If the "x 100 / Price (Normalize)" options is checked, then the resulting value will be the change in normalized slope per bar. This normalizes the data for the sake of comparison among instruments that trade in different price ranges. If you are interested in using this study to compare acceleration between instruments, it's important that this normalizing option be used. The difference between the normalized acceleration and the raw acceleration is similar to the difference between percent change (normalized), and change(unnormalized). If you're comparing two instruments, one that's trading at 200 and another that's trading at 10, then it's not fair to compare the change in price, although the normalized value of percent change does give us a fair basis of comparison. The normalized acceleration value essentially gives us the change is the normalized slope of the regression (best fit) line, from bar to bar. If the normalized acceleration is 0.10, then the regression line normalized slope is rising at a rate of 0.10 per bar. Similarly, a normalized acceleration of -0.25 would indicator that the normalized slope of line that best fits the last N bars of data is falling at the rate o 0.25 per bar. For example, if the normalized slope of the last bar was 0.25 (meaning the regression line ending on that bar rises at a rate of 0.25% per bar on average), and the normalized slope of the current bar was 0.27, then the normalized acceleration of the current bar would 0.27 - 0.25 = 0.02. A positive acceleration value does not equate to a positive slope, simply to an increasing slope. Similarly, a negative acceleration equates to a decreasing slope. The Token LRA


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The RTL Token for Linear Regression Acceleration is LRA. If the normalize value is required, then check the "x 100 / Price (Normalize)" checkbox. This option is recommended for doing comparisons among indicators that don't trade in the same range. See above for more details. If the normalize checkbox is unchecked, then the result will be the raw acceleration value (Slope - Slope.1) of the regression lines. If it is checked, the result will be the normalized acceleration, or change in normalized slope, of the regression lines. Keyboard Adjustment The periods involved in the LRA indicator can be adjusted directly from they keyboard without opening up the preference window. First, select the indicator, then use the up and down arrow keys to adjust the regression period up or down by 1. To adjust the MA period, hold down the shift-key while hitting the up and down arrows. 5.4.52 Linear Regression Forecast The Formula SmoothPrice = MA(PRICE, Z) where Z = MA Period (Note: If no smoothing is desired (just raw price), then an MA Period of 1 should be specified. In this case, SmoothPrice will be the same as PRICE.) Regression Band = Reg(SmoothPrice , X) + Slope * Y where Z = MA Period X = Regression Period Y = Forecast Period (optional - can be 0) Slope = Slope of regression line Upper Band = Regression Band + StdDev(SmoothPrice, X) * N where N = Standard Deviation(s) X = Regression Period Lower Band = Regression Band - StdDev(SmoothPrice, X) * N where N = Standard Deviation(s) X = Regression Period Linear Regression Oscillator = (Price - Regression Band) / StdDev(SmoothPrice, X) where X = Regression Period ©2003 - 2009 MarketDelta LLC. All Rights Reserved.


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The Chart

Above is a Daily Chart of the E-mini S&P (ES). The Linear Regression Forecast (LRF) is drawn in grey, with an upper 2 standard deviation band drawn in green, and a lower band drawn in red. The Preferences


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· Price - Price data to be used in computation. · MA Type - Type of smoothing to be applied prior to regression. · MA Period - Smoothing period to be used prior to regression. · Regression Period - Number of bars to be used in computing the regression line. · Forecast Period - The middle regression band can optionally be forecast into the future by a user specified number of bars. If the forecast period is 0, no forecasting will occur. If the forecast period is greater than 0, then the linear regression line (computed using the regression line) is projected forward to determine the regression value for that bar.



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· Regression Band - Middle band, determined by computing a regression line using current bar and previous X-1 bars (X being regression period), and projecting that line forward by Y bars (Y being forecast period), and then taking the endpoint of the line as the value. · Upper Band - Standard deviation band drawn above the regression line. Uses the number of standard deviations specified below. The standard deviation is computed over the regression period specified. · Lower Band - Standard deviation band below above the regression line. Uses the number of standard deviations specified below. The standard deviation is computed over the regression period specified. · Standard Deviation(s) - How many standard deviations from the middle regression band that the upper and lower bands will be drawn. · Linear Regression Oscillator - The Linear Regression Oscillator represents the number of standard deviations of current price from the linear regression line. A more complete explanation can be found in the description below. The Description The Linear Regression Forecast indicators optionally smoothes the price data, performs a regression on the result, forecasts the regression lines if desired, and then optionally creates standard deviations bands above and below the regression line. First, the data, based on the price selected, is smoothed using the moving average period and type. If you prefer no smoothing, choose a period of 1 here. The resulting data is then used to form regression lines ending at each bar, using the regression period specified. The values at each bar can optionally be forecasted values, determined by projecting the regression lines X bars into the future, X being the forecast period. If X=0, then no forecasting will occur. Standard deviation bands can then be drawn above and below the regression line, based on a number of standard deviations (standard deviation multiple) specified, and a standard deviation value computed using data in the the regression period range. The name of this indicator is somewhat misleading, as forecasting is optional, and only a small part of what this indicator can do. In its most basic form, with no smoothing (ma period of 1) and no forecasting (forecast period of 0), LRF simply gives the ending point of linear regression lines that ending at each bar, and using the regression period provide. This option alone provides a nice moving average substitute, and is actually identical to the Least Square moving average type available in MarketDelta® (add both to your chart and see).


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A smoothing (MA) period, caused the data to be pre-smoothed, prior to performing any regression analysis or forecasting. A forecast period takes the linear regression line ending at each point, and projects it forward X number of bars, X being the forecast period. This projected value is then used as the LRF value for that bar. The bands that are drawn use a standard deviation that changes over time. The standard deviations are computed just as they are for the Linear Regression study. The standard deviation multiplier specified in the preferences is multiplied by the standard deviation value to determine how far the bands will be drawn from the base line. The Linear Regression Oscillator represents the number of standard deviations of current price from the linear regression line. A value of 2 means that price is currently 2 standard deviations above the linear regression line (using the regression period specified...ending on that bar). A value of -1.5 means price is currently 1 1/2 standard deviations below the regression line. This options has been added as a "Linear Regression Oscillator" checkbox to the LRF indicator. When drawn, reference lines are automatically drawn at -2, -1, 0, 1, and 2 standard deviations. It is recommended that the Linear Regression Oscillator be drawn in a separate window pane from price data. The Linear Regression Oscillator tells how far the current price has deviated from the regression trendline, in units of standard deviations, or how far the price has deviated from the general trend established by the regression analysis (using period specified). The Token LRF All three line values can be accessed in RTL using the LRF token. To access the middle regression band, check only the "Regression Band" checkbox (uncheck Upper and Lower Band). To access the upper band, check only the "Upper Band" checkbox. To access the lower band, check only the "Lower Band" checkbox. Keyboard Adjustment The periods involved in the LRF indicator can be adjusted directly from they keyboard without opening up the preference window. First, select the indicator, then use the up and down arrow keys to adjust the regression period up or down by 1. To adjust the MA period, hold down the shift-key while hitting the up and down arrows. To adjust the forecast period, hold down the ctrl-key while hitting the up and down arrow keys. 5.4.53 Linear Regression Slope The Formula Slope = Change in Price / Bar ©2003 - 2009 MarketDelta LLC. All Rights Reserved.


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Normalized Slope = % Change in Price / Bar The Chart

Above is a Daily Chart of the E-mini S&P (ES). The histogram in the lower window pane represents the normalized slope using the preferences specified below. A 13-period linear regression line with 2standard deviation channels is drawn overlaying the candles in the upper pane. The Preferences


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· Price - Price data to be used in computation. · MA Type - Type of pre-smoothing to be applied prior to regression. · MA Period - Pre-smoothing period to be used prior to regression. · Regression Period - Number of bars to be used in computing the regression line. If the period is N, then the resulting slope will be the slope of the regression line involving the current bar and the previous N-1 bars. · x 100 / Price (Normalize) - Option to normalize the resulting slope value. · More details on normalization can be found in the description below.



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· Histogram Color - Colors of the resulting histogram in chart. The Description The Linear Regression Slope indicator provides the slope at each bar of theoretical regression lines which involve that bar and the previous N-1 bars (N being the regression period). First, the data, based on the price selected, is smoothed using the moving average period and type (specify a period of 1 if no pre-smoothing is desired). The resulting data is then used to form regression lines ending at each bar, using the regression period specified. The slope of each bars regression line is the recorded as the linear regression slope value for that bar. For instance, assume a MA period of 1 and a Regression Period of 13. The raw closing price would be used and no smoothing performed since the MA period is 1. For each bar, we would then use the price data for that bar and the previous 12 bars (13 total) to form a regression line. The slope of that regression line is then recorded as the indicator value for that bar. The same calculation is done for each bar and then plotted in the chart. The slope can then be optionally normalized. Normalization is discussed in further detail below. The raw slope essentially gives us the change in price per bar of the regression (best fit) line. If the slope is 1, then the regression line is rising at a rate of $1 per bar. Similarly, a slope of -0.25 would indicator that the line that best fits the last N bars of data is falling at the rate of $0.25 per bar. If the "x 100 / Price (Normalize)" options is checked, then the resulting value will be divided by 100, and then multiplied by the price of that bar. This normalizes the data for the sake of comparison among instruments that trade in different price ranges. If you are interested in using this study to compare slopes between instruments, it's important that this normalizing option be used. The difference between the normalized slope and the raw slope is similar to the difference between percent change (normalized), and change(unnormalized). If you're comparing two instruments, one that's trading at 200 and another that's trading at 10, then it's not fair to compare the change in price, although the normalized value of percent change does give us a fair basis of comparison. The normalized slope value essentially gives us the percent change is price per bar of the regression (best fit) line. If the normalized slope is 0.10, then the regression line is rising at a rate of 0.10% per bar. Similarly, a normalized slope of -0.25 would indicator that the line that best fits the last N bars of data is falling at the rate o 0.25% per bar.


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The resulting slope is drawn as a histogram that oscillates about 0. A reference line is drawn at the 0 level. A slope that is rising (greater than previous value of slope) is drawn in the up color, while a slope that is falling (lower than previous value of slope) is drawn in the down (dn) color. The Token LRS The RTL Token for Linear Regression Slope is LRS. If the normalize value is required, then check the "x 100 / Price (Normalize)" checkbox. This option is recommended for doing comparisons among indicators that don't trade in the same range. See above for more details. If the normalize checkbox is unchecked, then the result will be the raw slope value (change / bar) of the regression lines. If it is checked, the result will be the normalized slope, or % change / bar, of the regression lines. Keyboard Adjustment The periods involved in the LRS indicator can be adjusted directly from they keyboard without opening up the preference window. First, select the indicator, then use the up and down arrow keys to adjust the regression period up or down by 1. To adjust the MA period, hold down the shift-key while hitting the up and down arrows. 5.4.54 MESA Adaptive Moving Average (MAMA) The Formula If(CurrentBar > 5) smooth = (4*price + 3*price .1 + 2*price .2 + price .3) / 10 detrender = (0.0962*smooth + 0.5769*smooth.2 + 0.5769*smooth.4 + 0.0962*smooth.6)*(0.075*period.1) + 0.054) {Compute InPhase and Quadrature components} Q1 = (0.0962*detrender + 0.5769*detrender .2 + 0.5769*detrender .4 + 0.0962*detrender .6)*(0.075*period.1) + 0.054) I1 = detrender.3 {Advance the phase of I1 and Q1 by 90º} jI = (0.0962*I1 + 0.5769*I1.2 + 0.5769*I1.4 + 0.0962*I1.6)* (0.075*period.1) + 0.054) jQ = (0.0962*Q1 + 0.5769*Q1.2 + 0.5769*Q1.4 + 0.0962*Q1.6)* (0.075*period.1) + 0.054) {Phasor addition for 3 bar averaging} I2 = I1 + jQ Q2 = Q1 + jI {Smooth the I and Q components before applying the discriminator} I2 = 0.2*I2 + 0.8*I2.1 Q2 = 0.2*Q2 + 0.8*Q2.1 {Homodyne Discriminator} Re = I2*I2.1 + Q2*Q2.1 Im = I2*Q2.1 + Q2*I2.1 ©2003 - 2009 MarketDelta LLC. All Rights Reserved.


Re = 0.2*Re + 0.8*Re.1 Im = 0.2*Im + 0.8*Im.1 If(Im != 0.0 AND Re != 0.0) period = 360º/ArcTan(Im/Re) If(period > 1.5*period.1) period = 1.5*period.1 If(period < 0.67*period.1) period = 0.67*period.1 If(period < 6) period = 6 If(period > 50) period = 50 period = 0.2*period + 0.8*period.1 smoothPeriod = 0.88*period + 0.67*smoothPeriod.1 If(I1 != 0.0) phase = ArcTan(Q1/I1) deltaPhase = phase.1 - phase If(deltaPhase < 1) deltaPhase = 1 alpha = fastLimit / deltaPhase if(alpha < slowLimit) alpha = slowLimit if(alpha > fastLimit) alpha = fastLimit MAMA = alpha*price + (1 - alpha)*MAMA.1 FAMA = 0.5*alpha*MAMA + (1 - 0.5*alpha)*FAMA.1 The Chart


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Above is a Daily candle chart of the E-mini S&P (ES). The MESA Adaptive Moving Average (MAMA) is added both as an oscillator (with the preferences below) and as individual lines overlaying the price data. The Preferences

· Price - Price used to compute the MAMA and FAMA values in the calculations above. · Fast Limit - FastLimit sets the upper limit of the alpha used in computing MAMA and FAMA. · Slow Limit - SlowLimit sets the lower limit of the alpha used in computing MAMA and FAMA.



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· Oscillator - The MAMA can be drawn as an oscillator, representing the difference between the MAMA and FAMA lines, and oscillating about the zero line, or it can be drawn as two seperate MAMA and FAMA lines. Both options are displayed in the chart above. The Description The MESA Adaptive Moving Average (MAMA) adapts to price movement based on the rate of change of phase as measured by the Hilbert Transform Discriminator. (Stocks and Commodities, Dec. 2000, p. 19). This method features a fast attack average and a slow decay average so that composite average rapidly ratchets behind price changes and holds the average value until the next ratchet occurs. The complex calculations of the MAMA can be seen above. For a more detailed description of MAMA, see "Mesa Adaptive Moving Average", Stocks and Commodities Magazine, August 2001. This MESA Adaptive Moving Average has also been added to the MarketDelta® RTL Language, and assigned the token name MAMA. The Token MAMA The token name MAMA. 5.4.55 Mixed Periodicity Data (MPD) The Formula N/A The Chart


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Above is a 5 Minute Candle Chart of E-mini S&P (ES). The Mixed Periodicity Data (MPD) indicator is drawn three times in the chart. Two MPD's in the upper pane access the previous 30 minute high and low values. The lower pane contains an MPD which represents the number of ticks in each 5-minute bar, using MPD preferences similar to those seen in the preference window below. The Preferences



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· Mix Periodicity -Timeframe of the data that is loaded (tick, 1-min, 13min, daily, etc) · Mix Ticker - Allows the user to access another ticker (in addition to another periodicity).If this checkbox is checked, a text box is enabled where the user must type in the ticker symbol desired (case sensitive). MPD will then access the data for the periodicity and the selected instrument. The data is right aligned to fit the actual data in the chart. · Data Source:Instrument Data - Actual data element that is going to be loaded for the timeframe above.The data options are Last, Open, Close, High, Low, Hi + Lo /2, Hi + Lo + Cl / 3, OHLC/4, % Change, Bid, Ask, Volume, Open Interest, Hi-Lo Range, Op-Cl Range, Op+CL/2, and H+L+C+C/2.


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· Data Source:Indicator - The indicator option gives the user access to any of the built-in indicators, including custom indicators.The "Indicator Preferences" button allows the user to specify the preferences for the indicator selected. · Indicator Preferences - This button allows the user to specify the preferences for the selected indicator, when "Indicator" is chosen as the data source. · Data Source: Bars Back - This indicator allows the user to access data any number of bars in the past.The preference is implemented via a checkbox labeled "Bars Back" and an edit box where the number of bars back is specified. · Align Data To Proper Date/Times (Recommended) - When this checkbox is checked, the data is expanded to match the actual date/ times of the underlying instrument in the chart.One use of this option would be to draw tiered vertical reference lines at the high or low of the day, within an intraday chart.To do so, open an intraday chart and add MPD with the preferences "Daily", "High", and check "Align Data" box.Similarly, the 30-minute high horizontal lines could be overlaid on a 1-minute chart. · Refresh Every Tick – When this box is checked, it will force the window pane to redraw each tick, therefore bringing in the new tick and moving the old ticks left. This is only available when the "Align Data" option is unchecked. · Filter Out Zero Values - This option simply filters out any results of 0, and then right aligns the remaining results. This is only available when the "Align Data" option is unchecked. · Custom Statistical Result - These custom results give the user the ability to see what's "inside" of a bar, by giving access to data of a smaller periodicity or timeframe. · Compute/Display Last X Values -This setting dictates how many bars or ticks of MPD values will be computed and displayed.A value of 50 means that the MPD values will only be computed and displayed on the most recent (rightmost in a chart) 50 bars. · Draw Type -The data may be drawn as a Histogram (solid or hollow) or a Line (continuous or connected). Histograms are recommended for volume data.



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· Color and Style -The data can be drawn in any color.If the data is drawn as a histogram, two colors will be presented (one for Up and one for Down).If the data is a line, the color, style, and width may be chosen. The Description The Mixed Periodicity Data Indicator (MPD) gives the user access to different periodicities of data than the periodicity of the underlying instrument or scan. The MPD preferences ask for both a periodicity and the data (price) from that periodicity that will be displayed. MPD essentially loads data of another periodicity, the right-aligns it to the data of the underlying instrument or scan. The MPD data will not generally reflect the date/times show in the horizontal scale along the bottom of the chart. MPD should be consider on it's own scale. You can point at any MPD element to get the date/time of that element in the pane title feedback. There are quite a few ways that this indicator may be used. The best way to describe MPD may be to give you a few examples of how it might be used. Tick Count This example allows you to count the number of ticks inside a bar of any larger periodicity. The chart itself can be of any periodicity: 1-min, 5min, 22-tickbar, 15-second, daily, etc. The settings for MPD for this example follow:

These MPD setting can be seen in action below, added to a 5-minute chart of INTC.


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Daily Data on Intraday Chart (This example can be seen in the chart and preferences at the top) This example can be configured to be rather efficient. MPD allows daily data (or longer term intraday data) to be shown on intraday charts, giving the user a quick look at the bigger picture. In this example, MPD will represent daily data on a 1-minute chart. Open up a 1-minute chart and add MPD with the following settings.

and Recalculate every 1 minute (doesn't need to be updated very often since it's daily data) ©2003 - 2009 MarketDelta LLC. All Rights Reserved.


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If you point at the MPD elements, you'll see that each element actually represents a day. The rightmost element will represent the current day. Going left from there, each element represents the previous trading day. Daily Volume on Intraday Chart This example works just as the example above, but gives the daily volume drawn in histogram form on your 1-minute chart. The preferences for the MPD follow:

and Recalculate every 1 minute (doesn't need to be updated very often since it's daily data) Multi-Periodicity Scanning Currently, this only works with real-time scanning and is not recommended for viewing historical scan/signal results using scan/ markers, etc. With MPD, you are given the ability to scan multiple periodicities of data within the same scan. For instance, if you were running an intraday scan on 5-minute data, but you also wanted to reference daily data. As a simple example, let's assume you wanted to look for the 10-period 5-minute moving average to be above the 10period daily moving average. You would setup you MPD up to represent the "Last" price of "Daily" data. You would then run the following scan on 5-minute data. MA > MA(MPD) MA would represent the 5-minute moving average. MPD would represent the daily closing prices. MA(MPD) would represent the moving average of those daily closing prices. ©2003 - 2009 MarketDelta LLC. All Rights Reserved.

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Bars Back Option An example, a user may wish to access the previous day (session) high on an intraday, 5-minute chart. In the past, in order to do something like this, it was necessary to first create a custom indicator with the syntax "HI.1", and then use the custom indicator as the data source within the MPD preferences. In and effort to eliminate the need for this extra, time-consuming, step of creating a custom indicator, the "bars back" option was added. Now, the previous day's high can be accessed by simply specifying "Mix Periodicity: Daily", "Data Source: Instrument Data: High", "1 Bars Back", and "Stretch" checked. No more need to create a custom indicator. This new method is not only less time consuming during setup, but also more efficient internally. This method could be use to access the low two days ago, yesterday's moving average, yesterday's close, the CCI three days ago, etc., all without the use of an intermediate custom indicator. Custom Statistical Results Several new "Custom Statistical Results" have been added to the Mixed Periodicity Indicator. These custom results give the user the ability to see what's "inside" of a bar, by giving access to data of a smaller periodicity or timeframe. For instance, on a 1-minute chart, you can get a look inside each 1-minute bar at the tick data that composed it. Similarly, you could look inside each 30-minute bar at the 1-minute bars that composed it, or inside each monthly bar at each daily bar that composed it. The new custom results include Sum, Average, Maximum, Minimum, First, Last, and Count. Each result is further explained below. As a relatively example, let's assume we have added MPD (with Mix Periodicity: 1-minute) to a 10-minute chart. One specific 10-minute bars has the following characteristics: High = 99.5, Low = 98.8, Open = 99.0, Close = 99.3. In the MPD, we'll choose a Data Source of "Instrument Data: Close". "Align Data To Proper Date/Times" is also checked. Each 10-minute bar is composed of 10 1-minute bars. Therefore, within our 10-minute bar above, we have 10 1-minute bars with the following closing prices: 99.1, 99.3, 99.2, 99.1, 98.9, 98.8, 99.1, 99.4, 99.5, and 99.3. Sum: Sums all the "data" values within the bar. In the example above, each 10-minute bar is composed of 10 1-minute bars. The closing price of the 10 1-minute bars would be summed for a result of: 99.1 + 99.3 + 99.2 + 99.1 + 98.9 + 98.8 + 99.1 + 99.4 + 99.5 + 99.3 = 991.7



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Average: Averages all the data values within the bar. In the example above, each 10-minute bar is composed of 10 1-minute bars. The closing price of the 10 1-minute bars would be averaged for a result of: (99.1 + 99.3 + 99.2 + 99.1 + 98.9 + 98.8 + 99.1 + 99.4 + 99.5 + 99.3) / 10 = 99.17 Maximum: The Maximum of all the data values within the bar. In the example above, the maximum value is 99.5 (which corresponds with the "high" price of the 10-minute bar). Minimum: The Minimum of all the data values within the bar. In the example above, the minimum value is 98.8 (which corresponds with the "low" price of the 10-minute bar). First: The first data value within the bar. In the example above, the first value is 99.1 (the closing price of the first 1-minute bar within the 10minute timeframe). Notice that this first value (99.1) did not match the opening price of the 10-minute bar (99.0). If, however, a data source of "Instrument Data: Open" would have been chosen, then these two values would have matched at 99.0. Last: The last data value within the bar. In the example above, the last value is 99.3 (the closing price of the last 1-minute bar within the 10minute timeframe). Notice that this last value does match the closing price of the 10-minute bar. Count: Count of all the data values that exist within the bar. In the above example, the count is 10, and the count would always be 10 in this case on all bars except the current forming bar (for which the value will build from 1 to 10 as the bar forms). This custom result might be more effective when using an MPD periodicity of "tick", providing the ability to "count" the number of ticks inside each 1-minute bar, each 15second bar, each 30-minute bar, or even each Daily bar. Although the example above is relatively straightforward, the ways in which these new results can be used are essentially countless. Instead of a data source of "close", a user can choose any technical indicator, including volume or custom indicators, or any other instrument data, including custom prices. Also, the ability to "Mix Ticker" remains, giving the user to count to display the number of times MSFT ticked inside each 1-minute bar of INTC, on a 1-minute chart, for instance. Here are some other examples of how MPD could be used with the new custom results.


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- Show the highest (maximum) volume of all the ticks (trades) within each 15-second or 1-minute bar. The "Maximum" result would be used with a periodicity of "Tick" and a data source of "Instrument Data: Volume". - Show the number of ticks that were used to compose any time-based bar (1-minute for example). The "Count" result would be used with a periodicity of "Tick" and a data source of "Instrument Data: Close" (data source is really irrelevant here, but using this one would be most efficient). - Show the average of the closing prices all the daily bars that compose a monthly (or weekly) bar. The "Average" result would be used with a periodicity of "Daily" and a data source of "Instrument Data: Close". The Token MPD The Mixed Periodicity Data indicator result can be accessed in the RTL language with the token MPD. Keyboard Adjustment The lookback period (load last X bars) of the MPD indicator can be adjusted directly from the keyboard without having to use the preferences window. Simply select the indicator and then hit the up arrow on your keyboard to increase the period by 1, or hit the down arrow on your keyboard to decrease the period by 1. 5.4.56 Modified Moving Average The Formula Y = Modified Moving Average N = Number of Periods used T = total of last N values of the security T = y + y[1] + y[2] + y[N-1] S = Sum of Security Weighted Values S = ((N-1)/2*y + ((N-3)/2*y[1] + ((N-5)/2*y[2] + ... + ((N-(2*N-1))/2)*y[N-1] Y = T/N + (6*S) / ((N+1) * N) The Chart



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Above is a Daily Candle Chart of the E-mini S&P (ES). The Modified Moving Average is seen as a magenta line in the chart. This moving average uses the preferences seen below. The Preferences


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· Price - The price data used in calculation of the Modified Moving Average. · Period - The period used to calculate the Modified Moving Average. · MMA Line Color - Color of the MMA line in the chart. The Description The Modified Moving Average is an algebraic technique which makes averages more responsive to price movements. The average includes a sloping factor to help it catch up with the rising or falling value of the security. 5.4.57 Momentum Indicator The Formula



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PRICE - PRICEx where x = Momentum Interval The Chart

Above is a 5 Minute Candle Chart of the Emini-S&P (ES). The lower window pane contains the contains the Momentum Indicator with the preferences below. The Preferences


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· Momentum Interval - Number of bars back to get the price that is to be subtracted from the current price. · Momentum Price - Data value to be used in the calculation. · Smoothing Type - Moving Average type used to smooth the resulting momentum. · Smoothing Period - Moving Average period used to smooth the resulting momentum. · Raw Momentum - Check this checkbox if you want the raw, unsmoothed, momentum line drawn, choose the color to the right. · Smoothed Momentum - Check this checkbox if you want the smoothed momentum line drawn, choose the color to the right. ©2003 - 2009 MarketDelta LLC. All Rights Reserved.


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The Description The momentum indicator is a measure of price change velocity. It is a simple calculation. For each bar the momentum is calculated as the difference in price between that bar and the bar a fixed number of periods ago. Normally the closing price is used but MarketDelta® allows you to calculate the indicator using other price values (e.g. high, low, median price, etc.). MarketDelta® also provides an optional smoothing moving average of the raw momentum calculation. Either or both lines, raw and smoothed may be drawn on the chart. The momentum line(s) oscillate around the zero line. A change in slope of the momentum line can be an indicator of market tops and bottoms. Generally, a buy is signaled when the momentum line crosses above zero and a sell is indicated when the line falls below the zero line. The indicator is essentially identical to the "Rate of Change" indicator which measures the ratio instead of the difference in prices. 5.4.58 Money Flow The Formula N/A The Chart


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Above is a Daily Chart of the Financial Select SPDR ETF (XLF). The lower window pane contains the Money Flow indicator with the preferences seen below. The Preferences



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· Smoothing Type - Type of moving average applied to the data after the money flow is calculated. · Smoothing Period - Moving average period applied to the data after the money flow is calculated. · Volume Divisor - A number used to divide the resulting money flow in order to bring it down to a more manageable number. · Line Color - Color of the money flow line in the chart. The Description


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A technical indicator that keeps a running total of the money flowing into and out of a security. Money flow (MF) is calculated by multiplying the number of shares traded by the change in closing price. If prices close higher, money flow increases (by an amount equal to average price * volume / volume divisor). If prices close lower, money flow decreases (by an amount equal to average price * volume / volume divisor). Average price is equal to the average of the high, low, and closing prices. A running total is kept by adding or subtracting the current result from the previous total. A volume divisor is used to keep the actual numbers at a reasonable level The direction of the Money Flow line is the important component to watch, not the actual dollar amount. The indicator can be used to confirm underlying strength or weakness of a price trend. When Money Flow rises in the face of a declining price trend could indicate smart money is moving in and a bottom may be at hand, and visa versa. The calculation would go as follows: if (AVG > AVG1) MF += (VOL * AVG) / VOLDIVISOR; else if (AVG < AVG1) MF -= (VOL * AVG) / VOLDIVISOR; else MF = MF1; where AVG = (HI + LO + CL) / 3 and AVG1 is the AVG of the last bar (1 bar back). 5.4.59 Money Flow Index The Formula See Below The Chart



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Above is a Daily Chart of the E-mini S&P (ES). The lower window pane contains the Money Flow Index, defined by the preferences below. The Preferences


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· Smoothing Type - The smoothing type used to smooth the resulting MFI values. · Smoothing Period - The smoothing period used to smooth the resulting MFI values. · Money Flow Period - Number of bars used to compute each MFI value. · Ref Line (1, 2) - Horizontal Reference Line values. · Line Color - Color used for the MFI line in the chart. The Description



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The Money Flow Index creates a ratio of Positive Money Flow and Negative Money Flow over time and scales it to a number between 0 and 100. The MFI value can be used to evaluate overbought and oversold conditions in a security the index moves above or below a certain reference level (MarketDelta® defaults to 80 for overbought and 20 for oversold). Divergence between MFI and the price direction can also be indicative of a reversal. If price is trending higher and MFI is decreasing over that period, a market top may occur. Here is an example of a Money Flow Index calculation. Let's say you have specified a period of 10, and you are adding your indicator to a daily chart. For each bar, a money flow value is calculate by multiplying the volume by the average price (HI + LO + CL) / 3. If the closing price of the bar is greater than the closing price of the previous bar, then the money flow is considered positive money flow. If the closing price of the bar is less than the closing price of the previous bar, then the money flow is considered negative money flow. If the price is unchange, the money flow is not considered in the calculation of the money flow index. The money flow index is calculated by summing up all the positive money flows into one value (PMF) and all the negative money flows into another value (NMF) over the 10 bar period, and then using these values in the following equation: MFI = 100.0 - (100.0 / (1.0 + (PMF / NMF))) The resulting MFI is then smoothed using the smoothing parameters specified. In the case above, it is smoothed with a 7 period simple moving average. To remove smoothing, just specify a 1 period moving average. The result is always a value between 0.0 and 100.0 5.4.60 Money Flow, Chaikin The Formula CMF = SUM(AD, n) / SUM(VOL, n) where n = Period AD = VOL * (CL - OP) / (HI - LO) AD stands for Accumulation Distribution The Chart


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Above is a Daily Chart of the E-mini S&P (ES). The lower window pane contains the Chaikin Money Flow indicator, drawn using the preferences seen below. The Preferences



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· Period - Period used in the CMF calculations above. · Draw Type - The CMF can be drawn as a line (connected or continuous) or a histogram (solid or hollow). · Color - When the draw style is a line, the color, style, and thickness may be controlled. When the draw style is a histogram, two colors are presented, one for increasing values of CMF, the other for decreasing values of CMF. The Description Developed by Marc Chaikin, the Chaikin Money Flow indicator (CMF) is calculated by summing Accumulation Distribution over the given period and then dividing by the sum of volume over the given period, as can be seen in the formula section above. A period of 21 is recommended. The volume is essentially nothing more than volume times change divided by range. ©2003 - 2009 MarketDelta LLC. All Rights Reserved.

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A positive CMF value signals accumulation, while a negative CMF value signals distribution. A reference line is drawn at zero to help quickly identify accumulation/distribution regions. The further the distance from the zero reference line, the stronger the signal. It is recommended to go long if a breakout above resistance is supported by Chaikin Money Flow staying above zero, while it is recommended to go short if a breakout below support is confirmed by negative Chaikin Money Flow. It is also recommended to go long on bullish divergence, and short on bearish divergence. If Chaikin Money Flow greater than zero, it is an indication of buying pressure and accumulation. The longer the oscillator can remain above zero, the stronger the evidence of accumulation. Extended periods of accumulation or buying pressure are bullish and indicate that sentiment towards the security remains positive. Not only should the oscillator remain above zero, but it should also be able to increase and attain a certain level. The more positive the reading is, the more evidence of buying pressure and accumulation. The Token CMF The RTL Token for the Chaikin Money Flow indicator is CMF. To find instances where the CMF has crossed above zero (into bullish territory), use the following scan/signal: CMF > 0 AND CMF.1 <= 0 Similarly, to find instances where CMF has crossed below zero (into bearish territory), use the following scan/signal: CMF < 0 AND CMF.1 >= 0 Keyboard Adjustment The period of the CMF indicator can be adjusted directly from they keyboard without opening up the preference window. First, select the indicator, then use the up and down arrow keys to adjust the CMF Period up or down by 1. 5.4.61 Moving Average Adaptive The Formula Direction = Price - price(n) ; where n = AMA Period Volatility = Sum(abs(price - price[1], n) Effeciency Ratio (ER) = Direction / Volatility Fast Smoothing Constant (FastC) = 2/(p + 1) ; where p = FSC Period Slow Smoothing Constant (SlowC) = 2/(q + 1) ; where q = FSC Period ©2003 - 2009 MarketDelta LLC. All Rights Reserved.


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Scaled Smoothing Constant (SSC) = ER(FastC - SlowC) + SlowCc = SSC*SSC AMA = AMA[1] + c(price - AMA[1]) The Chart

Above is a Daily Candle Chart of Google (GOOG). The Adaptive Moving Average is seen as a red line in the chart. This moving average uses the preferences seen below. The Preferences


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· AMA Period - Period used to calculate the Direction as seen in the formula above. (10 is recommended) · Fast SC Period - Period used to calculate the fast smoothing constant (2 is recommended) · Slow SC Period - Period used to calculate the slow smoothing constant (30 is recommended) · AMA Color - Color of the AMA line in the chart. The Description This moving average moves slowly when prices are moving sideways and moves swiftly when prices move swiftly. The basic rule is to buy when the AMA turns up, and sell when the AMA turns down. 5.4.62 Moving Average Channels The Formula Average = MA(PRICE, n) Upper Channel = Average + m * SD[Average, x] Lower Channel = Average - p * SD[Average, x] where ©2003 - 2009 MarketDelta LLC. All Rights Reserved.


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n = MA Period x = Std Dev Period m = number of Standard Deviations (upper) p = number of Standard Deviations (lower) SD = Standard Deviation over last x periods The Chart

Above is a daily candle chart of the E-mini S&P (ES). The moving average channel indicator has the settings in the preferences below. The Preferences


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· MA Type - Moving Average Type used to compute the base (center) line. · MA Period - Moving Average Period used to compute the base (center) line. · MA Price - Prices on which to compute the moving average. · Std Dev Period - Number of periods (bars) used to compute the standard deviation of the price data. · MA Line Color - Color of the center moving average line. · Channel Color - Color of the moving average channel lines in the chart.



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· Standard Deviations (Upper) - Number of standard deviations used to draw the upper channel line. · Standard Deviations (Lower) - Number of standard deviations used to draw the lower channel line. The Description Moving average channels use a moving average of price to create an envelope above and below the moving average line at a user specified number of standard deviations. The point of this study is to create a channel which represents support and resistance at its outer bounds based on the moving average. As always, the period of the moving average should match the trading time horizon of interest to the user. As price moves above its n-period moving average, a bullish indication is noted. Conversely, a price move below its x-period moving average is a bearish event. Using standard deviation to create a boundary above and below the moving average attempts to give the user a handle on how far the price has moved from the moving average in the past. The following approximations offer a few rules of thumb for using the standard deviation settings: Plus or minus one standard deviation takes in 68.3% of all expected outcomes Plus or minus two standard deviations takes in 95.4% of all expected outcomes Plus or minus three standard deviations takes in 99.7% of all expected outcomes In other words, you would expect to see a price move outside the moving average band using: one standard deviation: 1 in 3 chance two standard deviations: 1 in 20 chance three standard deviations: 1 in 370 chance Using a standard deviation which includes 99.7% of all possible occurrences sets levels in the study which may never be tested. You may enter decimal numbers which enable you to adjust the sensitivity of the bands. Note that the standard deviation is a "moving standard deviation". The user may specify the period to use for the standard deviation calculation, usually, but not necessarily the same period as the moving average itself.


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5.4.63 Moving Average Convergence/Divergence (MACD) The Formula MACD (Line) = MA(Price, Type, ShortTerm) - MA(Price, Type, LongTerm) Signal (Line) = MA(MACD, Type, SignalPeriod) MACD (Oscillator) = MACD (Line) - Signal (Line) The Chart

Above is a 5 Minute Line Chart of Google (GOOG). The lower window pane contains the MACD oscillator, oscillating around a zero reference line. The Preferences



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· Smoothing, Short - This line allows the user to specify the price, smoothing type, and smoothing period used for the short term MA. · Smoothing, Long - This line allows the user to specify the price, smoothing type, and smoothing period used for the long term MA. · Smoothing, Signal - This line allows the user to smoothing type and smoothing period used for the Signal line. · Oscillator - If this box is checked, then the difference between the MACD line and the Signal line is charted as an oscillator (using the drawing style and color given below). If it is unchecked, then the MACD and signal lines are both draw in their respective colors and drawing styles. · Multiply Result(s) x 100 - If this box is checked, then the results are simply multiplied by 100. This option was added to provide more reasonable numbers while maintaining the shape of the oscillator. The Description


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Developed by Gerald Appel, MACD utilizes various exponential moving averages of closing price to generate buy and sell signals. Exponential moving averages assign greater weight to the most recent price data and therefore are more sensitive to current price movement than simple moving averages. MACD consists of a Differential Line and a Signal Line. The Differential Line is constructed by measuring the difference between two exponential moving averages, typically a 12- and 26-period. The Signal Line is a 9-period exponential moving average of the Differential Line values. Buy signals are generated when the Differential Line crosses the Signal Line from below while sell signals occur when the Differential Line crosses the Signal Line from above. MarketDelta® also displays the MACD Oscillator, which is a graph of a single line which crosses a zero reference line when these signals occur. A cross of zero from below into positive territory represents a buy signal, and a cross of zero from above into negative territory indicates a sell signal. The MACD preferences have been enhanced to provide more flexibility over both calculation and display. Three independent moving average types are now specifiable: one for the short term moving average, the long term moving average, and the signal moving average. In the past, all three moving averages were calculated using the same moving average type. Also, the short and long term moving average now have independent "price" choices. In the past, both shared the same price type. This added flexibility provides for calculations such as the difference between the short term exponential average of the high and the long term weighted moving average of the low. To use the "classic" MACD indicator, specify the same moving average type and price. In addition, the Signal and MACD drawing options, presented when the "oscillator" option is unchecked, have their own independent drawing styles. One may choose to draw the MACD as a solid histogram, with the Signal as a continuous line overlaying the histogram. The drawing of the Signal or MACD lines/histograms is also optional. The Token MACD The MACD indicator is represented in RTL using the token MACD. If "Oscillator" is checked, then the result will reflect the oscillator values. Otherwise, if oscillator is unchecked, then the result of the MACD token will be either the MACD or Signal lines, depending on which one of those is checked. Keyboard Adjustment



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The Short Term Period can be adjusted directly from the keyboard using the up and down arrows. To adjust the Long Term Period, hold down the shift key while hitting the up or down arrow keys. To adjust the signal period, hold down the ctrl key while hitting the up or down arrow keys. 5.4.64 Moving Averages The Formula Simple, Weighted, Exponential, Wilder, Least Square, Adaptive, Endpoint, Sine-Weighted, Triangular, Modified, Volume Weighted Simple Moving Average SMA = SUM(PRICE, n) / n where n = Period Weighted Moving Average WMA = ( PRICE * n + PRICE(1) * n-1 + ... PRICE(n-1) * 1) / ( n * (n + 1) / 2 ) n = Period Exponential Moving Average EMA = EMA.1 + (PRICE - EMA.1 ) * K or EMA = K * PRICE + (1 - K) * EMA.1 where... K = 2 / (n + 1) n = Period Zero Lag Exponential Moving Average ("Zero Lag" is an option within the Exponential Moving Average indicator) EMA = K * ( 2 * PRICE - PRICE.X) + (1 - K) * EMA.1 where... K = 2 / (n + 1) n = Period x = lag = (n - 1) / 2 Wilder Moving Average WiMA = ( PRICE + (n - 1) * WiMA.1 ) / n Least Square Moving Average LSMA = Endpoint of Regression Line including current bar and previous n - 1 bars Adaptive Moving Average ©2003 - 2009 MarketDelta LLC. All Rights Reserved.

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Endpoint Moving Average

Triangular Moving Average (example of 5 period triangular moving average, more details below) TMA = (PRICE + 2 * PRICE.1 + 3 * PRICE.2 + 2 * PRICE.3 + PRICE.4 ) / 9 Sine Weighted Moving Average

Hull Moving Average HMA = WMA(2*WMA(PRICE, n/2) - WMA(PRICE, n), sqrt(n)) where... n = Period Smoothed Moving Average The first value of this smoothed moving average is calculated as the simple moving average (SMA): SUM.1 = SUM(CLOSE, n) SMMA.1 = SUM.1 / n The second and succeeding moving averages are calculated according to this formula: SMMA = (SUM.1 - SMMA.1+CLOSE) / n Additional Information: Modified Moving Average MESA Adaptive Moving Average Elastic Volume Weighted Moving Average Indicator Adjusted Average Indicator Weighted Average Triple Smoothing T3 The Chart ©2003 - 2009 MarketDelta LLC. All Rights Reserved.



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Indicators

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Above are Daily Candle charts of the E-mini S&P (ES) with examples of various moving averages shown in blue with the preferences below. The Preferences



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· Type - Method of calculation used to compute the moving average. · Period - Number of bars used in computation of moving average. · Price - Data value used for computation: Open, Close, High, Low, Hi+Lo/2, Hi+Lo+Cl/3, O+H+L+C/4, %Change, or Op+CL/2 · Draw Line ... % Above - Check this box to draw a line X percent above the moving average line. · Draw Line ... % Below - Check this box to draw a line X percent below the moving average line. · Shift ... bars - Check this box if you would like to shift the moving average line right or left X bars.


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· Draw As - Style and color used to draw the moving average within the chart. The Description Moving averages provide different options for smoothing data. Data is smoothed in order to help reduce the effect of bar-to-bar price fluctuations and help identify longer term emerging trends. A moving average reveals the general direction and strength of a stock's price trend over a given period. The term "Moving" is used to refer to the fact that the window of bars that we are considering remain fixed in width (Period) but moves forward with subsequent bar. Some of the averaging methods however are not so much "Moving" as they are "Cumulative" (exponential for one). The following Price options are available as the input data for each smoothing type: Open, Close, High, Low, HI+LO/2, HI+LO+CL/3, O+H+L+C/4, %Change, or OP+CL/2. In addition, the MA token can be used in RTL to smooth just about anything. For instance, if you wanted to smooth Rate of Change, you would simply use the syntax MA(ROC). The moving average technical indicator in MarketDelta® supports nine distinct moving average types. Adaptive Moving Average - This moving average moves slowly when prices are moving sideways and moves swiftly when prices move swiftly. Triangular Moving Average - The triangular moving average derives its name from the way the weighting factors are applied to the un smoothed data. For example, for a 7 period moving average, the weighting factors are 1, 2, 3, 4, 3, 2, 1. Endpoint Moving Average - The endpoint moving average uses a least squares (linear regression) fit to derive each point on the moving average line based on the preceding period. Sine-Weighted Average - The sine-weighted moving average is similar in concept to the triangle moving average, but the weighting factors are based on a sine calculation instead. These new moving averages may be used as overlay indicators showing the moving average of some price type for an instrument, or they may be used as smoothing options in conjunction with other technical indicators. For example, the Adaptive moving average could be used to smooth the CCI, RSI, or MACD indicator.



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The five pre-existing moving averages are Simple, Weighted, Exponential, Welles Wilder, and Least Square. Below we'll take a closer look at these 5 averaging methods. Simple Moving Average (SMA) - This is probably the most commonly used smoothing type. The Simple method gives equal weighting to each price point over the period considered. Let's assume we are considering a 10-period simple average of the close. The SMA value at each bar will be computed by taking the close of that bar, and the close of the previous 9 (Period - 1) bars, adding them together, and then dividing by 10 (Period), to get the average. Each time you add a new price point to the simple MA, you drop the oldest price point. Simple MA's have a memory of only the last X bars (X being the period). Exponential Moving Average (EMA) - Exponential averages address two problems that are experienced with Simple Moving Averages: SMAs give equal weight to each price in the period, and SMAs change twice with every new bar (new price added while old price is dropped). The calculation method used by exponential averages is cumulative, meaning that all previous bars have some effect on the EMA value, although that effect diminishes greatly with time. It is similar to other moving averages however in that the smaller the period, the more responsive the MA will be, as the most recent bar will have a greater effect. EMAs place more weight on recent prices than other moving averages such as SMA. For example, if you choose an EMA period of 7, then the current bar is going to get a weighting factor of 2(n+1) or 2(7+1) in our case, which is 0.25. So the current bar will be weighted 25% while the previous value of EMA (EMA.1) will be weighted 75%. The previous value of EMA is built using each of the previous bars (or prices) to some degree. In a comparable SMA with a period of 7, the current bar and the previous 6 bars all get an equal weighting factor or approximately 14.3% and the bars preceding these 7 bars aren't considered at all. The EMA period is really less of a "period" and more of a conversion factor used in determining the weighting factor or the current bar. Larger periods apply more weighting to past bars, while smaller periods apply more weighting to the current bar (and therefore make the indicator more responsive).


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Something else that must be considered when using cumulative indicators such as the EMA, is that the values can change slightly depending on how much data is loaded and considered in the population. This is inherent in the fact that each EMA value considers all past prices to some degree. So if you are using 40 bars to compute the EMA value, then the EMA value of the last bars is based on only those 40 bars, and can be different from an EMA that had 200 prior bars available for calculation. The difference in this case should be rather small and probably insignificant, but this can be an issue when running scans or using custom indicators in custom columns, as MarketDelta® optimizes to load the minimum bars necessary. Charts, on the other hand, generally have many more bars at its disposal. This can account for small discrepancies between scan result values and chart values when EMAs are involved. Weighted Moving Average (WMA) - Weighted MAs share characteristics of both Simple and Exponential Averages. Like Simple MAs, WMA has a fixed window equal to the period specified. In other words, if the period is 10, then only the previous 10 bars will be considered (non-cumulative). Like Exponential MAs, WMA places more emphasis, or heavier weighting, on more recent prices. As can be seen in the formula at the top of this page, the most recent price gets a weighting factor equal to the period. The weighting factor then decreases by 1 for each of the subsequent bars all the way back to a factor of 1 for n - 1 bars back (n being the period). For comparison, consider a 10 period moving average. For an SMA, the weighting of the current bar would be 10% (1 / 10). For an EMA, the weighting of the current bar would be approximately 18.18% (2 / [10 + 1]). For a WMA, the weighting of the current bar would be approximately 18.2% (10 / [(10 * 11) / 2]). Volume Weighted Moving Average (VWMA) - The Volume Weighted Moving Average weights the price of each bar with the volume of that bar. In this way, bars with higher volume will be more heavily weighted in the computation of the average. For example, a 5-period VWMA first sum the product of the volume and the price for each of the last 5 bars. This product is then divided by the sum of the volumes to give the resulting average. Many indicators in MarketDelta® allow the user to specify the smoothing type. The “Volume Weighted” option can now be found at the bottom of the list of smoothing types. The VWMA can also be accessed in the scan language by simply using the token “MA” and choosing for the smoothing type of the MA to be “Volume Weighted”. The Token MA



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The Moving Average indicator can be referenced in RTL using the token: MA. In addition to the price options available within the MA preferences, the MA token can be used in RTL to smooth just about anything. For instance, if you wanted to smooth Rate of Change, you would simply use the syntax MA(ROC). In this syntax, MA will ignore the price option specified in the preferences and just use the ROC values as input to the smoothing type (and period) specified. The floating point Exponential Moving Average indicator, which allows floating point periods, can be references using the token EMA. Keyboard Adjustment Several preferences of the MA indicator can be adjusted directly from they keyboard without opening up the preference window. First, select the indicator, then use the up and down arrow keys to adjust the smoothing period up or down by 1. To adjust the smoothing type, hold down the shift-key while hitting the up or down arrow keys. It's easy to keep track of the smoothing type by looking at the feedback in the title pane for MA. To adjust the thickness of the MA line, hold down the Ctrl key while hitting the up or down arrow keys. To adjust the floating point EMA indicator, the up and down arrows should also be used. 5.4.65 News Markers The Formula N/A The Information The purple flags represent markers for days with news. The Preferences


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· News Marker - This control let's you choose the color, size, shape, and location of the news marker. · Alert on Current Bar -If you check this box, you will be alerted with the corresponding sound when a news alert occurs. · View News - Click here to view the news stories on the instrument in the chart The Description



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A technical indicator called "News Marker" can be added to chart windows. This indicator examines the news items on file for the charted instrument and displays a visual marker in the chart window for each bar that has an associated news story. The selection of marker and marker color is similar to the scan technical indicator for marking scan signals. When a news marker appears in the chart, point the mouse pointer at the marker and the headline of the news items appears in the message area of the main toolbar. Right click on the marker to access the settings for the news markers. The settings dialog has a button to access a news browser for the charted instrument. 5.4.66 Normalized Price The Formula NP = ((PR - BASE) / BASE) * 100 ; where BASE is the base price at the date specified The Chart


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Above is a Daily candle chart of the E-mini S&P (ES). The lower window pane contains the Normalized Price Indicator based on the preferences below. The Preferences

· Base Date/Time - Date from which to extract the base value to be used to normalize the price. · Normalized Price - Price used for normalization. · Smoothing Type - Smoothing type used to smooth the resulting normalized data. · Smoothing Period - Smoothing period used to smooth the resulting normalized data.



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· Normalized Price - Check this box if you would like to see the raw normalized data, and specify the color to the right. · Smoothed Price - Check this box if you would like to see the smoothed normalized data, and specify the color to the right. The Description The Normalized Price indicator graphs the price movement of an instrument using 100 as the base value for a user specified base date/ time. The normalized value for each bar after the base date/time is the percent of the base price expressed as a whole number. (i.e. 100 times actual price divided by actual base price) This indicator shows the percentage move in price relative to some fixed starting point. For example, if you add this indicator to a daily chart using 12/31/06 as the based date, the indicator line will show you how the issue has performed since the beginning of year 2007. Values above 100 indicate the percentage increase in price since the beginning of 2007. For example, a value of 115 means the price has increased 15% since the base date, while a value of 82 would indicate a decline of 18% since the base date. The "price" graphed can be any of the standard MarketDelta® price values: close, high, low, high + low average, or high + low + close average. An optional smoothing can be applied to the resultant graph. For example, if the actual closing prices beginning at the base date/time were: Another purpose of the Normalized Price indicator is to provide a means of easily comparing the price action of two or more instruments since some fixed starting point. When a chart window contains two or more instruments, you may create normalized lines for each of the instruments and add them all to the same pane. Be sure to use the same base date/time in all normalized price indicators. 5.4.67 On Balance Open Interest The Formula SUM{OI+, Period} - SUM{OI-, Period} ; where OI+ is the open interest on up days (close higher than previous close) The Chart


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Above is a daily chart of Gold futures (GC). The lower window pane contains the On Balance Open Interest indicator with the preferences below. The Preferences



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· Period - Number of periods over which to sum up and down open interest. · Line Color - Color of the OBOI line in the chart. The Description The On Balance Open Interest for an n-day period is defined as the sum of all Open Interest for up days minus all Open Interest for down days. An up day is one where the price closed higher or the same as the previous day. The On Balance Open Interest study calculates the n-day Open Interest for each day and charts it as a line which can oscillate around the zero line. 5.4.68 On Balance Volume The Formula


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Not Cumulative, Not Normalized SUM{UVOL, Period} - SUM{DVOL, Period} Cumulative, Not Normalized SUM{UVOL} - SUM{DVOL} Cumulative, Normalized 100 * (SUM{UVOL} - SUM{DVOL}) / SUM{VOL} Not Cumulative, Normalized 100 * (SUM{UVOL, Period} - SUM{DVOL, Period}) / SUM{VOL, Period} where UVOL = Up Volume = Volume when CL > CL.1 DVOL = Down Volume = Volume when CL < CL.1 Note: When the "Cumulative" option is checked, the period is not considered, and the OBV is computed using all previous data (essentially, a period that begins at 1 and increases by 1 each bar). Also, when the "Normalized" checkbox is checked, the result is divided by the total volume of the period (or all previous volume if cumulative), and then multiplied by 100. The Chart



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Above is a daily chart of Gold futures (GC). The lower window pane contains On Balance Volume indicator based on the preferences below. The Preferences

· Smoothing, Short - This line allows the user to specify the price, smoothing type, and smoothing period used for the short term MA. · OBV Period - Number of periods over which to sum the up and down volumes. · Cumulative - When the "Cumulative" option is checked, the period is not considered, and the OBV is computed using all previous data. When "Cumulative" is unchecked, OBV will only consider the volumes over the previous OBV period. When this checkbox is checked, the "OBV Period" control is disabled since it is not considered.


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· Normalized - If this checkbox is checked, the result will be divided by the total volume over the period (or over all previous bars if cumulative) and then multiplied by 100. The result is an oscillator that ranges between extreme values of -100 and +100. · Draw Type - OBV can be drawn as either a histogram (solid or hollow) or a line (continuous or connected). The Description The On Balance Volume (OBV) for an n-day period is defined as the sum of all volumes for up days minus all volumes for down days. An up day is one where the price closed higher or the same as the previous day. The On Balance Volume study calculates the n-day OBV for each day and charts it as a line or histogram which can oscillate around the zero line. A "Cumulative" option forces the OBV to consider all previous data when calculating, as opposed to only the previous period. The OBV values accumulate throughout the chart. If the "Cumulative" option is unchecked, the user may specify a period over which the OBV will be calculated. A "Normalized" checkbox option is available which results is an oscillator that ranges between extreme values of -100 and +100. The OBV is normalized by first dividing the result by the total volume, and then multiplying by 100. When "Cumulative" is checked, the total volume is the sum of the volume of all previous bars. When "Cumulative" is unchecked, the total volume is the sum of the volume of the bars in the previous period. A normalized result of +100 would mean that each bar over the period was an up bar, and therefore all volume was considered up volume. Similarly, a value of -100 would mean that each bar over the period was an down bar, and therefore all volume was considered down volume. A value of 0 would represent an even mixture of up volume and down volume over the period. 5.4.69 Open Interest Analysis The Formula MA(OI, Period) The Chart



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Above is a daily chart of Gold futures (GC). The lower window pane contains the represents the moving average of the open interest, based on the preferences below. The Preferences


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· MA Type - Type of moving average to apply to the open interest. · Period - Period used for the moving average of the open interest. (use a period of 1 for raw OI) · Draw Type - Choice between drawing a line or histogram. · Volume Histogram Color - Color used for histogram or line in the chart. The Description Add this indicator with a period of 1 to see the open interest for futures and options contracts. The open interest may be displayed as a line or a histogram. Specify a period greater than one to see a smoothed open interest line or histogram.



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5.4.70 Oscillator/Summation The Formula OSC = MA(1st Period) - MA2(2nd Period) SUMMATION = SUM(OSC) The Chart

Above is a 5 Minute Candle Chart of the E-mini S&P (ES). The red line in the upper pane represents the oscillator, based on the preferences below. The line overlays the candlestick chart. In the lower pane is a blue line representing a summation with the preferences below. The Preferences


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· Oscillator/Summation - Choice of either an Oscillator, or a Summation. · Price - The price to be used in computing the two moving averages. · MA Type - The type of moving averages to be used. · 1st Period - Period of the first moving average. · 2nd Period - Period of the second moving average. · Oscillator Color - Color of the oscillator in the chart. · Summation Color - Color of the Summation in the chart.



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· McClellan - This resets the indicator values to use the McClellan Oscillator recommended defaults. The Description The McClellan Oscillator and Summation Indexes were developed by Sherman and Marian McClellan in 1969. They were developed to gain an advantage in selecting entry and exit times in the stock market. The McClellan Oscillator offers many types of structures for interpretation, but there are two main ones. First, when the Oscillator is positive, it generally portrays money coming into the market; conversely, when it is negative, it reflects money leaving the market. Second, when the Oscillator reaches extreme readings, it can reflect an overbought or oversold condition. 5.4.71 The Owl The Formula N/A The Chart


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The Owl is a monthly newsletter published by Dr. Russell A. Lockhart for subscribers to The Manual Project. MarketDelta® has taken some of the methodologies described in The Owl and encapsulated them in a technical indicator. Above is a 1-minute chart of Google (GOOG), with The Owl indicator added to it, using the preferences seen below. The Preferences



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The Owl was built on top of the rectangle tool that pre-existed in MarketDelta®. This base rectangle dictates how the remaining options of The Owl are drawn. On a 1-minute chart, it is recommended that you draw the rectangle around the first 30 bars of the day. To draw the base rectangle, click on the "Rectangle / The Owl" button in the chart toolbar (the cursor will change into a pencil), and then simply drag your rectangle around the bars you wish to include in the base rectangle. This is done by clicking on a position in the chart and holding the mouse down while dragging the cursor to create the rectangle. Now you may want to adjust your rectangle position. We will discuss this in the next section. In a 1-minute chart, Dr. Lockhart recommends that you wrap your rectangle round the first 30 minute bars of the current trading day. Of course this can only be done after the first 30 minutes have transpired. You may, however, add your rectangle before the first 30 minutes and adjust it as time moves on. There are several ways to adjust the position of your rectangle. This adjustment only refers to horizontal adjustment of the rectangle, as the vertical height of the rectangle is dictated by the high and low of the period it contains. One way to adjust the rectangle position is with the keyboard. First, select the base rectangle by clicking somewhere on it. Now, the following keyboard combinations have these results... Adjusting the Position of The Owl Keyboard Stoke Resulting Action Right Arrow Moves both the right and left sides of the rectangle to the right one bar. Left Arrow Moves both the right and left sides of the rectangle to the left one bar. Shift - Right Arrow Moves the left side of the rectangle to the right one bar. Shift - Left Arrow Moves the left side of the rectangle to the left one bar. Ctrl - Right Arrow Moves the right side of the rectangle to the right one bar. Ctrl - Left Arrow Moves the right side of the rectangle to the left one bar.


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Another way to adjust the position of The Owl is by adjusting the Start and End Date/Time control in the preferences window. The Start Date/ Time represents the date and time of the left side of the base rectangle. The rectangle side will be drawn just to the left of the bar this date/time represents. Similarly, the right side of the rectangle will be drawn just to the right of the bar the end date/time represents. In our chart above, the first bar of the day is represented with the time 9:31 and the last bar of our 30 minute rectangle is represented with the time 10:00. A bars "time" is actually the time that the bar ends, or is completed. Adjusting the Preferences of The Owl Your rectangle may not yet have The Owl appearance. This is accomplished in the preferences of the rectangle. First, select the base rectangle by clicking somewhere on it, and then hit the "Enter" key on your keyboard. A preference window similar to the one that was shown above should appear. Once you check "The Owl" checkbox, you will have several additional options available to you. Let's discuss each preference individually. For additional information on these options, you may want to refer to the April 2001 edition of The Owl. Base Rectangle This allows you to adjust the color, line thickness, and line type of base rectangle. Clicking on the colored square will bring up the MarketDelta® color picker. You can control-click on this colored square to get the native OS color selector. Price/Time Grids The Price/Time Grids are grids built by replicating the base rectangle both horizontally and vertically throughout the chart. The checkbox to the left allows you to turn this option on and off. You may also adjust the line color, thickness, and style. Diagonals Diagonals connect the intersections of the Price/Time Grids. The checkbox to the left allows you to turn this option on and off. You may also adjust the line color, thickness, and style. Arcs Three Arcs are drawn. The first Arc is drawn around the base rectangle using the length of the rectangles diagonal as the radius. The other two Arcs also this same radius. One Arc is attached to the high price. The other Arc is attached to a low price. We will discuss below the method for moving the high and low Arcs. The checkbox to the left allows you to turn Arcs on and off. You may also adjust the line color, thickness, and style.



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Auto Arcs If you check the Auto Arc checkbox, MarketDelta® will try to find a significant high and low for you, and automatically draw the Arcs from this position. These Arcs will may be adjusted automatically throughout the day as new highs and lows are formed. Diagonal Grids Diagonal Grids form squares grids throughout the chart using the Arc radius (or base rectangle diagonal length) as the length of it's sides. The checkbox to the left allows you to turn Diagonal Grids on and off. You may also adjust the line color, thickness, and style. Gann The Gann option draws the following Gann Angles: 1x1, 1x2, 1x4, 1x8, 1x16. The angles are drawn downward starting at the upper left corner of the base rectangle, and upward starting at the lower left corner of the base rectangle. The checkbox to the left allows you to turn Gann Angles on and off. You may also adjust the line color, thickness, and style. Once you have your preferences setup like you wish, with some reasonable colors, line widths, line types, etc., it is highly recommended that you click the Make Default button below the preferences window. This will ensure that you will retain these same settings the next time you use the Rectangle/Owl button on the charting toolbar to draw a rectangle in a chart. Maintaining a 1x1 (45°) state for the Base Rectangle Note in the chart above, the text on top of the Rectangle reads: 30x4.49 (45.0°) This indicates 30 bars x $4.49, forming an angle of 45.0 degrees. This is a measure of the actual angle of the diagonal, which you are ideally trying to lock in at 45° (1x1). Now, there are a few things inherent in the MarketDelta® charting system that may adjust your angle as the day proceeds...as you may have already noticed. These include... - adjusting the pixels per bar (width of each bar) in the chart preferences... - adjusting the chart (or chart window pane) size vertically - adjusting the vertical scale settings - scrolling back or forth horizontally in the chart (with auto-scaling turned on) - new bars entering into the right side of the chart while old bars leave the left side, causing new highs/lows. ©2003 - 2009 MarketDelta LLC. All Rights Reserved.

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So what is the best way to lock your 30 bar square into a 1x1 (45°) square shape? Here are some suggestions... After the first 30 minutes have passed, and you are able to draw your square around the first 30 1-minute bars of the day, double-click in the vertical scale to bring up the vertical scale preferences, and check "Manual Scaling" and select a reasonable range that you think should take you through the day. (like 1450 to 1480. for example). Later in the day, you can adjust this range, but should always keep the same spread between the high and low. This will insure that scrolling motions and new bars coming into chart won't affect our square shape. Now, we need to make other adjustments to get our square as close to possible to 45°. First, adjust the pixels per bar (you can do this by clicking in blank space on the chart and then using the up and down arrows on your keyboard, or bring up the chart preferences and adjusting there), until you have something somewhat close to 45° along with a reasonable bar size. Now, you can adjust the chart height vertically to fine tune the degrees. Once you have it fine tuned, just sit back and watch as the owl monitor the day. If, later in the day, you need to scroll the entire chart upwards or downwards to adjust for new price action, you can do so easily while maintaining your 1x1 base rectangle. Simple drag in the right half of the vertical scale, up or down. Dragging upwards will case the entire chart to move upwards. Dragging downward will cause the entire chart to move downwards. If you drag in the left half of the vertical scale, this stretches and contracts the scale vertically, and will effect the angle of your base rectangle diagonal. So be careful to drag in the right half of the scale. When you mouse down in the left half of the scale, you should see the cursor change to a hand. When you mouse down in the right half of the scale, you should see the cursor change to a scroll marker (two horizontal lines with arrows protruding up and down). Adjusting the Position of the Floating Arcs If you would like to manually move your floating arcs, you can do so with your keyboard. First, select The Owl by clicking somewhere on the base rectangle. Now, the following keyboard combinations will have these results. Keyboard Stoke Up Arrow Down Arrow Shift - Up Arrow

Resulting Action Moves both the high and low Arcs to the right one bar. Moves both the high and low Arcs to the left one bar. Moves the high arc to the right one bar. ©2003 - 2009 MarketDelta LLC. All Rights Reserved.


Shift - Down Arrow Ctrl - Up Arrow Ctrl - Down Arrow

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Moves the high arc to the left one bar. Moves the low arc to the right one bar. Moves the low arc to the left one bar.

Creating Space on the Right Side of The Owl Chart The Owl indicator often requires looking into the future to see where the Gann Angles, Arcs, Gridlines, and Diagonals, project the price/time action. MarketDelta® (4.9.5 and later) allows the user to specify a "Look Ahead" period. This Look Ahead period specifies the number of bars into the future that the chart will reflect. It will create in essence a margin to the right of the most current bar, between the bar and the vertical scale. In order to adjust this Look Ahead period, first bring up your chart preferences. You can do this by either double-clicking in the horizontal scale, clicking on the chart preferences button in the charting toolbar, or right-clicking in the chart (cmd-click on Mac) and choose "Preferences: Chart". In the Viewing Period section of the chart preferences window, you should choose either "Begin to End" or "Last X Days". When either of these are chosen, a "Look Ahead ___ Bars" option will appear. A common suggestion here would be 20 bars, but this will vary depending on other characteristics of your particular chart. There is also a shortcut to adjusting the Look Ahead period. Just shiftdrag in the horizontal scale along the bottom of the chart. Shiftdragging to the left increases the Look Ahead period as you drag in new white space, while shift-dragging to the right removes space by decreasing the Look Ahead period. 5.4.72 Paint Bars The Formula N/A The Chart


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Above is a 5 Minute Candle Chart of Google (GOOG). The green bars represent bars where the MACD_Bullish scan resulted in TRUE, while the red bars represent bars where the scan resulted in FALSE. The Preferences



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· Paint Using... - You can base the bar painting on either a Scan, a Trading Signal, or a Custom Indicator. The list below allows you to pick the specific Scan, Signal, or Custom Indicator. · View - This button will bring up the appropriate window to view or edit the object in the list to the left. · New - This button will allow you to create a new object based on whether you have Scan, Signal, or Custom Indicator chosen above. · If value > 0 (TRUE) - If this checkbox is checked, the bars will be drawn in the corresponding color when the expression above evaluates to a value of greater than 0. Since TRUE is the equivalent of a numerical 1, TRUE is included in this group.


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· If value <= 0 (FALSE) - If this checkbox is checked, the bars will be drawn in the corresponding color when the expression above evaluates to a value of less than or equal to 0. Since FALSE is the equivalent of a numerical 0, FALSE is included in this group. · Paint Bars / Paint Background - You may choose to either paint the bars themselves, or paint the background behind the bars. · Add Technicals to Chart - This button will add the technical indicators involved in the scan, signal, or indicator expression, to the chart. The Description The Paint Bars indicator is a powerful tool for highlighting individual bars or groups of bars within a traditional bar chart. Normally, the bars in a traditional bar chart are drawn in one of two colors: an up color (typically green) and a down color (typically red). When a bar closes above the close of the previous bar, the bar is drawn using the up color, otherwise the bar is drawn in the down color. When a Paint Bars indicator is added to a traditional bar chart window, you can elect to paint the actual bars or highlight the normal bars with specific background color(s) if some "condition" is true. The "condition" is specified by selecting a particular scan, trading signal, or custom indicator. For each bar in the chart, a scan or trading signal is either TRUE or FALSE. You can choose specific colors for both the true condition and the false condition. If a custom indicator is chosen as the painting criterion, then the custom indicator has an arithmetic value corresponding to each bar in the chart. Thus, three color choices are provided for positive, negative, and zero values of the indicator. Here is a simple example. Suppose you wanted your intra-day bar charts to highlight periods of time during which the instrument is trading above the moving average of closing prices for the preceding 10 periods. First, create a "scan" named "Above MA" with the RTL formula: CL > MA Where the MA moving average token is defined as a 10 period simple moving average.



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Open an intra-day bar chart of some instrument and add a "Paint Bars" indicator to the chart. Setup the paint bars indicator to use the scan named "Above MA" created above. Specify "Paint Background" using the menu at the bottom of the Paint Bars setup window. Place a checkmark in the box to the left of the "TRUE" condition color box, then click on the color and pick a highlighting color for the TRUE condition. You could also specify a different color for the FALSE condition, but in this example, leave the checkbox to the left of the FALSE condition color box unchecked. Then click OK to add the Paint Bars indicator to the bar chart. You will see all bars that closed above the moving average are highlighted with the TRUE color chosen above. To change the settings for a paint bars indicator, click the Edit Chart Element button on the charting toolbar and select the "Paint Above_MA" graph element. The setup window for the paint bars indicator will appear. Change the menu to read "Paint Bars" instead of "Paint Background". Change the TRUE condition color if you like to something different than the normal up/down colors you see in the chart, e.g. blue. Then click the Apply button to observe the effect (without closing the settings window). Notice that now the bars themselves are painted blue whenever the close is above the MA while other bars are painted normally using the up/down colors. If you click the "Add Technicals to Chart" button, MarketDelta® will determine which technical indicators are being used by the paint bar criterion. In this example, the MA technical indicator used in the "Above MA" scan will be added to the chart so you can verify visually that the highlighted bars do indeed close above the moving average. Note that only one Paint Bars indicator should be added to a chart pane. If you add more than one, the first one will be used. To change the scan, signal, or custom indicator used to paint the bars, first delete the existing paint bars indicator, then add a new one using a different scan, signal, or custom indicator. If you revise the meaning of a particular scan, signal, or custom indicator that is currently being used to paint bars in one or more bar chart windows, the chart will update dynamically to reflect the revised meaning. In our example above, if you open the scan "Above MA" (using the Open: Scan command) and revise the MA token, changing it from a ten period to a twenty period moving average, and click the Save button, the chart window will re-paint automatically to highlight the bars closing above the 20-period moving average.


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At present, the paint bars indicator only performs its task when the traditional chart is shown as a bar chart. If you temporarily switch the chart type to candlestick, or one of the line types, the highlighting will disappear. When you switch the chart back to a bar chart, the paint bars will once again highlight the chart window pane as appropriate. 5.4.73 Parabolic Stop And Reversal (SAR) The Formula If Long... SAR = (HI.1 - SAR.1) x AF + SAR.1 Wilder's acceleration factor (AF) is 0.02 for the initial calculation. Thereafter the AF is increased 0.02 every period there is a New High made. If a new high is not made then the AF is not increased from the last SAR. This continues until the AF reaches 0.2. Once the AF reaches 0.2 it stays at that value for all future SAR calculations until the trade is stopped out. If Short... SAR = (LO.1 - SAR.1) x AF - SAR.1 The AF is initially 0.02 and changes by 0.02 intervals until it is 0.2 but the change in the AF is made only after each New Low of a period is made. The AF is never increased above 0.2. Rules of Advancement... The SAR is never advanced into the previous period's range or the current period's range. If Long using daily data: Never move tomorrows applicable SAR above yesterdays or today's low. If the calculated SAR is higher than either of these lows then use the lower low of these two days as the SAR and use this value for SAR calculation for the next day. If Short using daily data: Never move the SAR below the high of yesterday or today. If the calculated SAR is lower than either of these values then use the higher high of these as the SAR for the day and for the future calculation for the following day's SAR. The Chart



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Above is a 15 Minute Line Chart of Google (GOOG). The red dots overlaying the candles represents the Parabolic SAR levels using the preferences below. The SAR can also be drawn as an oscillator. The Preferences


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· Initial/Incremental Step - The values used for initializing and stepping the acceleration factor (AF). · Maximum Step - The maximum value that can be used for the acceleration factor (AF). · Use Highs and Lows - If this checkbox is checked, the high and low values will be used in the computation of the SAR, otherwise, only the open and closing values will be considered. · SAR Color - Color and style of the SAR line/oscillator in the chart. · SAR Oscillator (CL - SAR) - This option results in a histogram style oscillator representing the difference between the closing price and the SAR value.



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The Description The Parabolic SAR, developed by Welles Wilder, is used to set trailing price stops. SAR refers to "Stop-And-Reversal". It is designed to create exit points for both long and short positions in such a way that it allows for reactions or fluctuations at the beginning of the position, but accelerates upward (for long positions) or downward (for short positions) as the movement tops out. Parabolic SAR is plotted around the price chart similar to a moving average. The basics behind the formula for computing the SAR values can be found above. The Parabolic SAR provides excellent exit points. You should close long positions when the price falls below the SAR and close short positions when the price rises above the SAR. If you are long (i.e., the price is above the SAR), the SAR will move up every day, regardless of the direction the price is moving. The amount the SAR moves up depends on the amount that prices move. Wilder suggests using this indicator in a trending (or directional) market. If the security is trending up, then one might only take long positions. If the security is trending down, one might only take short positions. SAR Oscillator A new checkbox labeled "SAR Oscillator (CL - SAR)" has been added to the Parabolic SAR Indicator preferences. When this option is checked, the oscillator will be drawn as a histogram that oscillates about 0. The oscillator represents the difference between the closing price and the SAR indicator value. SAR rules would dictate entering into a long position when the oscillator crosses above 0, and reversing into a short position when the oscillator crosses below 0. The Token SAR The RTL Token for the Parabolic Stop And Reverse is SAR. A common system for trading the SAR is to go long when the SAR crosses below the close. This condition can be detected using the following scan or trading signal. SAR < CL AND SAR.1 >= CL.1 And to reverse the long position and go short when the SAR crosses back above the closing price. SAR > CL AND SAR.1 <= CL.1


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Keyboard Adjustment Keyboard adjustment can be very helpful when trying to visually optimize your indicator options. Both steps (initial and maximum) involved in the SAR indicator can be adjusted directly from they keyboard without opening up the preference window. First, select the indicator, then use the up and down arrow keys to adjust the Initial/ Incremental Step up or down by 0.001. To adjust the Maximum Step up or down by 0.01, hold down the shift-key while hitting the up and down arrows. 5.4.74 Percent Change Volume or Price The Formula PerChg = (Price - Price[n]) / Price[n] ; where n is the period and Price[n] is the price n periods ago. The Chart



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Above is a Daily Candle Chart of Google (GOOG). In lower window pane the blue line represents the 10 Period Price Percent Change, as specified in the preference window below. A horizontal reference line is automatically draw at zero. The Preferences

· % Change in Price/Volume - Here you choose whether you want to use closing price, or volume for percent change data. · % Change Period - Number of bars back to compare the current data to when computing percent change. · Line Color - Color of percent change line in chart. The Description


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The Percent Change Indicator calculates and draws a line showing the nperiod percent change in either volume or price for an instrument. The indicator oscillates around zero with positive values indicating increasing prices (or volume) and negative values indicating declining prices (or volume). If you wish to see both percent change to volume and percent change in price in the same chart, apply the indicator multiple times , once with "Price" check marked, and again with "Volume" check marked. You can add both to the same chart window pane if you like. This indicator graphs the percent change in price or volume (or both) over a specified time period. It can be very useful in gauging whether volume has confirmed a price move by increasing with the move. By the same reasoning, decreasing volume while price moves in a given direction may represent the counter trend. 5.4.75 Pivot Points The Formula PP = (High + Low + CL.1) / 3 ; other options available - see preferences 1st Res = 2*PP - Low ; where Low is based on preference selection 2nd Res = PP + (High - Low) ; where High is based on preference selection 3rd Res = 2*PP + (High - 2*Low) 1st Sup = 2*PP - High 2nd Sup = PP - (High - Low) 3rd Sup = 2*PP - (2*High - Low) S 0.5 = (PP + 1st Sup) / 2 R 0.5 = (PP + 1st Res) / 2 S 1.5 = (1st + 2nd Sup) / 2 R 1.5 = (1st + 2nd Res) / 2 S 2.5 = (2nd + 3rd Sup) / 2 R 2.5 = (2nd + 3rd Res) / 2 The Chart



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Above is a 5 Minute Candle Chart of the E-mini S&P (ES). The colored reference lines represent the pivot point, 1st and 2nd support, and 1st and 2nd resistance levels (not shown). The Preferences


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· Pivot Point = - The user may choose from several different options for calculating the Pivot Point, each including a high and low component. Some examples include: (High + Low)/2 , (High + Low + CL.1)/3, (High + Low + CL.1 + OP.1)/4, (High + Low + CL.1 + OP)/4, (High + Low + CL + OP)/4, (High + Low + CL)/3, (High + Low + OP)/3, (High + Low + 2*OP)/4 or (High + Low + SETTLE)/3 · High - This selection for the High expression will be used in the calculation of the Pivot Point value as well as the Support and Resistance Values. Options include: HI.1, HI, MAX(HI, HI.1), MAX(HI, HI.1, HI.2), MAX(HI.1, HI.2), or any custom V# variable. · Low - This selection for the Low expression will be used in the calculation of the Pivot Point value as well as the Support and Resistance Values. Options include: LO.1, LO, MIN(LO, LO.1), MIN(LO, LO.1, LO.2), MIN(LO.1, LO.2), or any custom V# variable. ©2003 - 2009 MarketDelta LLC. All Rights Reserved.


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· Alt S3 Calc - When checked, the S3 is calculated as PP - 2 * (HI - LO) instead of the traditional HI + 2 * (PP - LO). Similarly, R3 will be calculated as PP + 2 * (HI - LO) instead of the traditional LO - 2 * (HI - PP). · Store In V# - This option allows the user to store the pivot levels automatically into a series of V# variables. This method can be handy for transferring pivot levels to Market Profile® charts. · Pivot Point - Specify whether or not to draw Pivot Point line, as well as the color of the line in the chart. · 1st (Resistance) - Specify whether or not to draw 1st Resistance line, as well as the color of the line in the chart. · 2nd (Resistance) - Specify whether or not to draw 2nd Resistance line, as well as the color of the line in the chart. · 3rd ( Resistance) - Specify whether or not to draw 3rd Resistance line, as well as the color of the line in the chart. · 1st (Support) - Specify whether or not to draw 1st Support line, as well as the color of the line in the chart. · 2nd (Support) - Specify whether or not to draw 2nd Support line, as well as the color of the line in the chart. · 3rd ( Support) - Specify whether or not to draw 3rd Support line, as well as the color of the line in the chart. · Pivot Point - The user may choose from three different options for calculating the Pivot Point: (HI + LO)/2 , (HI + LO + CL)/3, or (OP + HI + LO + CL)/4 · Draw current lines - Check here to draw horizontal reference lines at current support and resistance levels. · Draw historical graphs - Check here to draw historical lines for support and resistance. · Use Daily/Weekly/Monthly - This option allows you to use Daily, Weekly, Or Monthly Data when computing the pivot point levels for an intraday chart.


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· Beginning X Days Back - This gives the user the ability to study the daily pivot point levels historically on an intraday chart. Specifying 1 day back will result in the levels for yesterday. If your equations do not reference current days data, then you can also specify a -1 in this box to look at tomorrows levels. This value can be adjusted by selecting the pivot study in the chart, and using the left and right arrow keys on your keyboard to move it one day (week/month) right or left. · One Color - This option allows the user to specify only one color for all lines in the study. When the checkbox is checked, all color controls except one will be hidden. · R0.5, R1.5, R2.5, S0.5, S1.5, S2.5 - These options allow you to draw support at resistance levels at the midpoints of the major support and resistance lines. The Description The Pivot Point study is one which works best in markets with a wide daily trading range (high volatility). The study uses the previous day high, low, close, and open price to generate a pivot, two support levels, and two resistance levels. Because it is generated from daily data it is recommended that you check the "Use Daily" checkbox when adding this study to an intraday chart. Otherwise, the pivot point lines will be calculated using bars of whatever periodicity the chart is in. Price crossing the pivot on an up move is a bullish event; a cross below the pivot on a down move is a bearish event. Once a bullish indication has registered the study offers two resistance levels for the price to test. If the first resistance is penetrated price can be expected to test the second resistance. The same idea holds true for the support levels on a downward cross of the pivot point. Choosing a Pivot Point The user now has a great deal of flexibility available in selecting what data will be used in calculating the pivot point and the support and resistance levels. Some of the pivot point options include: (High (High (High (High (High (High (High (High

+ + + + + + + +

Low)/2 Low + CL.1)/3 Low + CL.1 + OP.1)/4 Low + CL.1 + OP)/4 Low + CL + OP)/4 Low + CL)/3 Low + OP)/3 Low + 2*OP)/4 ©2003 - 2009 MarketDelta LLC. All Rights Reserved.

Technical

Indicators

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The expression CL.1 represents the closing price of the previous day, while the expression OP represents the opening price of the current day or session. Notice that each expression has two common components, High and Low. The values used for the High and Low will in turn be based upon what is selected from the list box in the preferences. Some choices available for High include: HI.1 HI MAX(HI, HI.1) MAX(HI, HI.1, HI.1) V#1 V#2 V#3 .. . Whatever expression is selected here will be substituted for "High" in the equation for Pivot Point, as well as the equations for support and resistance levels Similar, whatever expression is chosen in the "Low" listbox will be substituted for "Low" in all equations. As an example, assume the user chose the following options: Pivot Point: (High + Low + CL.1) / 3 High: HI.1 Low: MIN(LO, LO.1) Then the resulting equations for Pivot Point and 1st Support and Resistance would be: Pivot Point: (HI.1 + MIN(LO, LO.1) + CL.1) / 3 1st Support: 2*PP - HI.1 1st Resistance: 2*PP - MIN(LO, LO.1) A new options has been added to the Pivot Point study to allow for the viewing of historical daily pivot levels on intraday charts. When the "Use Daily" options is selected, you can then specify how many bars back you would like to base the calculation of your pivot levels. For instance, if you chose 1 bar back, you would see yesterday's pivot levels. Conversely, if you specify -1, you would see tomorrows pivot levels. You will only be able to view tomorrows pivot levels if you pivot level calculations do not rely on the current days data (only previous days data). This historical option also works with weekly and monthly options. The following custom indicators can be used to represent the 4th and 5th support and resistance levels. ©2003 - 2009 MarketDelta LLC. All Rights Reserved.

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S4: (HI.1 + LO.1 + CL.1)/3 – (2 * HI.1 – 2 * LO.1) S5: 2 * (HI.1 + LO.1 + CL.1)/3 – (3 * HI.1 – 2 * LO.1) R4: (HI.1 + LO.1 + CL.1)/3 + (2 * HI.1 – 2 * LO.1) R5: 2 * (HI.1 + LO.1 + CL.1)/3 + (2 * HI.1 – 3 * LO.1) Once these custom indicators are created, they should be added to intraday charts using the MPD (Mixed Periodicity Data) indicator (one for each custom indicator). Setup MPD with "Mix Periodicity: Daily", "Data Source: Indicator: CI: Custom Indicator" (and choose one of the custom indicators you've created), and "Stretch" should be checked. These 4 support and resistance levels have more concise formulas if you use the MID and HLR tokens. MID.x is equivalent to (HI.x + LO.x + CL. x)/3. The HLR (High Low Range) token HLR.x is equivalent to (HI.x - LO. x). Thus we have: S4: MID.1 - (2 * HLR.1); S5: MID.1 - (2 * HLR.1) - HI.1; R4: MID.1 + (2 * HLR.1); R5: (2 * MID.1) + (2 * HLR.1) - LO.1 5.4.76 Point And Figure Indicator The Formula See Also: Point and Figure Charts The Chart



Above is a Daily Candle Chart of Google (GOOG). Each green block represents an 'X', and each red block represents and 'O'. The preferences are shown below. The Preferences


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· Box Size - Size of the PNF Boxes. · Reversal Criteria - Number of boxes needed to cause a reversal. · Use Highs and Lows - Specifies whether to use only the closing prices of the bar data, or to use the highs, lows, and closing prices.



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· Expand Into Traditional Bar Data - This option cause the PNF columns to be expanded or stretched in order to conform with the underlying time-based traditional bar data. If this option is left unchecked, then the PNF indicator columns will not necessarily match up with the traditional bars. The feedback in the title bar will indicate the time or date that each PNF column ended. Checking this box will cause each PNF column to be stretched out over the period of time which was used to create the column. For instance, in the chart above, you can see that the first green up column lasted 15 days or bars before a reversal occurred. The Description The Point and Figure Indicator calculates columns just like the Point And Figure Charts. There are however a couple of advantages to being able to add PNF as an indicator on a chart. First, you can overlay the traditional bar data on top of the PNF data to see exactly where in time the reversals occurred and the amount of time that was spent in each column. Also, this provides the ability to apply all other technical indicators to PNF data, such as moving averages, reference lines, etc. 5.4.77 Price Bands The Formula N/A The Chart


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Above is a 5 Minute Line Chart of Google (GOOG). Two Price Bands indicators can be seen overlaying candlestick chart. This blue and red Price Band was drawn using the preferences seen below, and represent an historical band between a short (10-period) and long (20-period) term moving average. The blue Price Band was drawn as a "Horizontal Band" between the maximum high and minimum low over the past 5 bars. The Preferences



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· Price 1 - The Custom Indicator which is used as Price 1. · Price 2 - Depending up the type of band drawn (see "Draw:" below), Price 2 can be either another custom indicator, or a certain price ($), percent (%),or number of pixels (P) "Above", "Below", or "Above & Below" Price 1. · Draw - Three "Draw" options are available including "Horizontal Band (Price 1 to 2)", "Historical Band (Price 1 to 2)", "Two Color Line", "Thick Bar", "Thin Bar", and "Open Close Bar". These 6 options are discussed in detail in the "Description" section below. · Price 1 > Price 2 - This option is only available with "Historical Bands" and dictates the color of the band when Price 1 is above Price 2. · Price 2 > Price 1 - This option is only available with "Historical Bands" and dictates the color of the band when Price 2 is above Price 1. · Style - Historical Band (Price 1 and 2)


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- Two Color Line (Price 1) - Thick Bar (Price 1 and 2) - Thin Bar (Price 1 and 2) - Open Close Bar (Price 1 is open) The Description A new technical indicator called "Price Bands" has been added. Price Bands can be either "Historical Bands", "Horizontal Bands", or "Two Color Lines" based on which "Draw" option is specified. Horizontal Bands Horizontal Bands are drawn between two specific prices. The first price (Price 1) is determined by a user-specified custom indicator. The second price (Price 2) can also be determined by a custom indicator, or it can be set to a certain distance (price or percent) "Above", "Below", or "Above and Below", Price 1. Horizontal Bands draws from the left edge of the chart, to the right edge of the chart, with the top and bottom of the band being dictated by the selections for Price 1 and Price 2. As an example, you may create two custom indicators that represent the previous session's high, and the previous session's low (using syntax "MPD"). These two custom indicators can then be used to draw a Price Band on an intraday chart that shades the area representing the previous session's trading range. Similarly, you could create a custom indicator that represented the highest high of the past 10 bars (using STAT). By setting Price 1 to this custom indicator and Price 2 to "1% Below Price 1", a Price Band would be drawn from the highest high of past 10 bars, down to 1% below that highest high. An example of a Horizontal Band can be seen drawn in blue in the chart at the top of this page. This band is drawn between the maximum high (MAX(HI, 5)) and minimum low (MIN(LO, 5)) over the past 5 bars. Historical Bands While Horizontal Bands are drawn as solid bands between two current specific prices, Historical Bands are drawn between two historical lines. An example of an Historical Band can be seen drawn in green and red in the chart at the top of this page. This band is drawn between a short (10-period) and long (20-period) term moving average. Two colors are specified to control what color the band is painted when Price 1 is above Price 2, and conversely when Price 2 is above Price 1. Two Color Lines



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A Two Color Line is basically just any custom indicator, drawn in two colors, based on whether a specified Signal is TRUE of FALSE. The line also has a thickness that is specified in pixels (P). In other words, any line can be drawn in two-color mode, with any two colors and any thickness, based on any signal. The Price Band indicator can be selected by clicking on the very top or bottom of the band (by clicking on either Price 1 or Price 2). The Price Band acts just like all other technical indicators in that it can be drawn in front of or behind any other element (indicator or instrument) in the chart pane. Price Bands are also not limited to being drawn with instruments, but they can also be drawn along with standalone indicators. For instance, Price Bands could be drawn in the MACD pane representing the area from the highest MACD value over the last 20 bars, down to 10 points below this highest value. Or one could use the Price Pane to simply draw between two constant prices. To obtain a constant numeric value from a custom indicator, simply use the syntax "VAR" and setup the VAR token with whatever numeric value you'd like, or use the syntax "10.5 + HI*0". In other words, a number by itself (syntax like "10.5") is not allowed in RTL. A token must be present somewhere in the syntax. Thick and Thin Bars These bar styles draw vertical bars between the two prices (Price 1 and Price 2). The color of these bars can be customized based on whether Price 1 is above or below Price 2. The Thin Bar is drawn with a minimal width of 1 pixel, while the Thick Bar is drawn using the Pixels/Bar width of the underlying chart. These new styles can be used to create customized candlesticks (one Thick Bar for the body and one Thin Bar for the candle wicks). Open Close Bars This style is similar to the "Thin Line" and "Thick Line" options in that it take two custom indicators, and draws a vertical line (thin) between the two custom indicators (Price 1 and Price 2). Actually, this style is exactly like the "Thin Line" option with one addition. It draws a small line protruding from the left of the vertical line at Price 1 (representing the "open" price), and it draws a small line protruding to the right at Price 2 (representing the "close" price). 5.4.78 Price Projections The Formula Built within Fibonacci Retracement Indicator The Chart


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Above is a Daily Candle Chart of Google (GOOG). The Price Projections lines can be seen at 1, 2, 3, 4, 5, 6, and 7% above and below the 545 line. There preferences for this setup can be seen below. Notice the Price Projections have been built as an option within the Fibonacci Retracement tool. The Preferences



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· PriceProject- This turns on the Price Projections option inside the Fibonacci Retracement tool. This force the lines to be drawn an percent from a single price, as opposed to a percent between two prices (as the retracement does). The Description The Fibonacci Retracement tool has been enhanced to provide a new Price Projection option. This option allows the user to specify one price, and automatically draw multiple horizontal lines any percent level above or below that price. A new checkbox in the Fibonacci Retracements preferences entitled "PriceProject" turns on this option. When Price Projections are turned on, the indicator only considers the ending price specified, and uses the percent levels specified in order to create horizontal lines those percentages up and/or down from the end price. The base line (0% line) can the be dragged up or down and the corresponding percent reference lines will be recalculated and redrawn accordingly. This line can also be adjusted using the keyboard by selecting the line, then hitting the up or down keys on your keyboard. ©2003 - 2009 MarketDelta LLC. All Rights Reserved.

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5.4.79 Profile Indicator The Formula See description below. The Chart

Above is 15 minute Candle Chart of the e-Mini S&P (ES).



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Above is Daily Candle Chart of the e-Mini S&P (ES). These are a couple of ways to builds charts with this indicator. Add 2 profile indicators to get the monthly and yearly profile on one chart. The Preferences


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· Price and Time/Volume - This option controls whether "time" or "volume" is used when computing the profile(s). If "time" is used, the width of each row in the profile represents the number of bars (over profile period/width) which hit the price range of that row. If "volume" is used, the width of each row represents the volume traded in that rows price range. · Hide Profile - If this checkbox is checked, the actual profile itself will not be drawn, allowing the user to draw the VA and POC lines alone. · Compute Last ___ Profiles - This option controls how many profiles (sessions) are computed and drawn in the chart. The color control to the right controls the color of the rows outside the value area.



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· Price/Row (Height) - This option controls the "height" of each row of the profile, or the range of prices which each row represents. If a value of 0.04 is specified, for instance, then potential rows would include 0.00 to 0.04, 0.04 to 0.08, ..., 25.08 to 25.12, ..., 100.40 to 100.44, etc. If "Automatic" is selected, MarketDelta® will use a reasonable height based on the trading range of the instrument and the timeframe involved. · Price/Row (Height) - This option controls the period of time which each profile covers. The "Automatic" option is chosen, a period of "last 100 days" will be used for daily, weekly, and monthly periodicities, while a period of "every 1 day" will be used for intraday periodicities. · Current - This checkbox controls whether the current VA and POC lines will be drawn. · Previous - This checkbox controls whether the previous VA and POC lines will be drawn. · Value Area - This controls the color, style, and width of the current and previous value area lines. The value to the right dictates the % level of the Value Area. The most common value area setting is 70%. · Point of Control - This controls the color, style, and width of the current and previous point of control (POC) lines. · Std Dev Based VA - If this checkbox is checked, the POC will represent the volume/time-based average price, while the VA will be computed using a 70% standard deviation band based off of the average price POC. · Label VA and POC - This checkbox controls whether the prices of the VA and POC lines will be labeled. · Draw As - This controls the drawing style used to draw the profiles. Choices include "Solid Boxes", "Hollow Boxes", "Solid Ovals", "Hollow Ovals", "Dots", and "Lines". When the PROF token is used in a scan, this control will change to one labeled "Result:" with options of "Upper VA (Curr)", "Upper VA (Prev)", "Lower VA (Curr)", "Lower VA (Prev)", "POC (Curr)", and "POC (Prev)". The Description


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A new Profile indicator has been added to the growing list of indicators available in MarketDelta®. The Profile indicator is a close relative of the existing Price/Time Profile standalone chart type. Profiles allow the user to overlay a price-based profile over a traditional intraday chart. The Profile provides a "Price/Row" preference which dictates the height of each row. The width of each resulting row will represent how many bars during the session in which that row's price range was touched. If the periodicity of the chart is 5-minute, and the width of a row is 3 bars wide, then the range of three of the 5-minute bars for that session actually overlapped the price range of that row. The widest row is called the Point of Control (POC). The Value Area (VA) is commonly considered the area in which 70% of the price action transpired. This percent level is adjustable, as some prefer to use alternate VA % levels such as 80%. Options for drawing the current and previous POC and VA lines are provided in the Profile preferences. Another option dictates how many sessions for which the Profile will be computed and displayed. The Profile may be drawn as Solid or Hollow Blocks, Solid or Hollow Ovals, Dots, or Lines. A "Hide Profile" checkbox gives the user the ability to hide the actual profile and draw only current and/or previous POD and VA lines. The "Current" and "Previous" POC and VA lines are also optional, as well as VA and POC labeling. The Token PROF The Profile indicator result can be accessed in the RTL language with the token PROF. When the Profile is used in the context of a scan, signal, or custom indicator, a "Result" option is presented at the bottom of the preferences window, which dictates what value will result from the PROF token. The "Result" options include "Upper VA (Curr)", "Upper VA (Prev)", "Lower VA (Curr)", "Lower VA (Prev)", "POC (Curr)", and "POC (Prev)". Keyboard Adjustment Keyboard Adjustment is not currently available for the Profile indicator. 5.4.80 QuotePage Statistics (QSTAT) The Formula N/A A Few Words of Caution on QuotePage Statistics Indicator: This indicator is very powerful, but at the same time, can be somewhat processor-intensive. It should be used sparingly and with caution on intraday charts/data. It it primarily designed for use on daily charts/ data, but will work with any periodicity. The calculation will become more involved as the number of instruments in the target quotepage increases. ©2003 - 2009 MarketDelta LLC. All Rights Reserved.


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The Chart

Above is a Daily Candle Chart of Exxon Mobil (XOM). The lower pane show the QuotePage Statistics indicator (QSTAT) using the preferences seen below. In this case, it's showing what percentage is the volume of XOM relative to the volume of the DJI 30, for each day. The Preferences


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· QuotePage - QuotePage which contains the list of instruments which will be used to calculate the statistical measure specified. · Indicator - Indicator that will be used to compute the data for each instrument in the quotepage. · Statistic - Statistical measure that will be use to compute the result. Each statistic is explained further in the description below. · Color and Style - The data can be drawn in any color. If the data is drawn as a histogram, two colors will be presented (one for Up and one for Down). If the data is a line, the color, style, and width may be chosen. The Description



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This indicator allows the user to calculate a variety of statistical results for any quotepage list of symbols, on any available technical indicator. The current list of available statistical results include Average, Sum, Maximum, Minimum, Percent of Average, Percent of Total, Percent Difference from Average, Relative Strength, Instruments with Data (Bars). For instance, you can calculate the average volume for a quotepage of symbols that contains the Nasdaq 100. You can calculate the average percent change on a quotepage that contains the S&P 500. You can calculate the maximum, minimum, average, or total spread on a quotepage that contains all optionable stocks. You can calculate the average (maximum, minimum) MACD (RSI, CCI, FASTD) for a quotepage that contains the DJI 30. You can calculate how many instruments in a quotepage evaluated TRUE for a given condition (using scan as the indicator). The possible combinations are expansive. As this indicator can be added to a chart, these values can be seen historically for all of the past bars. In order for this to work accurately, you must ensure that you have complete data on each of the symbols in the quotepage. You can verify this after adding the QuotePage Statistic indicator (QStat) to your chart by pointing to each bar. The feedback you see for each bar in the pane title for QStat will show how many symbols in the quotepage had bars on file for that time slot. Let's call our chosen indicator result "IND". A brief description of each statistical result option follows. · Average - This represents the average of IND for all the instruments in the quotepage. · Sum - This represents the total summed values of IND for all the instruments in the quotepage. · Maximum - This represents the maximum value of IND for all the instruments in the quotepage. · Minimum - This represents the minimum value of IND for all the instruments in the quotepage. · Percent of Average - This represents the percentage of the underlying instruments IND value compared to the Average. (100 * IND / Average) · Percent of Total - This represents the percentage of the underlying instruments IND value compared to the Total. (100 * IND / Total)


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· Percent Difference from Average - This represents the percentage difference of the underlying instruments IND value compared to the Average. (100 * (IND - Average) / Average) · Relative Strength - This represents the percentage of IND between the Minimum and Maximum values. This value will always be between 0 (at lowest end of range of values) and 100 (at highest end of range of values). (100 * (IND - Minimum) / (Maximum - Minimum)) · Instruments with Data (Bars) - This represents the number of instruments for which data existed on any given bar. Ideally, you want this number to be equal to the number of instruments in your quotepage at each bar, if you have complete data on all instruments. · Rank (Descending) - This represents the rank of the underlying instrument within the target quotepage, based on the specified criteria. With "Rank (Descending)", if the QSTAT indicator resulting value is 2, then the underlying instruments value (for the indicator specified within QSTAT preferences) is the second highest in the quotepage. · Rank (Ascending) - This represents the rank of the underlying instrument within the target quotepage, based on the specified criteria. With "Rank (Descending)", if the QSTAT indicator resulting value is 2, then the underlying instruments value (for the indicator specified within QSTAT preferences) is the second lowest in the quotepage. · Percent True (Signals Only) - This statistic is used in conjunction with the Signal Marker (SIGNAL) indicator to measure for each bar the percentage of the quotepage's instruments for which the specified signal is true. For example, you could setup a Signal Marker preset that references the signal "CL > MA" where MA is the 200 period moving average. The QSTAT indicator setup to reference this signal with the Percent True statistic, will draw a line in a chart showing bar for bar, the percentage of the instruments in the specified quotepage trading above their 200 period moving average. Notice that the first four options (and the last option) apply to the quotepage as a whole, while the next four options apply to the specific instrument as it relates in some aspect to the cumulative values of the group (quotepage).



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Quotepage Statistics can also be accessed in the RTL language using the token QSTAT. This gives the user access to QSTAT in custom indicator, scan, and custom columns. But adding QSTAT to a custom column, you can quickly see how each instrument in a quotepage performed relative to the performance of the overall quotepage using any available indicator (including custom indicators and scans) as a basis. The Token QSTAT The QuotePage Statistics indicator result can be accessed in the RTL language with the token QSTAT. 5.4.81 Random Walk Index The Formula For each bar, the RWI High is computed by calculating the maximum of the following values: (HI (HI (HI (HI (HI ... (HI

-

LO.1) LO.2) LO.3) LO.4) LO.5)

/ / / / /

(ATR.1(1) (ATR.1(2) (ATR.1(3) (ATR.1(4) (ATR.1(5)

* * * * *

SQRT(1)) SQRT(2)) SQRT(3)) SQRT(4)) SQRT(5))

- LO.n) / (ATR.1(n) * SQRT(n))

Where n is the RWI Period. Similarly, the RWI Low is computed for each bar by calculating the maximum of the following values: (HI.1 (HI.2 (HI.3 (HI.4 (HI.5 ... (HI.n

-

LO) LO) LO) LO) LO)

/ / / / /

(ATR.1(1) (ATR.1(2) (ATR.1(3) (ATR.1(4) (ATR.1(5)

* * * * *

SQRT(1)) SQRT(2)) SQRT(3)) SQRT(4)) SQRT(5))

- LO) / (ATR.1(n) * SQRT(n))

ATR.1(n) is the n-period Average True Range, one bar back. HI.n is the high n bars back. The Chart


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Above is a 30 Minute Candel Chart of the E-mini S&P (ES). The lower window pane contains the Random Walk Indicator with the preferences below. The Preferences



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· RWI Period - Period used in the calculation of the RWI High and RWI Low as seen above. · High Line Color - Color, width, and style of the RWI High Line. · Low Line Color - Color, width, and style of the RWI Low Line. The Description The Random Walk indicator is used to determine if an issue is trending or in a random trading range. It attempts to do this by first determining an issue's trading range. The next step is to calculate a series of RWI indexes for the maximum look-back period. The largest index move in relation to a random walk is used as today's index. An issue is trending higher if the RWI of highs is greater than 1, while a downtrend is indicated if the RWI of lows is greater than 1.


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5.4.82 Rate of Change The Formula ROC = (PR / PR[m]) * 100 ; where PR is current price data and PR[n] is the price data n periods (or bars) back. A smoothing may be applied to this result, as seen in the preferences. The Chart

The Preferences



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· ROC Interval - Period (n above) used in ROC calculations. · ROC Price - Price data used in calculation. · Smoothing Type - Type of smoothing to be applied to ROC data. · Smoothing Period - Period of smoothing...choose 1 for no smoothing. · Raw ROC - Check this box to show raw, unsmoothed ROC line. · Smoothed ROC - Check this box to show smoothed ROC line. The Description Rate of change is a price momentum indicator. It is a simple calculation of the current price divided by the price some number of periods ago. For example, if the current price is 50 and the price 30 days ago was 40, then the 30-day rate of change is 50/40 or 1.25. The result is multiplied 100 and the resulting line oscillates around the 100 reference line. An optional smoothing moving average may be applied to the raw rate of change. Either or both raw and smoothed lines may be draw in the chart window. Rate of Change is part of the MarketDelta® scan language also.


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The rate of change indicator is essentially equivalent to the "Momentum" indicator. The difference is that the rate of changes uses the ratio of prices while momentum uses the difference in prices, and the rate of change is scaled differently and oscillates around 100 instead of zero. 5.4.83 Rectangle Drawing Tool The Formula N/A The Chart

Above is a Daily Candle Chart of the e-Mini S&P (ES). The rectangle tool was used to draw a rectangle with the preferences below. The Preferences



· Start - Starting Date / Time for the left edge of the rectangle. · End - Ending Date / Time for the right edge of the rectangle. · Comment - You can place a comment in your rectangle. · Line Color - This is the color of the border of the rectangle. The Description


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The Rectangle is a chart indicator used to highlight a user-specified range of time in the chart by enclosing that portion of the chart inside a rectangle. Rectangles may be drawn in chart windows of any periodicity. Activate the rectangle drawing tool by clicking on the rectangle tool in the chart toolbar. Move the mouse pointer into the chart window (the cursor changes to a pencil). Push down the mouse button and drag the mouse to form a rectangle that encompasses the period of time you wish to highlight. When you release the mouse, MarketDelta® redraws the smallest rectangle it can that includes the range of date/time and all realized prices during that period. An optional user comment is used to title the rectangle in the upper left corner. You can edit the rectangle to change the position, the comment, the color and line thickness used to draw the rectangle. Turn off the rectangle drawing tool by clicking again on the rectangle tool on the charting toolbar. You can also add rectangles using the "Add a Technical Indicator" button on the chart toolbar. When the Add Indicator window appears, pick Rectangle, enter the settings for the desired rectangle, including the dates (and optionally the times) to include inside the rectangle, and click OK to add the indicator to the current chart window. 5.4.84 Relative Strength The Formula ( (CLa / CLb) - (CLa[n] / CLb[n]) ) / (CLa[n] / CLb[n]) ; where CLa is the closing price of the input instrument and CLb is the closing price of the base instrument The Chart



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Above is a Daily Chart of Google (GOOG). The red line in the lower window pane corresponds to the Relative Strength of GOOG relative to $COMPQ (Nasdaq). The settings correspond to those set in the preferences below. The Preferences


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· Rel to - This is the base symbol to which the target instrument will be compared. · RS Period - This is the period (n above) used in the RS calculation. · Smoothing Period - Smoothing can be applied to the resulting values, or specify 1 here for raw, unsmoothed values. · Smoothing Type - Type of smoothing to apply. · Line Color - Color of the RS line in the chart. The Description



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Relative Strength indicates the movement of a symbol relative to a base instrument. It tends to be flat. If the base instrument has stronger movement than the monitored instrument, the Relative Strength line will dip down. If the monitored instrument has stronger movement than the base instrument, the line will rise. An example of a popular base instrument might be an index such as the Dow Jones Industrial or the S&P 500. To select a base instrument, click Setup>Preferences>Chart Studies and select "Relative Strength" from the Technical Indicator drop-down menu. Then select the desired base instrument using the Instrument Selector and close the preferences window. 5.4.85 Relative Strength Index (RSI) The Formula RSI = 100 - 100 / (1 + RS) RS = AG / AL AG = Average Gain over RSI Period Gain = Price - Price.x (when Price > Price.x) AL = Average Loss over RSI Period Loss = Price - Price.x (when Price < Price.x) x = Momentum Period An optional smoothing is applied to the resulting RSI values. If no smoothing is desired, specify a smoothing period of 1. If you choose the "Morris Modified" option in the preferences, the average loss and average gain will only be computed over the Period specified (Simple Smoothing), otherwise("Morris Modified" unchecked), the averages are cumulative (Exponential Smoothing). The resulting RSI can be optionally smoothed. The momentum period used to determine Gains and Losses defaults to 1, but can be adjusted to periods greater than 1. Momentum is discussed in more detail in the description below. The Chart


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Above is a Daily Candle Chart of the e-Mini S&P (ES). The Relative Strength Index can be seen in the lower pane, drawn in red. The RSI line is based on the preferences seen below. The Preferences



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· RSI Period - The period used to compute the average price gains and losses in equation above. · Smoothing Period - Period used to smooth the resulting RSI values. · Smoothing Type - Type of smoothing used to smooth the resulting RSI values. · Price - Price used as input to the calculation of RSI. · Momentum Period - See description below. · Ref. Line 1 & 2 - Horizontal reference lines, recommended at 30 and 70.


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· Morris Modified RSI - Use the Morris modified calculation, described further below. · Line Color - RSI line color as seen in the chart. The Description The Relative Strength Index (RSI) is a popular price momentum oscillator developed by J. Welles Wilder and introduced in his 1978 book New Concepts in Technical Trading Systems. The RSI oscillates in a range between 0 and 100 representing a comparison of the magnitude of a stock's recent gains to the magnitude of its recent losses. In mathematical terms, RSI = 100 - 100/(1+RS) where RS is calculated as the ratio of two exponentially smoothed moving averages, AG/AL. AG is the average price gain over some period and AL is the average price drop over some the same period. The name "Relative Strength Index" may be somewhat misleading, as it does not compare the relative strength of two securities such as the Relative Strength (RS) indicator does, but rather the internal strength of a single security. A popular method of analyzing the RSI is to look for a divergence. If the instrument is making a new high, but the RSI is failing to exceed its previous high, this "divergence" is an indication of an coming reversal. When the RSI then turns down and falls below its most recent trough, it is said to have completed a "failure swing" and therefore confirmed the coming reversal. Overbought / Oversold The RSI indicator ranges in value from 0 to 100, with numbers above 70 indicating overbought conditions and under 30 indicating oversold. If the RSI rises above 30, it is considered bullish, while if the RSI falls below 70, it is considered bearish. These situations can be represented in the following two scans: Bullish (Oversold) RSI > 30 AND RSI.1 <= 30 Bearish (Overbought) RSI < 70 AND RSI.1 >= 70 Divergence



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Another popular method of analyzing the RSI is to look for a divergence. If the instrument is making a new high, but the RSI is failing to exceed its previous high, this " divergence" is an indication of an coming reversal. When the RSI then turns down and falls below its most recent trough, it is said to have completed a "failure swing" and therefore confirmed the coming reversal. Crossing the Center Line (50) Some trades view a move above 50 as a bullish confirmation, and a move below 50 as a bearish confirmation. A move above 50 represents average gains overtaking average losses, while a move below 50 signifies that average losses have taken the lead. These situations can be represented with the following scans: Bullish Center Line Cross RSI > 50 AND RSI.1 <= 50 Bearish Center Line Cross RSI < 50 AND RSI.1 >= 50 Momentum If a momentum period greater than 1 is specified, this period becomes the look back period for comparing closes to determine gains and loses. For example, if the momentum period is 9, then the current close is compared to the close 9 periods ago. If the current close is higher, the close 9 periods ago is subtracted from the current close to be used in computing the average price gain (AG). The RSI period specifies how many bars will be used in computing the average. The resulting RSI can then be smoothed. An RSI using a momentum period greater than 1 is sometimes referred to as the RMI (Relative Momentum Index). A momentum period of 1 would result in a classic RSI. Morris Modified The RSI technical indicator has been enhanced to provide the option of calculating the RSI according to the Morris Modified RSI algorithm as described in the 1998 bonus issue of Stocks and Commodities Magazine (p. 56). The Morris calculation differs slightly from the classic Welles Wilder calculation and typically generates more buy/sell signals as the RSI crosses the 70 and 30 threshold values. The Morris calculation uses only the most recent trading days instead of averaging in past data. In the RSI equation, the Average Gain (AG) and Average Loss (AL) variables are computed using only the last X periods, where X is the RSI Period specified. Otherwise, in a non-Morris Modified RSI, these averages are cumulative. The Token RSI


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The Relative Strength Index can be accessed in RTL language using the the token RSI. Several examples of scan syntax can be found in the description above. Keyboard Adjustment All thee periods involved in the RSI indicator can be adjusted directly from they keyboard without opening up the preference window. First, select the indicator, then use the up and down arrow keys to adjust the RSI period up or down by 1. To adjust the smoothing period, hold down the shift-key while hitting the up and down arrows. To adjust the momentum period, hold down the ctrl-key while hitting the up and down arrow keys. 5.4.86 Relative Vigor Index (RVI) The Formula RVISig = (RVI + 2 * RVI.1 + 2 * RVI.2 + RVI.3) / 6 RVI = Num / Denom Oscillator = RVI - RVISig Num = Sum(Value1, n) Denom = Sum(Value2, n) Value1 = ( (CL - OP) + 2 * (CL.1 - OP.1) + 2 * (CL.2 - OP.2) + (CL.3 OP.3) ) / 6 Value2 = ( (HI - LO) + 2 * (HI.1 - LO.1) + 2 * (HI.2 - LO.2) + (HI.3 LO.3) ) / 6 The Chart



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Above is a Daily Chart of the e-Mini S&P (ES). The Relative Vigor Index (RVI) is added both as an oscillator (in the lower pane) and as individual lines (in the middle pane with the preferences below). The Preferences


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· Period - Period used in the calculations seen above. · Oscillator - If this option is checked, the RVI will be drawn as an oscillator representing the difference between RVI and the RVI signal line. · RVI Color - This represents the color, thickness, and style of the RVI line. · RVI Sig Color - This represents the color, thickness, and style of the RVI signal line. The Description



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This indicator was developed based the January 2002 Stocks and Commodities article entitled Relative Vigor Index. This indicator is an oscillator built on the basic equation (CL - OP) / (HI - LO). The oscillator is basically in phase with the cyclic component of the market prices. 5.4.87 Renko Indicator The Formula See Renko Charts The Chart

Above is a Footprint Profile Chart of the S&P E-mini (ES #F). The bottom pane shows a Renko Indicator with the preferences below specified. Each green block represents an 'X', and each red block represents and 'O'. The Preferences · Box Size - Size of the PNF Boxes. · Reversal Criteria - Number of boxes needed to cause a reversal. ©2003 - 2009 MarketDelta LLC. All Rights Reserved.

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· Use Highs and Lows - Specifies whether to use only the closing prices of the bar data, or to use the highs, lows, and closing prices. · Expand Into Traditional Bar Data - This option cause the PNF columns to be expanded or stretched in order to conform with the underlying time-based traditional bar data. If this option is left unchecked, then the PNF indicator columns will not necessarily match up with the traditional bars. The feedback in the title bar will indicate the time or date that each PNF column ended. Checking this box will cause each PNF column to be stretched out over the period of time which was used to create the column. For instance, in the chart above, you can see that the first green up column lasted 15 days or bars before a reversal occurred. · Rounded Boxes - If this option is checked, the boxes will be formed and rounded using multiples of box size, starting at zero. If this option is unchecked, the first box will be created at precisely the first price that is processed. For example, assume the box size is 1.00. If "Rounded Boxes" is checked, then boxes will be placed at prices 1.00, 2.00, ..., 51.00, 52.00, etc. This is how Investor/RT has worked prior to this release. On the other hand, if "Rounded Boxes" is unchecked, and the first price processed (opening price) is 58.26, then the first box will appear at 58.26, and subsequent boxes will form at prices like 59.26, 60.26, 57.26, etc. Using the "Rounded Boxes" option can give your chart a cleaner look and feel, but sacrifices a small amount of precision at the very start. The Description A Renko Indicator has been added for use in traditional charts. It provides a way for the Renko boxes to be viewed and stretched across a time based chart. This allows the user to see exactly which bars were used to create each Renko box. Renko Charts are essentially PNF charts with a reversal criteria of 1, and with each box drawn in a separate column (while PNF draws X and O letters instead of boxes, and stacks them vertically). RENKO is also available in the RTL language for use in scans, trading signals, and custom indicators. 5.4.88 Reverse Engineer Indicator The Formula See description below. The Chart



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The chart above shows daily candlesticks of AAPL overlaid with an orange Reverse Engineer line. The Reference Engineer indicator is setup with the preferences seen below. In this specific example, the Reverse Engineer is calculating the closing price necessary to achieve an RSI value of V#1 (which happens to be 70.61). In the lower pane, the RSI indicator is overlaid with a blue Reference Line indicator which is setup to "Use: V#1". When setup in this fashion, the line can be dragged to any level, and the V#1 will reflect the new level. By changing the V#1 value in this way (dragging the ref line), the Reverse Engineer will then reflect the change and compute the price needed to achieve the new RSI value. NOTE: The user may need to shift-click on the Download/Refresh button at lower right corner of the chart to force the Reverse Engineer indicator to recalculate/redraw after dragging the V#1 reference line. The Preferences


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· Indicator - The indicator which will be "Reverse Engineered". · Indicator Preferences - Click on this button to specify the preferences for the selected indicator. · Engineered Price - The current price that is projected/calculated in order to attain the indicator value specified. Options include Close, Open, High, Low, and Volume. · Indicator Value - The "theoretical" value of the selected indicator. This value is used to project the "price" required to achieve that indicator value. The value can be specified directly (Specific Value) or can be pulled form a User Variable (V#). · Line Color - Color, thickness, and style of the reference line drawn at the reverse engineered price value. · Label with Price - Label the preference line with the price at which the reference is drawn. · On Right - Place the label on the right side of the reference line (vs left). · Compact (Draw Only on Right Edge of Chart) - When this option is checked, the line will only be drawn from the last/current bar to the right edge of the chart. When unchecked, the reference line will span the entire width of chart.



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· Include Line When Auto-Scaling - When this option is checked, the reference lines value will be considered when the pane's scaling is setup to Automatic (A). This will ensure that the reference line is visible, even if it's outside the range of price data that is visible in the chart. The Description The Reverse Engineer indicator answers the following question: "What current price would be required to attain an indicator value of X". For instance, you may want to know what closing/last price (on a daily chart) would be required in order for the RSI value to reach 70. Or you might want to know what high price would have to be reached (on a daily chart) in order for the current day's range to exceed its average range over the past 20 days. There are three key components the user specifies in the Reverse Engineer indicator: (1) the price to use (close, high, low, open, or volume), (2) the underlying indicator, and (3) the indicator's "projected" value. Once the three settings are specified, Reverse Engineer computes a single resulting value representing the price needed to attain the underlying indicator's projected value. The result is a single "current" value (no historical values) based on a single projection of the current value of the underlying indicator. Since there is only one result, it is displayed in a chart as a horizontal reference line, with similar display options as the horizontal reference line indicator. Options include: "compact", "Label with Price", Label "On Right", and "Include Line When Auto-Scaling". The user specifies the underlying "Indicator" at the top of the preferences window. Once the underlying indicator is selected, the "Indicator Preferences" button is used to adjust the settings for the indicator. The "Engineered Price" provides options of "Close", "High", "Low", "Open", and "Volume". The "Engineered Price" is the type of price involved in the calculation of the indicator. The "Indicator Value" can be specified directly using "Specific Value") or as a User Variable (V#). If User Variable is selected, then the indicator value will be obtained from the corresponding V# variable for the symbol associated with the indicator. Allowing the user to specify the indicator value as a V# variable opens up some interesting possibilities. First, the user can set the V# variable of many symbols using a scan. For example, the V# can be set to the highest value of the indicator over the past 5 days, or the previous day's value of the indicator plus some percentage. The V# values can be adjusted automatically each day (or more frequently) by specifying that the scan be run on a schedule (see Setup: Schedule).


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The user can put a reference line in the same pane as the underlying indicator, associating that reference line to the corresponding V# variable ("Use: V#1"). This way, the user can drag the reference line to adjust the V# indicator level at any time. The Reverse Engineer indicator will then display the price needed to attain that level in the instrument pane. 5.4.89 Session Statistics (SESST) The Formula N/A The Chart

Above is a 5 Minute Candle Chart of Financial Select SPDR ETF (XLF). The Session Statistics indicator has been added twice to the chart, once showing the highest high of the first 30 minutes of each session (using preferences seen below), and once showing the lowest low of the first 30 minutes of the session.



The

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Preferences

· Statistic - Options include "Highest Price", "Lowest Price", "Range of Price", "High/Low Range", "Average Price" and "Sum of Price", with Price being whatever price is specified below. · Price - Price used in calculating the result. · of the First/Last X Mins/Bars - A period can be specified, in either minutes or bars, and over either the start (First) or end (Last) of the session. · Multi-Session Statistics - When this checkbox is selected, a list of multi-session statistics is also presented, providing options of "Average of X Sessions", "Sum of X Sessions", "Max of X Sessions", "Min of X Sessions", and "Value X Sessions Back", with an area where "X" is specified (as the lookback period). ©2003 - 2009 MarketDelta LLC. All Rights Reserved.

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· Draw Type - The result may be drawn as a Histogram (solid, hollow, or custom) or a Line (continuous, connected, stepped, or two-color). Histograms are recommended for most results. · Color and Style - The result can be drawn in any color. If the result is drawn as a histogram, two colors will be presented (one for Up and one for Down). If the result is a line, the color, style, and width may be chosen. The Description A Session Statistics indicator has been added to give the user an easy way to historically access statistical information related to the first or last period of the session. The Session Statistics preferences use the general format: [Statistic] of [Price] of the [First/Last] X [Minutes/Bars] of the Session The Statistic options include "Highest Price", "Lowest Price", "Range of Price", "High/Low Range", "Average Price", or "Sum of Price". The standard list of Prices is provided (Close, High, Low, Open, OHLC/4, etc.). As an example, a user may want to access the "Highest High of the First 30 Minutes of the Session". This indicator makes that operation very quick and easy. The result will be as follows. Let's assume in our example we are looking at 10-minute data. On the first bar, the result will be the high of that first bar (first 10 minutes). On the second bar, the result would be the highest high of the first two bars (first 20 minutes). Then, on the third and remaining bars of the session, the result would be the high of the first 3 bars (first 30 minutes). Then on the first bar of the following session, the result will again reset to the highest high of that first bar, and everything starts over again. To see the effect, simply add the indicator to a chart. The Token SESST The Session Statistics indicator result can be accessed in the RTL language with the token SESST. 5.4.90 Shapes (PriceTime Cycles) The Formula N/A The Chart



Above is a Daily Candle Chart of the e-Mini S&P (ES). The Shapes Indicator can be seen on the price bars with the preferences below. The Preferences


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· Draw Shape(s) - Check the shapes you would like drawn. Choices include Ellipse, Rectangle, and X. · Repeating - Check this option if you would like your shape repeated throughout the chart window. The identical shape will be duplicated using the horizontal and vertical spacing option. · Solid - If this option is checked, the shape(s) will be filled in with the shape color. · Center on Coordinates - If this option is checked, the base shape will be drawn centered around the coordinates supplied. If this option is unchecked, the base shapes lower left corner will be anchored on the coordinates.



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· Label - This option is only valid when the pattern is repeating. If this option is checked, each shape will be labeled with X, Y coordinates relative to the base shape. For instance, the shape just to the left of the base shape will be labeled (-1, 0) while the shape two positions above the base shape will be labeled (0, 2). · Price - Price at which to draw the base shape. If "Center on Coordinates" is checked, this price will dictate the vertical center of the base shape, otherwise, it will dictate the price of the lower edge of the base shape. · Date/Time - Date/Time at which to draw the base shape. If "Center on Coordinates" is checked, this date/time will dictate the horizontal center of the base shape, otherwise, it will dictate the price/time of the left edge of the base shape. · Color - Color, style, and thickness of the shape lines. · Height - Height, in dollars, of the shape(s).Width - Width, in bars, of the shape(s). · Vertical Spacing - Space vertically, in dollars, between the repeating shapes. This option only applies when the "repeating" checkbox is checked. · Horizontal Spacing - Space horizontally, in bars, between the repeating shapes. This option only applies when the "repeating" checkbox is checked.. · Concentric Multiples - If this option is checked, the use may specify comma separated values in the field to the right. These values will be used to draw shapes sharing the same center, but heights and widths will be multiplied by the values specified. For instance, a value of 2 will result it an additional concentric shape with twice the height and width of the base shape, while a value of 0.5 will result in an additional concentric shape with half the height and width of the base shape. · Vertical Step - This option allows the user to specify the vertical step that will be used when adjusting the Shapes indicator using the up and down arrows on the keyboard, as described below. This vertical step will be used for adjusting the height, position, and vertical spacing. If a value is not specified here, then MarketDelta® will determine it's own step based on the price range in the chart. The Description ©2003 - 2009 MarketDelta LLC. All Rights Reserved.

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The “PriceTime Cycles” indicator has been more appropriately renamed the “Shape” indicator, and given a button on the chart toolbar. The toolbar button makes it much easier to add the Shape to the desired location on a chart. The button depicts a red square and a blue circle, and is fourth from the bottom in the right column. First, click on the toolbar button and the cursor will change to a pencil with a square beside it. Drag a rectangle in the chart around the region you would like to place your Shape. Once the Shape is in place, it can be moved by dragging the small dot which is either in the center, or lower left corner of the shape (depending on whether “Center on Coordinates” is checked in the Shape preferences). It is recommended that you then work with the Shape indicator preferences to come up with combination you of settings you would use most often. To open up the preferences for the Shape, just double-click on the small dot on the Shape indicator. Some may prefer a rectangle while others prefer a square. Some like blue repeating rectangles while others just want a single green ellipse. Once you’ve settled on your preferences, you should make this your default settings. Again, open up the preference window, and choose “Presets: Make Default”. Now, each time you use the toolbar to add a Shape to your chart, the shape will inherit these default settings. The Shapes indicator is a flexible tool that allows repeating, concentric, and/or standalone shapes to be drawn in price and time throughout the chart. A base shape is positioned based on a set of price and date/time coordinates. These coordinates dictate the lower left corner or center of the base shape. The size of the shape is dictated by the height and width parameters. Height is given in units of dollars, while width uses units of bars. The base shape can be repeated continuously throughout the chart by checking the "repeating" checkbox. The repeating shapes can be spaced both vertically and horizontally. The spacing is dictated by the Vertical Spacing and Horizontal Spacing parameters in the preferences. Again, vertical space uses units of dollars while horizontal space uses units of bars. A spacing of 0 will compact the shapes side by side so that they touch. Concentric multiples of the base shape and repeated shapes may also be drawn. To do this, check the "Concentric Multiples" checkbox, and specify the multiples which you would like drawn. The multiples may be separated with either a comma or a space. (eg. 0.5, 2, 3). A concentric multiple of 0.5 will result in a shape being drawn with half the width and height of the base shape. Similarly, a concentric multiple of 2 would result in a shape being drawn with double the width of the original shape. As their name implies, the concentric multiple shapes will share the same center point as the base shape.



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If the Shapes indicator is setup with the "repeating" checkbox checked, then the base shape will stand out with a slightly bolder line than the other shapes. If the "Center on Coordinates" checkbox is unchecked, the lower left corner of the base shape will be marked with a small circle, representing the price and time coordinates on which the Shapes indicator is based, otherwise, the center of the base shape will be marked with a circle. It can be rather difficult to adjust the shapes to the desired settings using the preferences window. This problem is solved by giving the user complete control of parameter adjustment directly from the keyboard. This is described in more detail in the section below. Keyboard Adjustment You can adjust many of the properties of the Shapes indicator directly from the keyboard. Below is a table summarizing the keyboard strokes along with the resulting actions. Keyboard Combination Up Arrow Down Arrow Right Arrow Left Arrow Shift-Up Arrow Shift-Down Arrow Ctrl-Up Arrow Ctrl-Down Arrow Shift-Right Arrow Shift-Left Arrow Ctrl-Right Arrow Ctrl-Left Arrow Ctrl-Shift-Up Arrow Ctrl-Shift-Down Arrow Ctrl-Shift-Right Arrow Ctrl-Shift-Left Arrow

5.4.91 Signal Markers The Formula N/A ©2003 - 2009 MarketDelta LLC. All Rights Reserved.

Resulting Action Moves entire shape up. Moves entire shape down. Moves entire shape right one bar. Moves entire shape left one bar. Moves top of shape up. Moves top of shape down. Moves bottom of shape up. Moves bottom of shape down. Moves left side of shape right. Moves left side of shape left. Moves right side of shape right. Moves right side of shape right. Increases Vertical Spacing. Decreases Vertical Spacing. Increases Horizontal Spacing. Decreases Horizontal Spacing.

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The Chart

The blue arrows above mark the signaling of the MACD Bullish Signal, as seen below in the preferences. The corresponding MACD technical indicator is provided in the lower pane, also in green/red. The positive crossover of the zero line is seen corresponding to the signal. The Preferences



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· Signal - The scan or signal marker that is used to determine the markers. · Edit - Opens up the selected Signal so that the syntax can be adjusted. · Evaluate/Display Markers for Last ___ Bars - Here, you can choose how many bars you would like your marker. For instance, if you specify 100, it will draw markers on your last 100 bars (most recent bars). · Marker - Marker shape, color, and size. · Offset: ___ Pixels - Vertical offset from top of chart, bottom of chart, top of bar, bottom of bar, depending on which is specified in the "Marker" settings. · Shift Markers Left/Right ____ Bars - Shifts the markers left or right X bars from where they actually signal. · Show Text - User supplied text that will appear along with each marker (as a "label").


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· Show Value - Option to label each marker with either the Close, High, Low, DateTime, or Open of the bar it marks. · Signal Action - Various actions that will occur when a signal occurs on the current bar. Click the "New" button to create a new Signal Action. Click the "Edit" button to make changes to the Signal Action that is selected in the list. · Signal Completed Bars Only - When this option is checked, bars will only be marked and "Signaled" when they are completed. · Add Signal's Indicators to Chart - This button will automatically add the technical indicators involved in the scan or trading signal, to the chart. The Description The scan/signal feature of MarketDelta® is integrated with the Professional version or higher. This is accomplished by the "Signal Marker" technical indicator. When you add one or more signal marker indicators to a chart, MarketDelta® will mark the bars (or candles) for which the signal specification is "true". To add a Signal to a chart, click the "Add Technical Indicator" button on the chart toolbar and select "Signal Markers" from the list of indicators. The preferences for the signal marker indicator will appear to the right. These include: 1. The name of the signal to be applied to the chart (choose one from the menu of available signals. 2. The marker to use to label the bars for which the signal is true (up arrow, down arrow, diamond, etc.) 3. The size, in pixels, of the marker to use to label the bars (16 is recommended). 4. The position where the marker should be drawn (above or below the bar or at chart pane bottom) 5. The number of bars to mark. To mark all bars just specify "All". 6. The color to use when drawing the marker To see this feature in action, create a simple signal with the syntax : MACD1 < 0 AND MACD > 0 ; Bullish crossover of MACD Oscillator



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Setup the MACD as an oscillator with periods 26, 12, 3. Save the signal under the name "MACD Bullish". Open a daily bar or candle chart with plenty of historical data and add a signal indicator. Choose "MACD Bullish" as the signal name. Pick "Up Arrow" as the marker, set the color if you like and position the marker "Below the low". Set the period to 999 and click Ok and observe the chart. You should see colored up arrows below each bar or candle where there is a MACD bullish crossover. Right click (Macintosh command-click) on one of the up arrows to get the properties of the signal indicator. Click on "Add Signals Indicator's to Chart" and MarketDelta® will add the MACD (from the signal) to the chart so you can observe the indicators used in the chart signal graphically. There is also a checkbox title "Alert on Current Bar". Check this box if you want MarketDelta® to alert you if a MACD Bullish signal occurs at the current bar. When charting daily or intra-day, the signal is recalculated on every tick that comes in. This is a powerful way to watch for intra-day trading signals with a chart object. If alert is requested, the first time the alert occurs you will be notified with a message window. If the alert condition continues to hold true you will be notified by the signal alert sound once a minute. The particular sound for "signal alerts" may be user-specified in the Sounds preferences window. Adding New Marker Images Signal markers are small video images that are used to mark up charts showing when user specified trading signals are triggered. MarketDelta® has approximately a dozen such markers stored within the markers folder directory on the hard drive. Examples include diamond, ball, dot, box, up arrow, down arrow, etc. The user can add new marker images or edit the existing ones using an appropriate application. The image files are 16 by 16 bitmaps stored in Windows/OS2 BMP format. These files can be created or edited by Paint Shop Pro software or equivalent on the Win32 platform, or by Adobe Photoshop on the Macintosh.. After adding new images to the markers folder, MarketDelta® must be restarted to recognize the new markers. The list of markers appears in the Setup: Charting Indicators window for the Signal Marker indicator. Markers are also used in the News Markers and Trading Note Marker indicators. Signal Markers: Completed Bars Option


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Normally Signal Markers trigger the associated signal action when the signal indicates "TRUE" on the last bar in the chart. During market hours, the last bar in the chart is a bar in progress. Sometimes it is important that the signal not trigger until the bar is completed. One way to accomplish this is to write the signal in a way that it signals true when the previous bar has some particular condition. There is now a checkbox in the Signal Marker setup titled "Signal Completed Bars Only". When this box is checked the signal marker will draw markers only on completed bars (the last partial bar will never be marked) and the signal action associated with the signal markers will be performed only when the signal is true for the last completed bar. Visually, this will be the next to last bar in the chart once the bar is complete. When this checkbox is left unchecked, MarketDelta® will draw signal markers on all bars, including the partial bar being formed during market hours. The signal action will be performed when the signal evaluates as true for the partial bar. Furthermore, the signal action will be performed at most once per bar. Once the signal has triggered for the partial bar once, the signal may in fact become false then true again before the bar completes but the signal action will not be repeated until the Next bar begins forming. Signal Markers and Signal Actions The Signal Marker Indicator setup now allows the specification of a named "Signal Action" that is to be executed when the signal triggers true on the current bar. Signal Actions are defined independently. The Signal Marker setup shows a list of existing signal action names. "New" and "Edit" button are present to enable the creation of new signal actions or the viewing/editing of any existing signal action. A Signal Action is a specification of one or more actions that are to be performed when a signal is triggered. The Signal Action setup has checkboxes for playing a particular sound or running a particular schedule for example. Formerly these specifications were shown explicitly in the Signal Marker setup window. Now, the Signal Marker simply refers to a the Signal Action by name and the Signal Action contains all of the detailed specification of what actions are to be performed. The Signal Action setup has a large text entry box into which you can enter any arbitrary text message up to 255 characters in length. The text can also contain %TOKENS as in the "Annotation" indicator. % TOKENS are replaced with actual values. There are three actions that can be performed on this text: a. Display the text in a notification window. b. Display the text in a named Chat Room. c. Write (or append) the text to a text file.



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When the notification window option is checked and a signal triggers the signal action, MarketDelta® will construct a message, replacing any valid %TOKENS with the values for the particular ticker symbol that triggered the action, and display the resulting message in a notification window. For example, if the text reads: %TICKER – BUY SIGNAL at %CL Bid/Ask is %BID,%ASK Time %TIME and the signal action is triggered on IBM, a message window will appear showing text in the form: IBM – BUY SIGNAL at 86.25 Bid/Ask is 86.00,86.75 Time 10:33:20 Similarly, if the "Text to Chat" checkbox is checked, the text message will be sent to the chat room specified in the signal action. Finally, there is the "Text to File" option. When this is checked, the signal action enables entry boxes for specifying the filename and the path to the file where the text message is to be written. A "Browse" button is provided to the right of the path for convenience in selecting the folder/directory where the file will be written. Normally, the text of the message will be written to the filename specified, replacing the previous file by that name or creating a new file if needed. If you wish to "append" the text as a new line to the file, then enter the file name preceded with a plus sign. For example, enter a file name of "+signal_log.txt" and specify the path (folder) where the file will be placed. Then any messages generated by the signal action will be listed one after another in the text file named "signal_log.txt". The signal_log. txt file can be inspected at any time using File: Open: File. 5.4.92 Signal Statistics The Formula See Description Below The Chart


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Above is a Daily Candlestick Chart of Google (GOOG). The Signal Statistics indicator is drawn as a blue and red solid histogram in the lower window pane, using the preferences seen below. The Preferences



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· Scan/Signal - Scan or signal which will be used as the basis of the statistical result. · Edit - Click this button to edit the scan or signal. · New - Click this button to create a new scan or signal. · Evaluate Last X Bars - This setting dictates how many will be considered in the evaluation of the signals and the calculation of the statistical results. A value of 50 means only the most recent 50 bars will be considered. · Subtract 1 for FALSE Signals - This option applies only to the "Sum" result options. If this option is checked, the a value of -1 will be applied to FALSE signals, otherwise, a value of 0 will be applied.


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· Period - The period is only relevant to certain results: Frequency Over Recent Period, Percent Of Recent Period, and Profit/Loss - Look Ahead. This period dictates a lookback period in the case of the first two results, and a look ahead period in the case of the last result. The individual descriptions below paint a clearer picture of how the period is used for each result. · Ref. Line - An optional reference line may be drawn at a user specified level. A level of 0 is appropriate for most result options. · Draw Type - The result may be drawn as a Histogram (solid or hollow) or a Line (continuous or connected). Histograms are recommended for most results. · Color and Style - The result can be drawn in any color. If the result is drawn as a histogram, two colors will be presented (one for Up and one for Down). If the result is a line, the color, style, and width may be chosen. The Description The Signal Statistics indicator (SSTAT) allows for statistical calculations on signals, including summation, consecutive signals, frequency, bars since last signal, change since last signal, and more. SSTAT allows the user to select any existing scan or signal, and any custom statistical result to calculate on that scan/signal. Currently, the available statistical results are: · Sum of Consecutive Signals - This result will give the number of consecutive signals that have occurred, whether TRUE of FALSE signals. For instance, a value of +7 represents 7 consecutive TRUE signals. If the underlying scan is CL > CL.1, then this value of +7 represents 7 consecutive increasing closes. Conversely, using the same example scan, a value of -5 would represent 7 consecutive bars where the CL was less than or equal to the previous CL. There is also an option for "Subtract 1 For FALSE Signals". If this option is not checked, the result will always be positive, and will just be reset to 0 when a FALSE signal occurs. If this option is checked, each consecutive FALSE signal will subtract 1 from the result. When the signal first changes from FALSE to TRUE, the result is always 1, and will then build with each consecutive TRUE signal. When the signal changes from TRUE to FALSE, the value will be -1 if "subtract" is checked, or 0 if "subtract" is unchecked. If "subtract" is checked, each consecutive FALSE signal will continue to build in the negative direction. If "subtract" is unchecked, each FALSE signal will keep the result at 0 until a TRUE signal gets things going back into the positive direction.



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· Sum of All Signals - This result works exactly as the "Summation of Consecutive Signals" option discussed above, except that the result does not reset when the signal reverses. In other words, if the result is currently +7, and a FALSE signal occurs, then the result becomes either +6 or +7 depending on whether the "subtract" option is checked, whereas the result would have become either -1 or 0 with the "Consecutive" option. · Bars Since Last Signal - This result option gives the number of bars since the scan/signal last hit TRUE. This result is always positive or 0. A value of 0 means the the scan hit on the current bar (or that a TRUE signal hasn't occurred yet). A value of 12 means that the signal last hit TRUE 12 bars back, followed by 11 bars of FALSE signals. · Running Total - This options keeps a running total of both the TRUE and FALSE signals. If a TRUE signal occurs, the result will be a positive number representing the total number of TRUE signals that have occurred as of that bar, including that bar. If a FALSE signal occurs, the result will be a negative number representing the total number of FALSE signals that have occurred as of that bar, including that bar. · Frequency Over Recent Period - When this result option is selected, a "period" preference is presented. The result is number of times the signal hit TRUE over the period specified. For instance, if the period was 20, and the result was 5, this would indicate that the signal was TRUE 5 of the previous 20 bars, and FALSE on the other 15. · Percent Of Recent Period - This option is similar to the "Frequency Over Recent Period" option, except it returns a percentage of bars for which the signal hit TRUE. For instance, if the period was 40, and the result was 20%, this would indicate that 20% of the 40 bars (or 8 bars) were TRUE, while 80%, or 32, were FALSE. · Percent Of All Bars - This option is gives a result that represents the percentage of all previous bars, including current bar, for which the scan/signal was TRUE. When viewing this indicator in a chart, each bar, moving right, will be considering one additional bar than the bar to it's left. And the rightmost (current) bar in the chart will be considering all bars. Each bar is considering itself and all bars to it's left. The number of bars in the chart is dictated by the "Viewing Period" setting in the Chart Preferences. · Price At Last Signal - This result gives the closing price of the bar on which the scan/signal last was TRUE. This result only changes when a TRUE signal occurs, and will then remain constant across FALSE signals. This option could be useful in scans or trading signals in combination with the "Bars Since Last Signal" option. · Change Since Last Signal - This result gives the change in price since the last TRUE signal occurred. This value will become 0 when a TRUE signal occurs, and then will build in either direction on FALSE signals as the price changes since the last TRUE signal.


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· Sum Of Session Signals (Intraday) - This result only applies to intraday charts/data. The result on each bar is the sum of all TRUE signals that have occurred as of that bar (including that bar) during the current session. The result will reset to 0 at the beginning of each session and will build by increments of 1 each time a new signal occurs. · Profit/Loss - Look Ahead - This result uses the specified period to calculate a look ahead profit/loss value for each TRUE signal. For instance, if the period was 20, then each time a TRUE signal occurred, then the result would be the price 20 bars ahead, minus the price of the current bar. This option allows you to peek into the future with historical data to see how your signals would perform given a specific period of time. If there are insufficient bars ahead of the signaled bar, then the profit/loss will be computed based on the last bar (price of last bar minus price of signaled bar). · Highest High Since Signal - This result gives the highest high (price) that has been realized since the last TRUE signal. This result can only increase between signals. On the signaled bar, the result will be the close of that bar. If the high of the following bar is higher than that close, then the result will increase to this new high. This will continue until the next signal hits, at which point the result will be reset to the close of the newly signaled bar. · Lowest Low Since Signal - This result gives the lowest low (price) that has been realized since the last TRUE signal. This result can only decreased between signals. On the signaled bar, the result will be the close of that bar. If the low of the following bar is lower than that close, then the result will decrease to this new low. This will continue until the next signal hits, at which point the result will be reset to the close of the newly signaled bar. · Price Before/After Last Signal - This result works identically to "Price At Last Signal" except a period is provided to allow access to the price of bars before or after the signaled bar. A period of 0 will cause this result to be identical to "Price At Last Bar". A period of 10, for instance, will cause the result to be the price of the 10th bar preceding the signaled bar. A negative value may be specified to access bars following the signaled bar. For instance, a period of 5 with a price of "High" would result in the high of the 5th bar following the signaled. The result will only change bars that signal TRUE, and then hold that value until the next signal. · Short Profit/Loss - Look Ahead - This result works the same as the "Profit/Loss - Look Ahead" option, except the profit is based on a short trade. In other words, a decreasing price change results in a profit, while an increasing price change results in a loss. · Maximum Profit Since Signal - The maximum potential gain based on the highest high achieved since the signal occurred relative to the entry price on the signaled bar. This result provides a value on each bar following the signal, and resets at each signal. ©2003 - 2009 MarketDelta LLC. All Rights Reserved.


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· Maximum Loss Since Signal - The maximum potential loss based on the lowest low achieved since the signal occurred relative to the entry price on the signaled bar. This result provides a value on each bar following the signal, and resets at each signal. · Max Favorable Excursion - Look Ahead - This result looks ahead from the signaled based on the period specified, and finds the maximum potential gain achieved over that period, based on the highest high reached during the period. This result appears only on the signaled bars, showing a value of 0 on all other bars. · Max Adverse Excursion - Look Ahead - This result looks ahead from the signaled based on the period specified, and finds the maximum potential loss achieved over that period, based on the lowest low reached during the period. This result appears only on the signaled bars, showing a value of 0 on all other bars. · MFE Period (Bars to MFE) - Bars to MFE This result shows how many bars forward from the signal at which the MFE (Maximum Favorable Excursion) price was reached. In other words, it represents how many bars from the signaled bar that the highest high occurred over the period specified. · MAE Period (Bars to MAE) - Bars to MAE This result shows how many bars forward from the signal at which the MAE (Maximum Adverse Excursion) price was reached. In other words, it represents how many bars from the signaled bar that the lowest low occurred over the period specified. · Bars From Signal To Highest Price - This result gives the number of bars from the signal to the highest price since the signal. This may be useful in identifying divergence. · Bars From Signal To Lowest Price - This result gives the number of bars from the signal to the lowest price since the signal. This may be useful in identifying divergence. · Bars Since N Signals Ago - This result gives the number of bars between the current bar and the bar at which N signals ago occurred. For example, if a value of N=3 was specified, then a resulting indicator value of 20 would mean that the third signal back occurred 20 bars ago. · Price At N Signals Ago - This result gives the price of the bar at which N signals ago occurred. For example, if a value of N=2 was specified, then a resulting indicator value of 54.5 would mean that the price was $54.5 on the bar where the second signal back occurred. · Highest Price Since N Signals Ago - This result gives the highest price since N signals ago occurred. For example, if a value of N=4 was specified, then a resulting indicator value of 63.5 would mean that the highest price that was reached since the bar at which the 4th signals back occurred was $63.5.


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· Lowest Price Since N Signals Ago - This result gives the lowest price since N signals ago occurred. For example, if a value of N=4 was specified, then a resulting indicator value of 43.5 would mean that the lowest price that was reached since the bar at which the 4th signals back occurred was $43.5. SSTAT can be drawn as either a histogram (hollow or solid) or a line (connected or continuous). An optional reference line can be drawn in the chart. A reference line at 0 is appropriate for most result options. The selected scan/signal can be edited by simply clicking a button directly in the SSTAT preferences. When the underlying scan/signal is modified and saved, the results will be seen immediately in the corresponding SSTAT. The Token SSTAT The Signal Statistics indicator result can be accessed in the RTL language with the token SSTAT. Keyboard Adjustment The period involved in the SSTAT indicator can be adjusted directly from they keyboard without opening up the preference window. First, select the indicator, then use the up and down arrow keys to adjust the period up or down by 1. The period is only relevant to certain results (Frequency Over Recent Period, Percent Of Recent Period, and Profit/ Loss - Look Ahead). 5.4.93 Spirals (Logarithmic Spirals) The Formula See description below The Chart



Above is a Daily Candle Chart of the e-Mini S&P (ES). The Spiral Indicator is drawn with the preferences below. The Preferences


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· Begin - Starting date/time of the trendline off which the spiral is based. · End - Ending date/time of the trendline off which the spiral is based. · Rotations - This controls how many complete rotations of the spiral will be drawn in the chart, beginning from the endpoint of the trendline. · Direction - The spiral may be drawn in either a clockwise, and/or counterclockwise direction. · Cycle 1, 5, 9.... - This controls the color and line thickness of the 1st, 5th, 9th, 13th, etc...rotation of the spiral.



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· One Color - If this checkbox is checked, all rotations (cycles) of the spiral will use the same color and line thickness (that of Cycle 1, 5, 9...). The Description The Spiral indicator (also know as the "Logarithmic Spiral") provides a link between price and time analysis, and can help in forecasting both price and time. Similar to indicators such as Fibonacci Retracements, Fibonacci Arcs, and Gann Angles, the Spirals indicators is based off a trendline which connects a significant high with a significant low. The spiral can be drawn in a clockwise and/or counter-clockwise direction originating from the endpoint of the trendline. To add the Spiral indicator to a chart, use the new Spirals button on the charting toolbar. After clicking the spiral button, mouse down in the chart and drag a trendline connect any two bars between which you'd like trendline drawn. The spiral will then be automatically drawn off the resulting trendline. Either endpoint of the trendline can then be dragged and dropped on another bar. Keyboard adjustment is also available (see the "Keyboard Adjustment" section below for more information). Keyboard Adjustment The keyboard can be used to move the Spiral trendline endpoints to the right and left. First, click on the chart. Then hit the tab key repeatedly until you notice your Spiral is selected. Then, press the right or left arrow keys on your keyboard to move the entire trendline right or left one bar. To move the trendline up or down, press the up and down arrows on the keyboard. If you would like to move only the endpoint, then hold down the Ctrl key while pressing the right or left arrow keys. If you would like to move only the beginning point, then hold down the Shift key while pressing the right or left arrow keys. You can also quickly increase or decrease the line thickness of the spiral lines with a ctrl-up arrow or ctrl-down arrow. 5.4.94 Stochastics The Formula Raw %K = 100 * [CL - MIN(LO, n)] / [MAX(HI, n) - MIN(LO, n)] n = Raw K Period Fast %D = MA(Raw K, MA Type, Fast D Period) Slow %D = MA(Fast D, MA Type, Slow D Period) Note: "Raw %K" is commonly referred to in other programs as simply " %K". "Fast %D" is commonly referred to as simply "%D", or sometimes even "Slow %K". "Slow %D" is also referred to as "%DSlow". The Chart ©2003 - 2009 MarketDelta LLC. All Rights Reserved.

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Above is a 5 Minute Candle Chart of the e-Mini S&P (ES). The lower window pane contains the Stochastics Indicator. The settings correspond to those set in the preferences below. The Preferences



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· Raw K - Check this box to have the Raw Stochastics line (Raw K) drawn. · Fast D - Check this box to have the Single Smoothed Stochastics line (Fast D) drawn. · Raw K - Check this box to have the Double-Smoothed Stochastics line (Slow D) drawn. · Raw K Period - Period used for the raw stochastics calculation. This period is used to establish the range. · Fast D Period - Period used to smooth the raw stochastics values and produce the Fast D values. · Slow D Period - Period used to smooth the Fast D values and produce the double-smoothed Slow D values. ©2003 - 2009 MarketDelta LLC. All Rights Reserved.

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· Raw K Color - Color and style of the Raw K line. · Fast D Color - Color and style of the Fast D line. · Slow D Color - Color and style of the Slow D line. · Moving Average Type - Type of smoothing used when computing the Fast D and Slow D values. · Unbounded - When checked, the RawK values are allowed to go outside the 0 to 100 boundaries imposed by the standard stochastic indicator. · Retracement Based - The “Retracement Based” checkbox in the Stochastic preferences results in a value that represents the true retracement percentage based on the RawK period specified. · Use High/Low - This option pertains to "Retracement Based" stochastic only. Uses the high and low in place of the close in the calculation of the RawK. The low is used when the low occurred more recently that the high. The high is used when the high of the period occurred more recently than the low. · Reference Lines - It's recommended to draw reference levels at 25 and 75 percent. The Description Stochastic is a momentum or price velocity indicator developed by George C. Lane. Stochastic measures the position of a stock compared with its most recent trading range over the period specified (Raw K period). Specifically, it measures the relationship between the closing price of a stock and its high and low during a specific number of bars (minutes, days, weeks, etc). As a stock price rises, the closing price tends to be closer to the extreme highs of the stock, and as prices fall, the closing price tends to fall closer to the extreme lows. This raw stochastic value is called Raw K. The Raw K is then smoothed with a simple moving average (using the Fast D period specified) to produce the Fast D. A second simple smoothing can then be performed on the Fast D to produce the stochastics Slow D value. Stochastics values indicate overbought and oversold regions. Mathematically, the Raw K stochastic indicator is calculated as follows: Raw K = 100 * [CL - MIN(LO, n)] / [MAX(HI, n) - MIN(LO, n)] ©2003 - 2009 MarketDelta LLC. All Rights Reserved.


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where n = Raw K Period The Raw K line is then smoothed with a simple moving average to yield a Fast D line. The Fast D line is optionally smoothed again with a simple moving average to yield a Slow D line. Fast D = MA(Raw K, Simple, Fast D Period) Slow D = MA(Fast D, Simple, Slow D Period) The Fast D value (single-smoothed raw stochastics) represents the value most people are referring to when they mention Stochastics. When the Fast D crosses above the 75 line, this is considered overbought condition and a possible selling opportunity. The closing price is near the top of the recent trading range and a correction could be coming. When the Fast D starts falling, the top may have been established, and a new downtrend is considered when the Fast D indicator crosses the below the 75 line When the Fast D crosses below the 25 line, this is considered oversold condition and a possible buying opportunity. The closing price is near the bottom of the recent trading range and a correction could be coming. When the Fast D starts rising, the bottom may have been established, and a new uptrend is considered when the Fast D indicator crosses above the 25 line. Price trend reversals can be signaled when the Fast D line diverges from price. That is, when price makes a new high while Fast D is falling, a change of trend to the downside is indicated. If price makes a new low with Fast D rising, look for a reversal to the upside. Actual buy/sell signals are indicated when the Fast D line crosses above (buy) or below (sell) the Slow D line. Signals are also produced when the Fast D crosses it's moving average (the Slow D). A buy signal is given when the Fast D crosses above Slow D, and a sell signal is given when the Slow D moves above Fast D. Retracement Based


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The classic Lane Stochastic calculation method dictates that the RawK represent the position of current price in relation to a recent range. This position is measured as the percentage of the distance from the low to the high. If the low of the period was 50 and the high was 70, then a current price of 65 would represent RawK of 75% while a current price of 55 would represent a RawK of 25%. From a retracement perspective, Stochastic always assumes that the high occurred first, the trend was a downtrend, and retracement is now occurring back towards the high. The RawK of the Stochastic indicator is not smart enough to know which came first, the high or the low. The “Retracement Based” checkbox in the Stochastic preferences gives the RawK value this knowledge, and therefore results in a value that represents the true retracement percentage based on the RawK period specified. This option is very similar to the “auto-retracement” option of the Fibonacci Retracement study, except it gives the ability to view the values historically, and to reference them historically in the RTL language. Unbounded Stochastic A new checkbox has been added to the Stochastic indicator preferences. When checked, the RawK values are allowed to go outside the 0 to 100 boundaries imposed by the standard stochastic indicator. The RawK is computed as a relative position of the closing price within the range of the "previous" n bars (n being the RawK period). The only difference being that the range of the unbounded stochastic does not consider the current bar, thus allowing the close to go outside of that range. The standard stochastic indicator includes the current high and low in it's calculation of that range, thus never allowing the closing price to exceed the bounds of that range (since it must lie between the high and low of current bar). The difference between the calculations can be seen in the expressions below: Standard Stochastic Raw %K = 100 * [CL - MIN(LO, n)] / [MAX(HI, n) - MIN(LO, n)] Unbounded Stochastic Raw %K = 100 * [CL - MIN(LO.1, n)] / [MAX(HI.1, n) - MIN(LO.1, n)] The unbounded stochastic provides additional information as to the strength of the move/trend that the standard stochastic can often hide. The unbounded option makes it easy to spot strong breakouts with values below 0 or above 100. The Token RAWK, FASTD, SLOWD



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The Stochastics indicator has 3 tokens in RTL to represent the raw stochastics (RAWK), the smoothed stochastics (FASTD), and the doublesmoothed stochastics (SLOWD). When using RAWK, only the RAWK period is relevant. When using FASTD, only the RAWK and FASTD periods are relevant. When using SLOWD, all three periods are used. For example, if you were looking for the FASTD to cross above the SLOWD line (a buys signal), you would use the following syntax in a scan... FASTD > SLOWD AND FASTD.1 <= SLOWD.1 To find the Stochastics of RSI, the following syntax would be used in a custom indicator... FASTD(RSI) To draw the Stochastics Oscillator, the following syntax would be used in a custom indicator... FASTD - SLOWD Keyboard Adjustment Several preferences of the Stochastics indicator can be adjusted directly from the keyboard without opening up the preference window. First, select the indicator, then use the up and down arrow keys to adjust the Raw K period up or down by 1. To adjust the Fast D period, hold down the shift-key while hitting the up or down arrow keys. To adjust the Slow D period, hold down the ctrl-key while hitting the up or down arrow keys. 5.4.95 Stock Split Finder The Formula N/A The Chart


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Above is a Daily Candle Chart of Ericsson (ERIC). The blue diamonds correspond to split finder results, as specified in the preferences below. The Preferences



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Check all historical data on file Check only the last . . . days Check for price changes of . . . % or more Adjust ERIC Data Now Split Marker Color

The Description The Split Finder is a "technical indicator" you can add to a chart window or use in a scan to easily locate stocks with abrupt price changes indicative of stock splits. You may specify a percentage price change from one day to the next that the Split Finder will use to locate possible splits. The default is 10%


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When the Split Finder is added to a chart window, the title bar of the chart pane indicates if a split has been detected. When the mouse points to the effective date of the split the title bar will indicate the date and the split ratio found. The split ratio is the ratio of the previous day's close to the opening price on the effective date. Rarely will this give an exact number. Typically you may see something like 2.007 to 1 indicating a 2 for 1 split, or 1.504 indicating a 1.5 to 1 (3 for 2) split. If you right click (command-click on Macintosh) in the pane to edit the properties of the Split Finder and the Split Finder has detected a possible split, the Split Finder preferences window will appear with a push button to effect the split adjustment. Clicking this "Adjust Now" button will open the Split Adjustment window with the issue in question selected, the effective date entered for you, and the calculated split ratio shown in the edit boxes. All you have to do is adjust the split ratio, e.g. change 2.007 for 1, to 2 for 1, and click the Split button. Note that 1.5 to 1 works exactly the same as 3 for 2 (or 6 for 4 for that matter). The Split Finder is especially useful when employed in a chart that is the subject of a chart slide show. You can easily go through a series of issues and stop the slide show when the Split Finder indicates a possible split. A semi automatic method of handling splits for those tracking large numbers of issues would be: 1. Use a scan to identify all issues whose data indicates a possible split. The "split finder" may be used in the scan request. The scan request language is simply "SPLIT > 0". This will create a quote page of candidate issues. 2. Create a daily chart with a price graph and the "split finder" indicator (save this chart so you can use it again when needed) 3. Request a slide show using that chart and the quote page created in step 1. 4. Advance the slide show manually for each instrument and make the adjustment, if appropriate, as described above. MarketDelta®'s split adjustment feature adjusts all historical data (daily, weekly, monthly) on file as well as all tick data for trades that occurred prior to the effective date. An entry is also made in the Trading Notes for the issue, noting the date the split occurred and the ratio. Finally, all open portfolio positions in that stock are automatically adjusted to revise the quantity of shares after the split, and the "opening price" of the position. The cost basis of each position remains unchanged.



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5.4.96 System Simulator (SSIM) The Formula N/A The Chart

Above is a Daily Candle Chart of the e-Mini S&P (ES). The lower window panes contains the MACD indicator and 2 System Simulator indicators based on the MACD bullish signal with the preferences below. The Preferences


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· Direction - "Long" or "Short" · Quantity - Number of shares (or contracts) for each position. · Entry - Signal used to trigger the entry of each position (either Long or Short). · Exit - An exit can be signaled by any of the following three conditions: An Exit Signal, A Target, or a Stop (or Trailing Stop). · Consider High/Low For Targets/Stops - When this checkbox is checked, the entire range (low to high) of each bar is considered when deciding whether price touched a target or stop. · Result - Result options include "Gain-Loss(Cum)", "Gain-Loss/Trade", "State (In= 1, Out=0)", and "Entry Price (Out=0)".



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· Evaluate/Display Last X Values - When SSIM is added directly to a chart, this controls how many bars on which SSIM is calculated and displayed (for both efficiency purposes, and to give the user control over the period SSIM is computed). The Description An indicator named "System Simulator" (SSIM) has been added to MarketDelta®. SSIM gives the user the ability to quickly chart a simple trading system. SSIM has settings for Entry and Exit (a group box for each). The Entry is controlled by a single Scan/Signal. SSIM will enter into a position when the Entry Scan/Signal hits true. An "orientation" option dictates whether the system is "Long" or "Short". If the system is "Long", then SSIM will go long when the Entry signal is true. If the system is "Short", then SSIM will go short when the Entry signal is true. Similarly, the Exit section has options for an exit Scan/Signal, a target, and a stop/trailing stop. Any or all of these three options may be used to control when the system exits open positions. The "Target" option allows you to specify a target based on an arithmetic relationship to the price of the entry bar. For instance, a target of "Close + 2" could be specified to exit when the price increases $2 from the closing price of the entry bar. Or a target of "High * 1.05" could be specified to exit when the price increases to 5% above the high of the entry bar. When the system is short, targets like "Close + -2" and "Low * 0.95" might be used. The Stop/Trailing Stop exit option works similarly to the target option. The user may specify either a "Stop" or a "Trailing Stop". If a "Stop" is specified, the stop will be computed only once. The stop value is based on a user-specified relationship to the price of the entry bar (just like the target was computed). "Trailing Stops", however, may change value on each bar, but may only move in the direction of the current price. For instance, if a long system used a trailing stop of "Low + -1", then each bar would check to see if $1 less than the current low was greater than the existing stop value, and if so, replace the stop with this stop. In a long system, the trailing stop can only increase (never decrease), while in a short system, the trailing stop can only decrease (move closer to current price action).


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SSIM will undergo quite a bit of enhancement in the coming releases. Currently, the only "result" option available is to show "Gain/Loss". This "Gain/Loss" option represents the cumulative gain or loss based on all trades made throughout the chart (based on the viewing period). The result may be drawn as a line or a histogram. In coming releases, more "result" options will be added. Also, a "price multiplier" option will be added to simulate buying or selling a given number of shares on each trade. Currently the system assumes trading a single share each trade (raw price change of one share for gain/loss). And a "lookback period" will be added to give the user control over how many bars will be used in evaluation ("last 100 bars" for example). The Token SSIM The System Simulator result can be accessed in the RTL language with the token SSIM. Keyboard Adjustment N/A 5.4.97 T3 - Adaptive Smoothing Indicator The Formula T3(n) = GD(GD(GD(n))) GD(n,v) = EMA(n)*(1+v) - EMA(EMA(n))*v GD stands for Generalized DEMA (double-smoothed exponential MA) where n = Period v = Volume Factor similarly... T5(n) = GD(GD(GD(GD(GD(n))))) The Chart



Above is a 5 Minute Candle Chart of the e-Mini S&P (ES). The T3 is added as a blue line, using the preferences below. The Preferences


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· T3 - Options of choosing T1, T2, T3, T4, T5, or T6. See equation above for details. · Price - Price used as input to the T3 smoothing. · Period - Period used to smooth the data. · Volume Factor - Should range between 0 and 1. When volume factor is 0, GD is just an EMA. When the factor is 1, GD is just a DEMA (double EMA). The Description T3 is an adaptive moving average. It tracks the time series more aggressively when making large moves.



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5.4.98 Triple Smoothing The Formula MAa(MAb(MAc))) where MAa, MAb, and MAc can each have independent periods and smoothing types. The Presentation

Above is a 5 Minute Candle Chart of the e-Mini S&P (ES). The green line represents a triple smoothing based on the preferences below. The Preferences


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Price - input price for the smoothing MA Type (1, 2, 3) - type of smoothing used MA Period (1, 2, 3) - period used Smoothing (Double, Triple) - Whether to triple or double smooth the price · Line Color - Color of the resulting smoothed line · · · ·

The Description The triple smoothing indicator can be used to compute and graph either a double or triple smoothing of the price data for an instrument. Each smoothing moving average has its own period and type specification. The first moving average is applied to the raw price data of the instrument. The second moving average is then applied to the first result. If triple is selected, the third moving average is then applied to the second result.



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Double or triple smoothed moving averages can be used instead of single moving average lines to look for trading signals as two moving average lines cross. The extra smoothing generally results in fewer false signals. 5.4.99 Tick Velocity Indicator The Description A new technical indicator has been added for use in the scan language. The name of the indicator is Tick Velocity; the scan token is TV. This indicator calculates the current velocity of trading for an instrument in ticks per minute. The setup dialog for the TV indicator allows the user to specify a short term period and/or a long term period in minutes. Periods less than a minute can be expressed with fractions or decimal numbers ,e.g. enter 1 / 4 or .25 to specify a period of 15 seconds. MarketDelta® calculates the number of trades that have occurred in either the short term or long term period and returns the value in ticks per second. For equities, the user can request that the result be returned in tick volume per minute. The setup dialog has three choices for the returned value: (1) short term velocity, (2) long term velocity, or (3) short/long term ratio. A ratio above 1.0 indicates the tick velocity is higher recently vs. longer term. For example, if short term period is 15 seconds and long term is 5 minutes, and the ratio calculation is selected, then the scan request TV > 2 would identify instruments whose trading velocity during the last 15 seconds was more than twice the rate it has been over the preceding 5 minutes. The default intra-day periodicity could be any number of minutes you like. This is the way MarketDelta® provides for minute intervals that do not appear specifically in the Periodicity menu. The Preferences


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5.4.100 Three Line Break Indicator The Formula See Also: Three Line Break Charts See Also: Three Line Break Oscillator The Chart



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Above is a Daily Candle Chart of the e-Mini S&P (ES). The upper pane shows the price data overlaying the expanded (time-based) TLB Indicator. Each green column represents an up column (or line), and each red column represents a down column (or line). The lower pane shows the TLB indicator with the preferences specified below. The Preferences


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· Reversal Criteria - Number of lines needed to cause a reversal. · Use Highs and Lows - Specifies whether to use only the closing prices of the bar data, or to use the highs, lows, and closing prices. · Expand Into Traditional Bar Data - This option cause the TLB columns to be expanded or stretched in order to conform with the underlying time-based traditional bar data. If this option is left unchecked, then the TLB indicator columns will not necessarily match up with the traditional bars. The feedback in the title bar will indicate the time or date that each TLB column ended. Checking this box will cause each TLB column to be stretched out over the period of time which was used to create the column. For instance, in the chart above, you can see that the first green up column lasted 15 days or bars before a reversal occurred. The Description ©2003 - 2009 MarketDelta LLC. All Rights Reserved.


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The Three Line Break Indicator calculates columns just like the Three Line Break Charts. There are however a couple of advantages to being able to add TLB as an indicator on a chart. First, you can overlay the traditional bar data on top of the TLB data to see exactly where in time the reversals occurred and the amount of time that was spent in each column. Also, this provides the ability to apply all other technical indicators to PNF data, such as moving averages, reference lines, etc. 5.4.101 Time Series Forecast The Formula N/A The Chart

Above is a 5 Minute Candle Chart of the e-Mini S&P (ES). The green line represents the Time Series Forecast based on the preferences specified below.


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The

· · · · · ·

Preferences

MA Type MA Period Price Regression Period Forecast Period TSF Line Color

The Description



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This technical indicator is based on linear regression analysis. The value of TSF for each bar is based on a regression analysis of the preceding N bars. N is called the regression period in the setup window for TSF. The user specifies a forecast period F. F is used to derive a predicted (forecasted) price value F periods in the future based on the slope of the regression line for the preceding N periods. This indicator is often used in trading systems in conjunction with a moving average to generate trading signals when a moving average line crosses a time series forecast line. 5.4.102 Three Line Break Oscillator The Formula See Also: Three Line Break Charts See Also: Three Line Break Indicator The Chart


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Above is a 5 Minute Candle Chart of the e-Mini S&P (ES). lower pane shows the TLB Oscillator drawn using the preference seen below. The red dots represent the relative current price. The green histogram represents the relative reversal price. The dark and light gray squares represent the "lines". The Preferences

· Price - Price used to compute the TLB Oscillator. · Reversal Criteria - Number of lines that must be broken in order to form a reversal.



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· Relative Current Price - All values are drawn relative to a "base line" price. This base line price is the price that is broken when a reversal is formed. Using this relative method, the indicator can be drawn as an oscillator that crosses the zero line during reversals. The relative current price is drawn as a dot on the chart, and is the price relative to the base line price (Current Price - Base Line Price). · Relative Reversal Price - The relative reversal price is drawn as a histogram on the chart, and is the price relative to the base line price (Reversal Price - Base Line Price). The relative reversal price can exist on the opposite side of the base line price from the current price (when the TLB reverses before three lines are formed) and very often coincides with the base line price. · Odd Lines - This is the color that will be used to draw the odd lines (every other line). Lines 1, 3, 5, etc... · Even Lines - This is the color that will be used to draw the even lines (every other line). Lines 2, 4, 6, etc... · Custom Result - If this checkbox is checked, then the result of the indicator will be the value of the custom result selected in the selection box to the right. The choices are described further below, and include State, Current - Reversal Price, Reversal Price, High of Line, Low of Line, Line Height (Hi - Lo), Direction (1 = Up, -1 = Dn), Bars in Direction, and Extreme Price. The Description The Three Line Break Oscillator (TLBOSC) was designed to give Three Line Break users an indicator on traditional charts that clearly shows all relevant TLB information (reversal price, current price, extreme price, etc.) in a flexible and vertically condensed fashion. The indicator oscillates about the zero line. Crossing above the zero line represents a positive TLB reversal (buy signal), and crossing below the zero line represents a negative reversal. TLBOSC however shows much more than just reversals. It shows the current price (a small dot), the relative reversal price (in histogram form), and the lines formed in either direction. The most important aspect of the indicator at any time is the distance from the the current price to the reversal price (should we anticipate a reversal soon?). Arrow markers are draw below the upward reversal bars and above the downward reversal bars.


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In addition, the TLBOSC has a powerful "Custom Value" option that provides the flexibility to show any of the following TLB data elements. These custom values can be charted individually, in line or histogram format. These values can also be reference in the RTL language for scans, custom indicators, and trading signals. The token is TLBOSC. The resulting value of the TLBOSC token will simply be the corresponding Custom Value that is selected within the preferences. Custom Result State

Description Represents the number of lines which have been formed in the current direction, since the last reversal. This value oscillates about zero and clearly shows reversals. Current - Reversal Price The difference between the current price, and the price needed to create a reversal. This value oscillates about zero and clearly shows reversals. The closer the value is to zero, the closer it is to a reversal. Reversal Price The price currently needed in order to create a reversal. High of Line High price of the current line. Low of Line Low price of the current line. Line Height (Hi - Lo) Height of the current line (High of Line minus Low of Line) Direction (1 = Up, -1 = Current direction of the Three Line Break chart. Dn) A value of 1 represents rising, while a value of -1 represents a falling state. Bars in Direction Number of bars spent in the current direction. This value gives an indication of how long it's been since the last reversal. Extreme Price The extreme price is the price that must be exceeded in order to create a new line in the current direction. When the TLB is rising, the extreme price will be the high of the current line. When the TLB is falling, the extreme price will be the low of the current line. The Token

TLBO



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The Three Line Break Oscillator can be referenced in RTL using the token: TLBO. This token gives the user access to any of the custom results available in the TLB Oscillator, including State, Current Reversal Price, Reversal Price, High of Line, Low of Line, Line Height (Hi - Lo), Direction (1 = Up, -1 = Dn), Bars in Direction, and Extreme Price. To find an instrument that has just reversed up, the "Direction" result would be used (TLBO > TLBO.1). To find an instrument that has formed at least 5 lines in the upward direction, the "Bars in Direction" result would be used (TLBO >= 5). To find an instrument that may be nearing it's upward reversal, the "Current - Reversal Price" result would be used (TLBO > TLBO.1 AND TLBO/CL < 0.02). 5.4.103 Tom DeMark Range Expansion Index The Formula IF( ( (HI>=LO5 OR HI>=LO6) AND (LO<=HI5 OR LO<=HI6) ) OR ( (HI2>=CL7 OR HI2>=CL8) AND (LO2<=CL7 OR LO2<=CL8) ) ) THEN VALUE = HI - HI2 + LO - LO2 ABSVALUE = ABS(HI - HI2) + ABS(LO - LO2) ELSE VALUE = ABSVALUE = 0 TD_REI = SUM(VALUE, N) / SUM(ABSVALUE, N) where N is the the TD_REI Period The Chart


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Above is a Daily Candle Chart of the e-Mini S&P (ES). The green line in the lower window pane represents the TD REI line, as specified in the preferences below. The Preferences



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· Period - Period over which the TD REI values are summed. · Draw 45% Lines - If this checkbox is checked, reference lines will be drawn at the 45% and -45% levels. · TD REI Color - Color of the resulting TD REI line. The Description


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The DeMark Range Expansion Index is a market-timing oscillator described in DeMark on Day Trading Options, by T.R. DeMark and T.R. Demark, Jr., McGraw Hill, 1999. The oscillator is arithmetically calculated and is designed to overcome problems with exponentially calculated oscillators, like MACD. The TD REI oscillator typically produces values of -100 to +100 with 45 or higher indicating overbought conditions and -45 or lower indicating oversold. DeMark advises against trading in extreme overbought or oversold conditions indicated by six or more bars above or below the 45 thresholds. For more information on using TD REI the user is referred to the DeMark text. 5.4.104 TPO Indicator The Formula Value Area (VA): Area where 70% of the TPOs (time-price opportunities) occurred. Point of Control (POC): Price at which the most TPOs occurred. For a more complete understand of the Point of Control and the Value Area, review the documentation and videos on Market Profile Charts. The Chart



Above is a 5 Minute Candle Chart of Gold Futures (GC). The colored lines represent the TPO indicator with the preferences below. The Preferences


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· Tick Increment - Distance between consecutively traded prices for any given instrument (eg. 0.25 for ES, 0.01 for most stocks). · First Letter Time - Number of minutes used for the first letter (period) from a Market Profile® persective. This is most commonly 30 minutes, but can be set to 10 minutes for symbols like ZB whose session begins at 8:20am EST. · Current - Previous - These checkboxes control whether lines will be drawn for the current (developing) and previous day's POC & VAs. · Color Controls - These color controls allow the user to specify the color and style (solid, dotted, etc) of each of the 4 lines: Current POC, Current VAs, Previous POCs, Previous VAs. The Description ©2003 - 2009 MarketDelta LLC. All Rights Reserved.


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The TPO Indicator gives the user a quick and easy way to view the key Market Profile® price levels of POC, Value Area High (VAH), Value Area Low (VAH), and developing POC, VAH, and VAL. It also allows the user to review these values historically and see how price reacted when approaching these levels. While developing POC, VAH, and VAL change throughout the day, traditional Market Profile® charts only show the current values. The TPO Indicator allows the user to look back and see where the levels were at any given historical time. The RTL token for this indicator is TPO. When used in the language, in addition to the VA & POCs mentioned above, the TPO indicator provides the user access to IB High and Low, 2x and 3x IB Highs and Lows, TPO counts, TPO counts above and below the POC (both with and without singles). These are very powerful tools for users interested in backtesting Market Profile® related strategies, or charting MP related data on traditional charts. The Token TPO The RTL Token for the TPO Indicator is TPO. To look for price being within 0.50 of the developing VAH: CL >= TPO - 0.50 AND CL <= TPO + 0.50 where the TPO indicator is set as follows: Tick increment: .25 First Letter Time: 30 Result: DVAH Keyboard Adjustment N/A 5.4.105 Trade Speed Index Information The Formula N/A The Chart


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Here is a screenshot of a Tradespeed spike. Spikes indicate a high speed of trade activity. One can view this as initiating activity or a reversal point. The green line represent the Trade Speed Indicator with the preferences below. The Preferences



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Each Statistic is applied to whichever RESULT is selected. For instance, you may want to see Tick Momentum statistic applied to the Delta result. Statistic · Speed (Per Second) - divides the "result" by the number of seconds in the bar. Ex: A large delta (result) that was created in little time will create a large “Speed” reading. · Speed (Per Tick) - divides the "result" by the number of ticks in the bar. Ex: A large value reading for this statistic would indicate large orders were present. · Speed (Per Unit Volume) - divides the "result" by the volume of the bar. · Tick Momentum (T/t) - multiplies the "result" by the number of ticks in the bar, then divides by the time (in seconds) of the bar. Ex: So a large delta (result) with lots of ticks that occurred in a short period of time will produce larger relative readings. ©2003 - 2009 MarketDelta LLC. All Rights Reserved.

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· Volume Momentum (V/t) - multiplies the "result" by the volume of the bar, then divides by the time (in seconds) of the bar. Ex: So a large delta (result) with lots of volume that occurred in a short period of time will produce larger relative readings. The Description There many different RESULTS to choose from and each STATISTIC can be applied to whichever result is chosen, Some RESULTS may work better than others, but some suggestions are buy volume, sell volume, total volume, delta, and total trades. These would all be good candidates. There is also a new result of "Time in Bar (secs)" which might be useful for volume bars or tick bars to see how long (in seconds) each bar is taking to develop. Bars with a short time to completion will indicate increased trading activity. Here is a screenshot of a Tradespeed Spike. Spikes indicate a high speed of trade activity. One can view this as initiating activity or a reversal point. 5.4.106 Trading Note Markers The Formula N/A The Chart



The info markers above (red diamond) represent days with trading notes. The Preferences


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· Trading Notes Marker · View Trading Notes The Description Similar to News Markers, the trading notes marker indicator places markers on the chart for each bar that has an associated trading note. When you enter trading notes for an instrument you can specify the exact date and time of the note. Whether you are viewing a daily or intra-day chart the marker will be placed on the bar with the closest date time of each trading note. 5.4.107 Trading System Indicator The Formula See description below. The Chart ©2003 - 2009 MarketDelta LLC. All Rights Reserved.


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Above is a 5 Minute Candle Chart of the e-Mini S&P (ES). The lower window pane contains the MACD indicator. A MACD Trading System is overlaid on the price bars with the preferences below. The Preferences


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· System - The Trading System that will be used to compute all results specified below. · Buy - The Marker (including shape, size, and position) that will be used to mark the bars in which the system experienced an increase in position size. This could include actions of "BUY", "BUYMORE", "REVERSE (Cover Short & Go Long), "BUYSTOP", or "COVERSHORT". · Sell - The Marker (including shape, size, and position) that will be used to mark the bars in which the system experienced a decrease in position size. This could include actions of "SELL", "SELLSTOP", "REVERSE (Exit Long & Sell Short), "SELLSHORT", or "SELLMORE".



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· Show Values - The first three options in the group box are "historical", and include options for "Entry", "Stop", "Target", "Profit Band", and all User Variables (up to 512). These values are plotted historically, and only when positions are open (this may change going forward). The last line gives the user the added ability to plot the "current" value of up to 10 User Variables. The User Variables numbers should be separated with a comma (V#1, V#2, V#5 should be entered as "1, 2, 5"). · Trade Box - When checked, a "Trade Box" is drawn around every trade. The box is drawn in the "Up" color when the position is long, and the "Dn" color when the position is short. The user specifies the thickness (in pixels) of the boxes top and base. · Custom Result - When this option is checked, the indicator will simplify into a single result which can be drawn with any of the standard line or histogram drawing formats. Custom Results include "Position Size", "Bars In Position", "Balance", "Entry", "Stop", "Target", and all User (V#) Variables (up to 512). The Description The Trading System Indicator (TSYS) provides the ability to chart any trading system, using any periodicity, both historically (backtesting) and going forward. TSYS clearly marks all position changes, whether it be an entry, and exit, a reversal, or a addition or subtraction from an existing position. Stepped lines are also optionally drawn on every bar in every trade, to show the entry price, stop/trailing stop price, target price, and much more. An optional trade box can also be wrapped around every trade. Since Trading Systems can use multiple signals/rules to manage the behavior of the system over time, this indicator is much more powerful than a single Signal Marker or combination of Signal Markers. The Trading System allows each signal/rule to have knowledge of the current condition of other signals, as well as the current characteristics of the overall system. TSYS also has an option for "Custom Result". When this option is checked, the indicator will simplify into a single result which can be drawn with any of the standard line or histogram drawing formats. Custom Results include: · · · · · ·

Position Size Bars In Position Balance Entry Stop Target


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· All 512 User Variables (V# Variables) TSYS gives the user the unique ability to plot User (V#) Variables historically. User Variables, along with the Trading System tokens STOP, ENTRY, and TARGET, are not historical by nature, since each symbol has only one value for any of these variables at any given instant. TSYS captures these values as the system unfolds, and presents the values historically, allowing the user to closely monitor the state of his system at the current time, as well as in the past. TSYS is a "completed bar" indicator. It only recalculates once per bar, and only when that bar is completed. While a bar is in the process of forming, TSYS will not reflect any actions that might have resulted from the processing of that partial bar. Then the bar is completed, TSYS processes it and takes any necessary actions, and displays the results. There are two reasons for using this method. First, it prevents premature signals from firing, and ensures that any signal that triggers and action, is performing on completed data, and is therefore permanent. Secondly, by calculating only once per bar, the processing becomes much more efficient. This can certainly be an issue when using complex trading systems. Along the same lines, before adding TSYS to any chart, make sure the viewing period of the chart is reasonable, as the TSYS will initially compute on all the bars involved in the chart. Initial calculation can become somewhat lengthy on extended viewing periods (last 50 days of 1-minute data). New "Custom Band" Feature Added to Trading System Indicator. The Trading System Indictor (TSYS) now has a new custom band option. This option is labeled "Draw Band Between Values 2 and 3" and gives the user the ability to draw a solid or hollow band between ony of the available price values. As a common example, the user might want to draw a band between the system's stop and target values. Combining such a "stop-target" band with a Profit Band (drawn between Entry and current price) results in a nice visual representation of the trading systems state both historically and going forward. This setup also works well when drawn behind an instrument which is in turn drawn as a connected line. The custom band also has a "hollow" option. When "hollow" is checked, the only the borders of the band will be drawn for each bar. 5.4.108 Trend Continuation Factor (TCF) The Formula IF (CL > CL.1) +Change = CL - CL.1 -Change = 0 ©2003 - 2009 MarketDelta LLC. All Rights Reserved.


ELSE +Change = 0 -Change = CL.1 - CL IF (+Change = 0) +CF = 0 -CF = -Change + -CF.1 ELSE +CF = +Change + +CF.1 -CF = 0 TCF+ = SUM(+Change, n) - SUM(-CF, n) TCF- = SUM(-Change, n) - SUM(+CF, n) where n = period The Chart


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Above is a 5 Minute Candle Chart of the e-Mini S&P (ES). The Trend Continuation Factor (TCF) is added to the lower window pane, using the preferences seen below. The blue line represents the TCF+ while the red line represents the TCF-. The Preferences

· Price - Price data used as input to the indicator. · Period - Period used in TDI formula, as seen in the formula section above. · TCF+ - Check this box, and use this color control, if you would like to draw the TCF+ line, or the Positive Trend Continuation Factor. · TCF- - Check this box, and use this color control, if you would like to draw the TCF- line, or the Negative Trend Continuation Factor. ©2003 - 2009 MarketDelta LLC. All Rights Reserved.


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The Description The Trend Continuation Factor (TCF) was introduced by M. H. Pee. It was created to help identify the trend, and it's direction. Positive values of either the Positive Trend Continuation Factor (TCF+) and the Negative Trend Continuation Factor (TCF-) indicate the presence of a strong trend. Positive values of TCF+ indicator a strong uptrend, while positive values of TCF- indicate a strong downtrend. TCF+ and TCF- cannot both be positive at the same time, since both an uptrend and a downtrend cannot occur simultaneously. Both can be negative. If both are negative, this signifies consolidation, or the absence of a trend. It recommended to enter long positions when the TCF+ value is positive, and enter short positions when the TCF- value is positive. Keyboard Adjustment You can adjust the TCF period directly from the keyboard without having to open up the TCF preferences window. Just select the TCF indicator in the chart (either by tabbing to the indicator or by clicking on it), and then simply hit the up arrow on they keyboard to increase the period by one, and the down arrow on the keyboard to decrease the period by 1. 5.4.109 Trend Detection Index The Formula Mom = Price - Price[Period] MomAbs = Abs(Mom) MomSum = Sum(Mom, Period) MomSumAbs = Abs(MomSum) MomAbsSum = Sum(MomAbs, Period) MomAbsSum2 = Sum(MomAbs, Period * 2) TDI = MomSumAbs - (MomAbsSum2 - MomAbsSum) The Chart


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Above is a 5 Minute Candle Chart of the e-Mini S&P (ES). The Trend Detection Index (TDI) is added to the lower window pane, using the preferences seen below. The blue line represents the Trend Detection Index while the red line represents the Direction Indicator. The Preferences



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· Price - Price data used as input to the indicator. · Period - Period used in TDI formula, as seen in the formula section above. · Trend Detection Index - Check this box, and use this color control, if you would like to draw the TDI line. · Direction Indicator - Check this box, and use this color control, if you would like to draw the DI line. The Description


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The Trend Detection Index (TDI) was introduced by M. H. Pee. TDI is used to detect when a trend has begun and when it has come to an end. The TDI can be used as a stand-alone indicator or combined with others; it will perform well in detecting the beginning of trends. TDI should be used in conjunction with protective stops as well as trailing stops. These stops are required to protect against large losses when the indicator generates a losing trade. The TDI can trade a diverse portfolio of markets profitably over many years, using the same parameters throughout. To calculate the 20-day trend detection index, first find the value of the momentum indicator. After the market closes, calculate today's 20-day momentum by subtracting the close 20 days ago from that of today. Next, find the 20-day absolute momentum, which is defined as the absolute value of today's 20-day momentum. More details can be found in the formula section above. The trend detection index will signal a trend if it shows a positive value and a consolidation if it shows a negative value. As a trend-follower, the position should be entered in the direction of the trend when the TDI is positive. To determine the current direction of the trend, the direction indicator can be used, which is defined as the sum of the 20day momentum of the last 20 days. An uptrend is signaled by a positive direction indicator value, whereas a downtrend is signaled by a negative value. Basically, it comes down to this: Enter long tomorrow at the open if both the TDI and direction indicator are positive after today's close or enter short at the open if the TDI is positive and the direction indicator is negative. TDI can be referenced in the MarketDelta® RTL language using the token TDI. Keyboard Adjustment You can adjust the TDI period directly from the keyboard without having to open up the TDI preferences window. Just select the TDI indicator in the chart (either by tabbing to the indicator or by clicking on it), and then simply hit the up arrow on they keyboard to increase the period by one, and the down arrow on the keyboard to decrease the period by 1. 5.4.110 Trend Intensity Index The Formula TII = 100 * (SDPOS) / (SDPOS + SDNEG) SDPOS = Sum of Up Deviations Over Minor Period (CL - MA) SDNEG = Sum of Down Deviations Over Minor Period (MA - CL) ©2003 - 2009 MarketDelta LLC. All Rights Reserved.


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- Summed deviations represent the sum of the absolute differences between the price and the average price (over major period). If price is higher than the average, it's considered an up deviation. If price is lower than the average, it's considered a down deviation. The Chart

Above is a 5 Minute Candle Chart of the e-Mini S&P (ES). The lower window pane contains the Trend Intensity Index with the preferences below. The Preferences


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· Price - Price value used as input for the computation. Options include Open, Close, High, Low, HI+LO/2, HI+LO+CL/3, O+H+L+C/4, % Change, or OP+CL/2. · Major Period - Period used to compute the moving average, which is then used in the calculation of the summed deviations of price. · Minor Period - Period over which the deviations form average are summed. · Moving Average Type - Type of smoothing used in computing the average. · TII Line - Color and style of the TII line in the chart. The Description ©2003 - 2009 MarketDelta LLC. All Rights Reserved.


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Trend Intensity Index (TII) is based on an article by M. H. Pee that will be available in the June 2002 issue of Stocks and Commodities Magazine. TII is used to indicate the strength of the current trend in the market. The stronger the current trend, the more likely the market will continue moving in the current direction. It is recommended to enter the market during a strong trend and ride it until TII shows signs of a reversal, at which time you should abandon your position and prepare to enter in the opposite direction. Pee recommends using a major period of 60 and a minor period of 30. Assuming these setting, TII is calculated as follows. The 60 bar simple moving average (MA) is computed. The deviation between the closing price and this computed average for each of the last 30 bars is computed (CL - MA). Positive deviations (CL > MA) are summed to give SDPOS. Negative deviations (CL < MA) are summed to give SDNEG. Then, the 30 period TII is calculates as 100 * SDPOS / (SDPOS SDNEG). * * * * * * *

TII ranges from a lower limit of 0 to an upper limit of 100 A TII value above 50 signals an uptrend A TII value of 80 means that 80% of the total deviations are up When TII fall below 50, a downtrend is likely in place 50 represents a level that is trend-neutral The closer TII is to 100, the stronger the current uptrend The closer TII is to 0, the stronger the current downtrend

It is recommended to enter a long trade on the open of the following bar when TII is above 80. The following scan would detect this condition: TII > 80 AND TII.1 <= 80 It is recommended to enter a short trade on the open of the following bar when the TII falls below 20. The following scan would detect this condition: TII < 20 AND TII.1 >= 20 It is also recommended by Pee to remain in the position until a signal in the opposite direction occurs. The Token TII The Trend Intensity Index can be referenced in the RTL language using the token TII. To scan for the bullish signal (upward trending market) of the TII crossing above the 80 line, use the following syntax: TII > 80 AND TII.1 <= 80 ©2003 - 2009 MarketDelta LLC. All Rights Reserved.

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And to scan for the bearish signal (downward trending market) of TII crossing below the 20 line, use the following syntax: TII < 20 AND TII.1 >= 20 Keyboard Adjustment The Trend Intensity Index major and minor periods can be adjusted directly from the keyboard without having to open up the preferences window. Just select the indicator and then hit the up or down keys on your keyboard to adjust the major period. To adjust the minor period, hold down the shift key while hitting the up and down arrow key on your keyboard. The up arrow key increases the periods by 1 while the down arrow key decreases the periods by 1. 5.4.111 Trend Lines - Parallel Trend Lines The Formula See description below The Chart



Above is a 5 Minute Candle Chart of the e-Mini S&P (ES). The Trend Lines are drawn with the preferences below. The Preferences


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· Date Time (Start, End) - This determine which bars the trendline will begin and end on. Since the trendline can be drawn using the trendline button on the chart toolbar, and can be dragged easily to the any exact position, it's generally not necessary to use this control. · Value (Start, End) - This determines the price values used for the start and endpoints of the trendline. Again, since the trendline can be drawn using the trendline button on the chart toolbar, and can be dragged easily to the any exact position, it's generally not necessary to use this control. · User-specifies slope - Instead of specifying both a starting and ending point for the trendline, the user may specify a starting point and a slope. The slope should be expressed in price/bar. For instance, a slope of -0.45 would mean that then line slopes downward at a rate of 45 cents per bar. ©2003 - 2009 MarketDelta LLC. All Rights Reserved.


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· Project to Present - This option projects the trendline(s) forward past then ending point of the trendline to the right side of the chart, as seen in the illustration above. · Use Realized Price . . . - This option forces the use of actual price data at the as the beginning and ending price values. For instance, if "Use Realized Price...Close" was specified, the closing prices of the starting and ending bars would be used as the start and end price values of the trendline. · Alert with . . . - This option will create an audible alert when prices break the base trendline. · Draw Parallel line . . . % above/below - The user can choose to have parallel trendlines drawn any percent above and/or below the base trendline. Multiple values may be entered in each box, separated by either a comma or a space. For instance, "1, 3, 6" would result in parallel lines 1, 3, and 6 percent from the base trendline. · Repeat Parallel Lines ... Times - This option will replicate all parallel trendlines. For instance, if the user chooses to repeat parallel lines 4 times, as seen above, then the 3% parallel line will be repeated at 6%, 9%, 12%, and 15% as seen in the illustration above. · Mirror Parallel Lines - This option causes all parallel lines to be mirrored on the opposite side of the trendline. As seen above, the parallel lines above the trendline are mirrored below the trendline. · One Color - Forces trendlines and all parallel lines to use the same color and line width (the Trendline Color). · Trendline Color - Color of the base trendline. · Parallel Above/Below Colors - Color the the parallel lines above and below the trendline. The Description To draw a trend line, first activate trend line drawing by depressing the Trend Line Button in the Charting Toolbar. The "button" will remain visually depressed to denote that trend line drawing mode has been selected. The cursor changes immediately to a pencil. Position the mouse and press down to start the trend line. Drag to position the trend line and release the mouse to add the trend line to the chart. To disable trend line drawing, click the trend line tool icon. The cursor will return to the standard arrow. ©2003 - 2009 MarketDelta LLC. All Rights Reserved.

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Multiple parallel lines may be drawn both above and below the base trendline. The parallel line text boxes accept multiple percent values if desired, separated by a space of a comma (eg. "3.2, 4.5, 7.1"). The distance of each parallel line from the base trendline is determined using a percent level. The percent level represents a percentage of the price where the base trendline begins. For instance, a parallel line drawn 1% above a trendline that has a beginning point of $50 would be drawn exactly 50 cents above the base trendline at all points. The parallel lines may also be repeated any number of times. In the example above, repeating the parallel line 4 times would result in additional lines $1.00(2%), $1.50(3%), $2.00(4%), and $2.50(5%) above our base trendline, for a total of 5 parallel lines above. These parallel lines may also be mirrored on the opposite site of the trendline. Using the example above, parallel lines would also be drawn at 1%, 2%, 3%, 4%, and 5% below our base trendlines. The trendline furthest below would begin at $47.50 and remain $2.50(5%) below the base trendline at all points. If you prefer to see parallel lines on your trendlines by default, you may do so by adjusting an existing trendline to display the desired parallel lines (repeating, mirrored, etc.), and then click the "Make Default" button at the bottom of the trendline preferences window. The base trendline, parallel lines above, and parallel lines below, each have their own color preferences. The one color checkbox forces all lines to use the trendline color. Attempting to draw a trend line in a chart sub window that contains only technical indicators results in an error message. If you have a chart containing two or more instruments, as long as each instrument resides in its own sub-window, you may draw as many trend lines as you like on each instrument. If you have two or more instruments in the SAME sub window, any trend lines drawn in the sub window will be associated with the first instrument in the sub window. Trend Lines can be adjusted using the mouse. Mouse down at one end of the trendline and drag. Trend Lines are anchored at one end as you move the other end of the trend line to its new position. You can duplicate a trend line by dragging with the Ctrl (option on Macintosh) key down. The original line remains the same as before the drag. Keyboard Adjustment



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The keyboard can be used to move the Trendline end-points to the right and left, or up and down. First, click on the chart. Then hit the tab key repeatedly until you notice your Fibonacci Retracement lines are selected. Then, press the right or left arrow keys on your keyboard to move the entire trendline (along with any associated parallel lines) right or left one bar. To move the trendline up or down, press the up and down arrows on the keyboard. If you would like to move only the endpoint, then hold down the Ctrl key while pressing the right or left arrow keys. If you would like to move only the beginning point, then hold down the Shift key while pressing the right or left arrow keys. 5.4.112 TRIX (Triple Smoothed Exponential Oscillator) The Formula N/A The Chart

Above is a 5 Minute Candle Chart of Google (GOOG). The lower window pane contains a 9 period TRIX indicator, as specified in the preferences below. ©2003 - 2009 MarketDelta LLC. All Rights Reserved.

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The

Preferences

· Smoothing Period · Line Color The Description The TRIX is a momentum indicator that calculates the percent rate of change of a triple smoothed exponential moving average of closing price. It is a leading indicator, in that it is designed to signal trends shorter than the time sample used to calculate the TRIX. However, you introduce more lag time into the indicator response as the moving average period is increased.



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The TRIX oscillates around a zero line. Trading opportunities arise when the TRIX graph changes direction. Buy when the slope of the TRIX line turns positive or crosses zero from below. Sell when the slope turns negative or crosses zero from above. Divergence in the movement in price and the TRIX line can also signal an impending trend change. The Token Keyboard Adjustment 5.4.113 True Range (Average True Range) The Formula MA(TR, Type, Period) TR = MAX{ ABS(HI - LO), ABS(HI - CL.1), ABS(CL.1 - LO) } The Chart


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Above is a Daily Chart of Google (GOOG) . The blue line in the lower window pane represents a moving average of the True Range, as specified in the preferences below. The Preferences



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· Smoothing Period - Smoothing period used to smooth the raw True Range values. If a period of 1 is specified, no smoothing will occur and the raw True Range values will result. · Smoothing Type - Type of moving average used to smooth the raw True Range values. · Actual Range - When this option is selected, the indicator will compute the actual range (maximum high minus minimum low) over the number of bars specified. · Draw As - Color(s) and style used to draw the True Range in the chart. The Description


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Welles Wilder described these calculations to determine the trading range for a stock or commodity. True Range is defined as the largest of the following: * The distance from today's high to today's low. * The distance from yesterday's close to today's high. * The distance from yesterday's close to today's low. Wilder included price comparisons among subsequent bars in order to account for gaps in his range calculation. The raw True Range is then smoothed (a 14-period smoothing is common) to give an Average True Range (ATR). The True Range can be smoothed using a variety of moving average types, including Simple, Exponential, Welles Wilder, etc. ATR measures a security's volatility. It does not indicate price direction or duration, rather the degree of price movement. Average True Range can be interpreted using the same techniques that are used with the other volatility indicators. Wilder states that high values of ATR often occur at market bottoms following a sell-off. Low ATR values are often found during extended sideways or consolidation periods. Several other indicators are built off True Range, including DI+/DI-, ADX , and ADXR. The Token TR The True Range indicator is represented in RTL using the token TR. This token also represents the Average True Range if a smoothing period is specified. When comparing the TR value among instruments that don't trade in the same price range, it may be useful to normalize by dividing by price, and possibly multiplying by 100. The following scan syntax is an example... TR * 100 / CL > 6.0 5.4.114 True Strength Index The Formula TSI = NUM / DEN where NUM = MA(MA(Mom, Exp, Long, m), Exp, n) DEN = MA(MA(AbsMom, Exp, Long, m), Exp, n) Mom = PRICE - PRICE.1 ©2003 - 2009 MarketDelta LLC. All Rights Reserved.


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AbsMom = ABS(PRICE - PRICE.1) m = Long Term n = Short Term The Chart

Above is a 5 Minute Candle Chart of the e-Mini S&P (ES). The blue line in the lower window pane represents the true strength index, as specified in the preferences below. The Preferences


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· Short Term - Second Period used in the double exponential smoothing of momentum. · Long Term - First Period used in the double exponential smoothing of the momentum. · Price - Price used as input for the calculations seen above. · Line Color - Color of the TSI line in the chart. The Description True Strength is a variation of the Relative Strength indicator. It uses a double smoothed exponential moving average of price momentum to eliminate choppy price changes and spot trend changes. This indicator has little or no time lag. An increasing True Strength value indicates increasing momentum in the direction of price movement. ©2003 - 2009 MarketDelta LLC. All Rights Reserved.


5.4.115 Ultimate Oscillator The Formula if (Y1 = 0 or Y2 = 0 or Y3 = 0) UltOsc = 0 else UltOsc = ((X1 / Y1) * 4 + (X2/ Y2) * 2 + (X3 / Y3)) / 7 where X1 = Average X2 = Average X3 = Average Y1 = Average Y2 = Average Y3 = Average

(Close - TrueLow, period1) (Close - TrueLow, period2) (Close - TrueLow, period3) (TrueRange, period1) (TrueRange, period2) (TrueRange, period3)

The Chart


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Above is a 5 Minute Candle Chart of the e-Mini S&P (ES). The lower window pane contains the represents the Ultimate Oscillator, based on the preferences below. The Preferences

· Period 1 - Short-term period used in calculations above. · Period 2 - Intermediate-term period used in calculations above. · Period 3 - Long-term period used in calculations above. · Line Color - Color of the ultimate oscillator in the chart. The Description



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The Ultimate Oscillator was designed by Larry Williams in an attempt to improve on the premature buy and sell signals he observed in other available oscillators. The calculation of the oscillator can be seen above. The Ultimate Oscillator combines three oscillators that represent short-, intermediate- and long-term market cycles (7-, 14-, & 28-periods are recommended). Mr. Williams’ theory is there is a bullish divergence when price makes a lower low that is not confirmed by a lower low in the UltOsc. A bearish divergence occurs when price makes a higher high that is not confirmed by a higher high in the UltOsc. A bullish divergence occurs when price makes a lower low that is not confirmed by a lower low in the oscillator. A bearish divergence occurs when price makes a higher high that is not confirmed by a higher high in the oscillator. Williams suggests the following regarding buy and sell signals. 1. Buy on positive divergence where the low of the oscillator has dipped below 30. 2. Sell on negative divergence where the high has exceeded 50. 3. Close long positions when the oscillator exceeds 70. 4. Close short positions when the oscillator goes below 30. 5.4.116 Up/Down Volume Ratio The Formula UPVOL = SUM(VOL, m) for up bars (CL > CL1) DOWNVOL = SUM(VOL, m) for down bars (CL < CL1) UDVR = MA(UPVOL / DOWNVOL, n, maType) m = Number of Periods n = Smoothing Period The Chart


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Above is a Daily Candle Chart of the e-Mini S&P (ES). The lower window pane contains the Up/Down Volume Ratio as specified in the preferences below. The Preferences



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· Number of Periods - Number of bars over which to sum the up and down volume before computing the ratio of up to down (or down to up). · Smoothing Period - If you would like the UDVR value to be smoothed, specify a period other than 1 here. · Moving Average Type - Type of smoothing to use, if applicable. · Invert (Down Vol / Up Vol) - Check this box if you would like the indicator to be inverted to a ratio of Down Volume / Up Volume. · UDVR Line Color - Color of the chart line. The Description


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The Up/Down Volume ratio compares the representation of buyers vs. sellers over a period of time. The assumption is that if a stock closes UP for the day, the attributable volume was induced by buying pressure and thus the stock is under accumulation. Conversely, if a stock closes DOWN for the day, the trading activity is deemed to be selling induced, a sign of distribution. Up/Down ratio is calculated by creating a ratio of the volume on days when price increased to volume on days when price decreased. For each n-day period: U/D ratio = Sum of Volumes on Up Days Sum of Volume on Down Days This value oscillates around a value of 1. For U/D ratios greater than 1 there have been more buyers than sellers over that time period and the ratio is bullish. U/D ratios less than 1 exhibit more sellers than buyers over the study period and the ratio is bearish. 5.4.117 Up/Down Volume Ratio Slope The Formula N/A The Chart



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Above is a Daily Candle Chart of the e-Mini S&P (ES). The lower window pane contains the represents the Up/Down Volume Ratio Slope as specified in the preferences below. A volume histogram for the ES can be seen in the middle pane. The Preferences


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· Number of Periods · Regression Period · Line Color The Description Although the U/D Ratio is a powerful indicator, it is actually the change or slope of this ratio that signals a change in the stock price trend. If the slope of the U/D Ratio over n periods is increasing, the price of the stock is increasing on greater volume. Even better, if the slope of the U/ D Ratio changes from negative (downward sloping) to positive (upward sloping), then enough buying action is coming into the stock to reverse the downward trend in the ratio. 5.4.118 Value Area Indicator The Formula



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If "Price Range Based" checkbox is unchecked . . .

Upper Band = CL + StdDev * X Lower Band = CL - StdDev * X X = # of Standard Deviations specified in Value Area Preferences If "Price Range Based" checkbox is checked . . . CL = (High + Low) / 2 StdDev = (High - Low) / 2 Upper Band = CL + StdDev * X Lower Band = CL - StdDev * X X = # of Standard Deviations specified in Value Area Preferences Note: The Profile Indicator has in large part replaced the Value Area indicator, as it is much more efficient and flexible. The Chart


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Above is a 5 Minute Candle Chart of the e-Mini S&P (ES). The Value Area bands can be seen overlaying the price data. The blue lines represent the upper and lower bands encompassing 68% of the current sessions volume based on the preferences seen below. The center red line is the volume weighted average of today's close. The Preferences



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· Use - This setting provides three choices: Current Session, Previous Session, and Curr and Prev Sessions. This dictates which price and volume data will be used to compute the average price, and value area bands. · Standard Deviations - This controls how many standard deviations from the mean to draw the bands. One standard deviation should encompass 68% of the volume, 2 standard deviations 95%, etc. · Value Bands - This controls the color, thickness, and line style of the Value Area Bands. · Value Bands - This controls the color, thickness, and line style of the volume-weighted average line.


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· Price Range Based - If this option is checked, the average and the bands will be computed solely on the price range. The standard deviation will also be interpreted a little different in this case. The basis for calculations can be seen in the calculations section above. For instance, if this option is checked and a standard deviation of 1 is specified (100% bands), then the bands will be draw at the high and low. If a value of 0.70 is specified (70% bands) ,then the bands will be drawn 15% down from high and 15% up from low. The Description The Value Area Indicator provides an automated band representing the volume-weighted Value Area. The Value Area bands represent the prices between which a certain percent of the volume was traded. The Value Area preferences have a setting for "Standard Deviations". A standard deviation setting of 1 will result in bands containing 68% of the volume. A standard deviation of 2 will result in bands containing 95% of the volume. The Value Area is of special interest to Market Profile users, and will give these users a way to depict this Value Area on a chart. The Value Area may be drawn using the current sessions data, the previous sessions data, or both. In addition to the bands, the value area indicator also draws a horizontal reference line at the volume-weighted average price based on the session specified. To select the Value area indicator, click (or double-click) on the horizontal line representing the volume-weighted average price (the middle line). Additional Notes: The value area indicator is computed using 1-minute bars (regardless of the periodicity of the charts, scan, etc). There is currently no way to reference "historical" value area results other than current and previous session values. The upper and lower Value Area bands area available in RTL using tokens VAU and VAD. In order to access the average, just use "(VAU + VAD)/2". 5.4.119 Vertical Reference Lines The Formula N/A The Chart



Above is a 5 Minute Candle Chart of the e-Mini S&P (ES). A Vertical Reference Line is displayed with the preferences below. The Preferences


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· Number of Periods · Regression Period · Line Color The Description Vertical Reference lines can be easily added to charts of any periodicity (daily, weekly, intra-day, etc.). With a chart window open, click on the "Vertical Line" tool on the chart toolbar. Then position the mouse pointer any point in the chart window and click. While the vertical line tool is active, the cursor changes to a pencil. Click as many times as you like to add as many vertical reference lines as you wish. To turn off the vertical line tool, click on the "Vertical Line" tool on the chart toolbar again.



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Once you have positioned a vertical line you can "edit" the properties of the vertical line to change its position or to record an associated comment, or change the line color and thickness to your preference. To edit a vertical reference line right click in the chart window and choose the "VREF" chart element. The comment associated with a vertical reference line is only shown in the chart window when the vertical reference line is "selected". To select the vertical reference line either click on it or press tab repeatedly until the line is selected. Vertical reference lines are saved permanently with the chart and will reappear when the chart is opened again later. You can also add vertical reference lines using the "Add a Technical Indicator" button on the chart toolbar. When the Add Indicator window appears, pick Vertical Reference Line, enter the settings for the desired vertical line, including the date (and optionally the time) position of the line, and click OK to add the indicator to the current chart window. The "Annotation" indicator is another tool you can use to record comments that are stored and associated with a particular date and time in a chart window. Click here for more information. 5.4.120 Volatility Indicator The Formula See Option Analysis Values - Defined The Chart


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Above is a Daily Candle Chart of the e-Mini S&P (ES). The lower window pane contains the Volatility Indicator with the preferences below. The Preferences



· · · · ·

Volatility Period Extreme Value Method Close to Close Annualize Volatility Volatility Color

The Description


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The volatility indicator is based on the same calculation used by MarketDelta® in the options analysis feature of the program. The volatility is calculated historically for each bar. Volatility can either be computed based on the periodicity of the chart, or annualized. For example, if your chart is a 1 minute chart with a volatility period of 21 with the "Annualize volatility" checkbox unchecked (not annualized), then the volatility displayed in the indicator would represent a 1 minute volatility based on the past 21 bars in your 1 minute chart. On the other hand, if you choose to "Annualize" your volatility, then the number in the volatility indicator will represent a one year volatility for your instrument computed based on the past 21 bars in your one minute chart. The expectation is based on one standard deviation (68% probability). So if the annualized volatility is 30% and the current price is 100, then you should expect 68% of the time that the price will remain between 70 and 130 (100±30%) over then next year. Similarly, if the 1 minute volatility (not annualized) is 0.1% and the current price is 100, then you should expect 68% of the time that the price will remain between 99.9 and 100.1 (100±0.1%) over then next minute bar. Prior to version 3.8, the volatility could be calculated and displayed as a quote page column where the value represents the present volatility. Now the volatility may be viewed graphically to see how it has changed over time for an instrument. 5.4.121 Volatility Analysis The Formula MA(VOL, TYPE, PERIOD) The Chart



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Above is a Daily Candle Chart of the e-Mini S&P (ES). The lower window pane contains the Volume with the preferences below. The Preferences


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· · · ·

MA Type Period Draw Type Volume Histogram

The Description The Volume Analysis draws a moving average of volume. It provides a more detailed look at volume trends than can be observed using the default volume histogram below price charts. You may use this feature repeatedly to overlay multiple analyses on the same chart. The Moving Average type may be specified as simple, exponential, weighted, Welles Wilder, or Least Square. You may specify the number of periods over which the volume is averaged. Specify a period of 1 to see the actual volume for each bar. ©2003 - 2009 MarketDelta LLC. All Rights Reserved.


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The graph may be displayed as a Line or Histogram. 5.4.122 Volume Breakdown (VB) The Formula Delta = Buy Volume - Sell Volume Buy Volume (Ask Volume) = volume that traded at or above the ask price. Sell Volume (Bid Volume) = volume that traded at or below the bid price. See the Preferences section below for information on the various results and calculations that are available from within Volume Breakdown, including accumulation, statistics, and applying indicators to VB Results. The Chart

Above is a 1 Minute Candle Chart of the e-Mini S&P (ES). The lower window pane contains the VB indicator with the preferences below.


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The

Preferences

· Breakdown Volume - Volume can be broken down based on either of two methods: - Ask Traded vs Bid Trade Volume - Volume that trades at the ask price is considered buy volume, while volume that trades at the bid is considered sell volume - Up Tick vs Down Tick Volume - Volume that trades on or subsequent to an up tick is considered buy volume, while volume that trades at or subsequent to a down tick is considered sell volume. · Result - This list dictates what the VB indicator will compute (before applying any accumulation or statistics to it). Result options include: - Delta (Buy - Sell Vol) - difference between the buy volume and the sell volume - Delta Bars - same as "Delta", except drawn in a candle bar format, which displays the opening de - Buy Volume - Volume that traded at or above the ask. ©2003 - 2009 MarketDelta LLC. All Rights Reserved.


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- Sell Volume - Volume that traded at or below the bid. - Sell Volume (Negative) - Volume that traded at or below the bid, expressed as a negative value. This option is there so that Buy Volume and Sell Volume histograms may be added to the same pane, but drawn on different sides of the zero line. - Total Volume - Total volume traded. - Total Trades/Ticks - Total number of trades or ticks. - Buy Volume % - Percent of volume within each bar which was classified as Buy Volume. - VWAP - Volume weighted average price of each bar. Each tick is weighted by it's volume to produce a weighted average price of all ticks within each bar. - Big Volume % - Percent of volume within each bar which was classified as "Big Volume". "Big Volume" is defined as any trade with a size greater than a size specified to the right of the "Consider Only Trades With Volume" checkbox. That Volume Box will be editable whenever "Big Volume %" or "Big Trade %" results are selected. - Big Trade % - Percent of Trades within each bar which was classified as "Big Volume". This result simply deals with the number of trades, as opposed to the size of those trades. - Average Size - Average size of the trades which occurred within any given bar. - Max Delta - The maximum delta value achieved within each bar. This is equivalent to the high seen for each deltabar. - Min Delta - The minimum delta value achieved within each bar. This is equivalent to the low seen for each deltabar. - Delta Momentum - Delta Momentum essentially sums up the delta values while the per bar delta remains on the same side of the zero line. When delta turns from positive to negative, the result will reset to that negative values, and the result will continue to accumulate while the deltas remain negative. When delta becomes positive, the result will reset back to that positive value, and accumulate from there while delta remains positive. - Delta Mom Count - Delta Mom Count works in the same way, except it simply counts how many bars delta has remained positive or negative consecutively. A value of -5 means we've had 5 consecutive negative delta bars. - Matching Volume - High - Amount of volume that traded on both sides (buy and sell volume) at the high of the bar. In general, at the high of the bar, most (if not all) volume will trade at the ask (buy volume). - Matching Volume - Low - Amount of volume that traded on both sides (buy and sell volume) at the low of the bar. In general, at the low of the bar, most (if not all) volume will trade at the bid (sell volume). - Avg Buy Size - Average size of all trades that came in on the buy/ask side. ©2003 - 2009 MarketDelta LLC. All Rights Reserved.

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- Avg Sell Size - Average size of all trades that came in on the sell/bid side. - VWAP(Day) - Volume Weighted Average Price of all tick accumulated throughout each session. - VWAP(All) - Volume Weighted Average Price of all tick accumulated throughout the entire view period of the chart. - Delta Finish - This is the pullback of delta from it's last high or low. If Delta last bounced off it's high before completing bar, the finish will be negative (or zero). If Delta last bounced off it's low before completing bar, the finish will be positive (or zero). - Time in Bar (Secs) - Amount of time, in seconds, spent in each bar. Especially useful for tick-based periodicities like tickbars, volume bars, range bars, PNF, Renko, etc. - Tick Frequency Rating (Live) - The "Tick Frequency Rating" option gives the user an indication of the frenquency of trades in combination with tick direction (buying or selling). This rating will plot on a scale from 1 to 100+ (or -1 to -100+). A value of 1 signifies that the tick came in over 5 seconds from the previous tick. A value of 100 signifies that a tick came in right on top of the previous tick (essentially at the same millisecond). Values beyond 100 signify that multiple ticks continued to come in on top of one another. Values in between 0 and 100 are plotted with a reverse logarithmic scale. In essence, the higher the values, the faster the frequency of ticks. In addition, these values are plotted as positive values on buy ticks are up ticks and as negative values on sell ticks or down ticks (depending on how VB is setup). This result only works realtime, and therefore will begin forming from the time the chart containing it is opened, or from the time it's added to a chart. It also works best in on 1 tick charts. When viewed on other periodicities, it will sum the values of all ticks within the bar. - Ask Size (Live Only) - Plots the ask size at the time of each tick or trade. These values only plot live (the VB will be blank when initially opening the chart and build from there). The ask size plots as a positive value. - Bid Size (Neg) (Live Only) - Plots the bid size at the time of each tick or trade. These values only plot live (the VB will be blank when initially opening the chart and build from there). The bid size plots as a negative value, and plots nicely in a pane along w/ Ask Size. - Logarithmic Pressure Ratio - LOGn (Buy Volume / Sell Volume). Commonly a moving average is applied to this result.



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· Normalize - An option was added to the Volume Breakdown indicator to allow the user to "Normalize" the result. When the "Normalize" checkbox is checked, the VB Result (such as Delta) is divided by the volume and then multiplied by 100, to give in effect a positive or negative percent of total volume. For instance, a normalized delta of 34 would mean that the delta was positive, and 34% of the total volume. A result of -100 would mean that all the volume traded in that bar was sell/bid volume (negative). · Accumulate/Avg/Max/Min - The Accumulate option allows the user to accumulate the values computed from the Result choice throughout the day (or throughout the entire chart). If "Days Values" is chosen, the accumulation will begin fresh each day, and accumulate throughout the day. If "All Values" is chosen, the accumulation will start at the begin of the chart and continue throughout the chart. In addition to "Accumulate", options are also available to compute the Average, Maximum, or Minimum value of the day (or entire chart). · Statistic - A Statistic (or indicator) calculation can also be applied to the Result. Choices include. - None - No statistic is applied. Just use the raw Result computed above. - Average - Average the values using the Period specified to the right. - Sum - Sum the values over the period specified to the right. - Maximum - Find the Maximum value over last n bars (n = Period) - Minimum- Find the Minimum value over last n bars (n = Period) - Avg (Least Square) - Performs a least square average using the Period specified. - Indicator - When this option is chosen, the user is then presented with a list of technical indicators from which to choose (all built-in indicators that MarketDelta® offers). Select the desired indicator and then click the "Setup" button just to the right to specify the indicator preferences. This indicator will be applied to the Result to compute the final values. - Speed (Per Second) - divides the "result" by the number of seconds in the bar. - Speed (Per Tick) - divides the "result" by the number of ticks in the bar. - Speed (Per Unit Volume) - divides the "result" by the volume of the bar. - Tick Momentum (T/t) - multiplies the "result" by the number of ticks in the bar, then divides by the time (in seconds) of the bar. - Volume Momentum (V/t) - multiplies the "result" by the volume of the bar, then divides by the time (in seconds) of the bar. ©2003 - 2009 MarketDelta LLC. All Rights Reserved.

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· Consider Only Trades with Volume (Filter) - This option gives the user the ability to apply a filter to the trades consider in the calculation. The user can choose to consider only trades > than a given size, < than a given size, or = to a given size. · Draw As - Style used to draw the indicator in the chart. The Description The Volume Breakdown is a powerful and flexible indicator used to gauge buying and selling pressure, and has attracted quite a bit of attention in recent months. It looks inside each bar, breaking down and classifying each tick and then accumulating the results, and further giving the user a variety of statistical measures (including all built-in technical indicators) to apply the these results. The most common use of the VB indicator is to calculate the delta (difference between the buy (ask-traded) and sell (bid-traded) volume) of each bar. Positive deltas signify more buying pressure, while negative deltas signify more selling pressure. The magnitude of the delta determines the strength of that pressure. Expect to see positive deltas during uptrends and negative deltas during downtrends, but look for delta turning negative at highs, or turning positive at lows...a sign of possible market turns and good entry/exit points. With the VB indicator, the Delta can be computed, accumulated, and run through a variety of statistical/indicator computations. The VB indicator is unique in that it loads tick data (when initially computing) regardless of the timeframe of the chart, in order to breakdown the volume of each trade, and calculates on each tick. While it may take a few moments to initially add VB to a chart, or load a chart which involves VB, the VB indicator is designed to calculate very efficiently on a tick-by-tick basis, regardless of the combination of settings selected. The Token VB The RTL Token for the Volume Breakdown indicator is VB. A common system for trading the VB might be to look for VB turning positive after 3 negative values: VB > 0 AND MAX(VB.1, 3) <= 0 5.4.123 Volume Price Statistics Refer to Charts | Footprint | Adding Technical Indicators | Volume Price Statistics.



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5.4.124 Volume Weighted Average Price (VWAP) The Formula VWAP = Sum(VOi * CLi, n) / Sum(VOi, n) VWAP Upper Band = VWAP + Basis * Multiplier Where: VOi = Volume of the ith bar of the day CLi = Closing Price of the ith bar of the day n = bars into day or session Basis = band basis specified in the VWAP preferences Multiplier = band basis multipier specified in the VWAP preferences The Chart

Above is a 1 Minute Candle Chart of the e-Mini S&P (ES). The lower window pane contains the VWAP indicator with the preferences below. The Preferences ©2003 - 2009 MarketDelta LLC. All Rights Reserved.

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· Draw As - Style and color used to draw the VWAP and VWAP bands (if applicable). · Band Basis - Several different methods are available for computing the bands, including: Variance (CL - VWAP), 1/4 Day Range, 3 x Avg Bar Range, Constant $ Value, Proprietary. These are discussed in further detail in the description below. · Bands At - The user can specify 2 different band multipliers, along with the color used to draw the bands at that multiplier. The Description VWAP stands for Volume-Weighted Average Price, the ratio of the value traded to total volume traded over a particular time horizon (usually one session). It is a measure of the average price a stock traded at over the trading horizon. ©2003 - 2009 MarketDelta LLC. All Rights Reserved.


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It's calculated by summing the price & volume of each bar or tick, over the entire session, and then dividing that by the sum of the volume for the session. The VWAP Indicator now has options to draw one or two bands around the VWAP, as well as a variety of options for computing those bands. The options for Band Basis include: · Variance (CL vs VWAP) - The variance between the closing price and the VWAP line, computed on a cumulative basis from the start of the session. · 1/4 Days Range - One quarter of the range to that point in the day/session. · 3 x Avg Bar Range - Three times the average range (hi - lo) of last 20 bars. · Constant $ Value - A constant $ Value above and below the VWAP. · Proprietary - This option is a work in progress and currently being kept proprietary. The Token VWAPI The RTL Token for the Volume Weighted Average Price is VWAPI (NOT VWAP). To access the upper band, use VWAPIU. To access the lower and, use VWAPID. A signal which detects price crossing above the upper band: CL.1 <= VWAPIU.1 AND CL > VWAPIU 5.4.125 Williams %R The Formula N/A The Chart


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Above is a 1 Minute Candle Chart of the e-Mini S&P (ES). The red line in the middle pane represents the Williams %R line, defined by the preferences below. The green line in the lower pane represents the stochastics Raw K line, seen as the inverse of the Williams %R. The Preferences



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· Period · Line Color · Reference Line (1, 2) The Description The Williams %Range (%R) Study, is the exact inverse of Lane's Stochastic Study. You may see the relationship between the stochastic and %R very clearly by charting the same symbol in two chart windows that are stacked vertically. Put the %R in one window and stochastics in the other as shown. 5.4.126 Williams AD (Accumulation/Distribution) The Formula N/A The Chart ©2003 - 2009 MarketDelta LLC. All Rights Reserved.

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Above is a Daily Candle Chart of the e-Mini S&P (ES). The lower window pane contains the Williams AD indicator with the preferences below. The Preferences



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· Line Color The Description This indicator measures market pressure by comparing the relationship between Closing price and daily range to quantify accumulation, or buying pressure, and distribution, or selling pressure. The indicator is calculated as follows: When current close is higher than the previous close, AD increases by current Close minus minimum (Current Low or Previous Close). When current Close is lower than the previous Close, AD decreases by maximum (Current High or Previous Close). Look for divergence of William's AD and price. Rising prices and falling AD can indicate a selling opportunity. Falling prices and a rising AD can indicate a buying opportunity.


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5.4.127 Zig Zag Indicator The Formula See description below. The Chart

Above is a Daily Candle Chart of the e-Mini S&P (ES). The Zig Zag indicator overlays the bars, drawn as successive red trendlines using the preferences seen below. The Preferences



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· Price - Price used as input for the calculations (Close, (High+ Low)/2, etc.). · Minimum Price Change (%) - Percentage that the price must move in order to form a new "zig" or "zag". · Draw Reference Lines At - This allows for the drawing of reference lines on each leg of the Zig Zag, at a user-specified % change level from the base of the leg. · Label With - the ability to label each leg of the endline. The Description The Zig Zag Indicator is a series of trendlines that connect significant tops and bottoms on a price chart. The Minimum Price Change parameter specifies the percentage that the price must move in order to form a new "zig" or "zag" line. ©2003 - 2009 MarketDelta LLC. All Rights Reserved.

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The Zig Zag Indicator can be used to identify potential chart patterns and Elliot Wave formations. The "Minimum Price Change" setting of the Zig Zag and Zig Zag Oscillator indicators can now be expressed in absolute dollars ($) in addition to percent ( %). The Token ZIG The MarketDelta® RTL language has access to the Zig Zag indicator using the token "ZIG". In the language, ZIG represents the % change level that the current Zig Zag leg has achieved. By qualifying the ZIG token, the user can access the % change level that was achieved by previous legs of the Zig Zag indicator. For instance, ZIG.1 would represent the % change level reached by the next to last leg, while ZIG.2 would represent the % change level reached by the leg prior to that. ZIG.1 and ZIG.2 could never have a smaller magnitude than the "minimum price change (%)" specified in the preferences, since these legs have already been validated to the percent change level. ZIG, however, may not yet have reached its required threshold. The following scan would test the current leg for validation on a 10 % change Zig Zag: ZIG >= 10 OR ZIG <= -10 The following scan will find those instruments that have just recently been validated: (ZIG > 10 AND ZIG < 10.5) OR (ZIG.1 > 10 AND ZIG.1 < 10.5 AND ZIG > 0.5) The first part of this scan, "ZIG > 10 AND ZIG < 10.5", finds any instruments whose current leg is between the 10 and 10.5% levels. The second part of the scan, ZIG.1 > 10 AND ZIG.1 < 10.5 AND ZIG > 0.5, finds instruments whose current leg is actually a very small negative value, but whose recently validated leg is between 10 and 10.5%. Keyboard Adjustment The Zig Zag Minimum Percent Change value can be adjusted directly from the keyboard without having to open up the preferences window. Just select the indicator and then hit the up or down keys on your keyboard to adjust the value by 1. To adjust the value by a smaller increment of 0.1, hold down the shift key while pressing the up or down arrows on the keyboard.



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5.4.128 Zig Zag Oscillator Indicator The Formula ZZO = 100 * (CL - BASE) / BASE The Chart

Above is a Daily Candle Chart of the e-Mini S&P (ES). The the price bars contain the Zig Zag indicator and lower window pane contains the Zig Zag Oscillator with the preferences below. The Preferences


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· Price - Price used as input for the calculations (Close, (High+ Low)/2, etc.) · Use High / Low - When this option is checked, the high and low extremes will be used to compute the Zig Zag legs. · Minimum Price Change (%) - Percentage that the price must move in order to form a new "zig" or "zag". · Draw Type, Color, and Style - The user has control over whether the result is drawn as a histogram or line, and over the color(s). · Draw Reference Line At X % - An optional reference line may be drawn at any % level. If 10% is selected, for instance, then two reference lines will be drawn, one at 10% and one at -10%.



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The Description The Zig Zag Oscillator indicator provides a way of viewing the Zig Zag Indicator information in a different form, oscillating about 0. The indicator represents the percent change at each bar of the current price from the base price of the current Zig Zag leg. When the Zig Zag is currently in an uptrend state, the Zig Zag Oscillator will be above 0. Similarly, when the Zig Zag is in a downtrend state, the oscillator will be below 0. Optionally, reference lines may be drawn at any percent change level. If a reference line value of 10% is specified, reference lines will be drawn at both 10% and -10%. It is common to draw the reference lines at the same level as the minimum percent change level, in order to clearly see when prices have reached the minimum required level. The Token ZZO The Zig Zag Oscillator can be accessed in the RTL language using the token ZZO.


Section

VI

Shortcuts

6

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Shortcuts This contains a list of different keyboard, mouse, and combined shortcuts that will greatly increase the productivity of MarketDelta®. It is highly recommended you memorize these or print them off for easy reference. Many of these shortcuts can be printed off in PDF format by visiting our support page and looking for Documents, Shortcuts, Tear Sheets.

6.1

Classic Footprint Tips Keyboard Shortcuts for Footprint® Charts Keystroke Resulting Action Notes Up Arrow Scroll Chart Up One Row Only has effect when chart is too big vertically for visible window. Mouse wheel also scrolls. Can also drag chart left or right to scroll or pan. Vertical Scroll bar also available. Down Arrow Scroll Chart Down One Row Right Arrow Scroll Chart Right/ Only has effect when chart is too big Forward One Bar horizontally for visible window. Can also drag chart up or down to scroll or pan. Horizontal Scroll bar also available. Left Arrow Scroll Chart Left/Back One Bar Shift-Right Arrow Scroll Chart Forward One Decreases the "X" in "Ending X Days Day/Profile Back" by one Shift-Left Arrow Scroll Chart Back One Increases the "X" in "Ending X Days Day/Profile Back" by one Shift-Up Arrow Increase Height of Rows Shift-Mouse Wheel also works Shift-Down Decrease Height of Shift-Mouse Wheel also works Arrow Rows Ticker Symbol + Changes to that Ticker Type in a new ticker symbol (like "IBM") Enter Symbol then hit Enter Esc Close the Chart The Escape key can be used to close most all windows types Ctrl-Enter Open Chart Preferences The Ctrl-Enter combination will open preferences on most all windows Double-click Open Chart Preferences Double-click anywhere inside the chart window Space Bar Refresh Data Downloads tick data in order to refresh data in chart Tab Key Toggles the Button Area Button pane is always visible when On/Off window first opens.


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Keystroke Number + Enter

6.2

Resulting Action Changes Bar Period

Notes Type in any number, and then enter, to change the period of the bars to that number. For instance, if you're looking at a 5-min chart, type 30-Enter to change to 30-minute.

Market Profile Tips Keyboard Shortcuts for Market Profile® Charts Keystroke Resulting Action Notes Up Arrow Scroll Chart Up One Row Only has effect when chart is too big vertically for visible window. Down Arrow Scroll Chart Down One Row Right Arrow Scroll Chart Forward One Decreases the "X" in "Show X Profiles/ Day/Profile Days" by one Left Arrow Scroll Chart Back One Increases the "X" in "Show X Profiles/Days" Day/Profile by one Shift-Right Scroll Chart Forward One Decreases the "X" in "Ending X Days Arrow Day/Profile Back" by one Shift-Left Arrow Scroll Chart Back One Increases the "X" in "Ending X Days Back" Day/Profile by one Shift-Up Arrow Zoom In Vertically Increases the "Show Height Range" values by one Shift-Down Zoom Out Vertically Decreases the "Show Height Range" Arrow values by one Ctrl-Up Arrow Zoom In Horizontally Increases "Block Width" by one. (for "Show Blocks" only) Ctrl-Down Zoom Out Horizontally Decreases "Block Width" by one. (for Arrow "Show Blocks" only) Ticker Symbol - Changes to that Ticker Type in a new ticker symbol (like "MSFT") Enter Symbol then hit Enter Esc Close the Chart The Escape key can be used to close most all windows types Ctrl-Enter Open Chart Preferences The Ctrl-Enter combination will open prefs on most all windows Double-click Open Chart Preferences Double-click anywhere inside the chart window Shift-Click Toggles Splits Toggles Splitting of Letters for Profile clicked on Ctrl-Click Merges Profile Right Merges the Profile clicked on with the one to it's right ©2003 - 2009 MarketDelta LLC. All Rights Reserved.

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Keystroke Resulting Action Notes Ctrl-Shift-Click Removes Splits/Merges Removes any splitting or merging from the chart Shift-Move Crosshairs/Highlighter Hold down the shift-key while moving cursor across chart. This only works when the Info Box is active.

6.3

Footprint and Multi-Pane Tips Working with Charts To Change Symbols - To change ticker symbols type the first few letters of the ticker symbol and press enter or double click the instrument from the Select Instrument window that pops up. If you symbol is not listed, a window will pop up asking for you to enter it. To Add Technical Indicators - Press the INSERT key or click the "Add Indicator" button on the chart's toolbar. Indicators can only be added to traditional chart types and NOT Footprint® and Market Profile® charts. To Float Windows - Right click on a window and choose "Float Window". You can then drag it to any screen attached to your computer. To dock the floating window right click it and choose "Floating Window" again. To Access Other Menus - Right-click or double clicking in any open area of the chart window to access a contextual menu of common chart-related functions. To Save Charts - Click Save on the chart toolbar or use File: Save to assign the chart setup a name. When you want to view this chart again, use File: Open: Chart and select its name. The Open Chart button on the main toolbar works similarly. Zoom In, Zoom Out - The Up and Down Arrows are used to increase and decrease the Pixels Per Bar. The down arrow actually increases the pixels per bar by one pixel, and conversely, the up arrow decreases the pixels per bar by one pixels. So if you would like to zoom in on your chart, simply hit the down arrow a few times. And if you would like to zoom out on your chart, hit the up arrow a few times. If you want to expand or contract the chart spacing more quickly than one pixel at a time, hold down the shift key while pressing either the up or down arrow keys. The shift key tells MarketDelta® to increase or decrease the pixel spacing four pixels at a time. Internally, the up arrow actually decreases the "Pixels per Bar" setting that can be found in the chart preferences by one pixel. The Down Arrow increases the pixels per bar by 1 pixel. The result is a zooming effect, in which the bars increase or decrease in size, and more bars enter or exit the left hand edge of the chart.


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Zooming With Mouse- You can zoom quickly using the mouse, by simply dragging the horizontal scale (along bottom of chart) to the left or right. Dragging to the right zooms out; dragging to the left zooms in. Horizontal Scrolling - You can scroll left or right in your chart window by just using the left and right arrows on your keyboard. The left arrow key scrolls one window into the past, while the right arrow keys scrolls one window forward. The Home and End keys also scroll the time to the most recent (right) position or oldest (left) position. Vertical Scrolling - Move your mouse to the far right side of the chart window, press and hold the left mouse button and drag up or down. See how! Change the Periodicity - If you'd like to change the periodicity of any chart, just bring the chart to front and start typing any number. The "Periodicity" control will appear with the number you typed already placed into the Intra day Bars group box. You can now click on any of the buttons on the left to switch to those periodicities (the buttons labeled simply with numbers represent number of minutes). You can also build your own customized periodicity by using the group box on the right. Once you've got your periodicity set up properly, just click "OK" or hit the "Enter" key on your keyboard and the chart will update with the new periodicity. There are a few shortcuts available with the Periodicity control. Type the D key to quickly switch to daily periodicity. Similarly, type W or M to switch to Weekly or Monthly. Type T to select the "Ticks Per Bar" intra day periodicity. Similarly, type "I", "R", "C", or "V" to select "Time Per Bar", "Range Per Bar", "Change Per Bars", or "Volume Per Bar". So if you're looking at a chart of any periodicity, and you want to switch it to daily, just type "1d". If you're looking at a 1 minute chart, and you want to switch it to a 13 minute chart, just type "13 Enter". Cycling through Chart Periodicities - The Right and Left Arrows, as noted above are normally used to scroll the chart in time. However, if you hold down the ctrl key while pressing the left or right arrow keys, MarketDelta® changes the periodicity of the chart in the sequence: tick, 1-min, 3-min, 5-min, 10-min, 15-min, 30-min, 60-min, Daily, Weekly, Monthly. For example, if you are looking at a daily chart, then one ctrl-right arrow changes to Weekly, another one takes you to Monthly, another to tick, 1-minute,… etc. If you start with a 5-minute chart, ctrl-left arrow changes the chart to 3-minute while ctrl-right arrow takes you to 10-minute. Viewing Saved Charts - If you click the left and right arrows with the Shift key depressed, you will cycle through the saved Charts. The cycling order will be based on Alphabetical order of the chart titles in the "Open: Charts" Menu. Using the Shift-Right Arrow, you will cycle through the traditional charts in alphabetical order, while Shift-Left Arrow will take you through the charts in reverse alphabetical order.


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Change the Active Symbol/Instrument - If you'd like to change the active symbol in any chart, just bring the chart to front and start typing the new ticker symbol. A "Replace Instrument" will pop up, automatically scrolled to the ticker symbol best matching the sequence of characters you've typed so far. Once your symbol is selected, simply hit "Enter" and the chart will update to the new symbol. If the symbol doesn't exist in this list (and therefore has not yet been added to your MarketDelta® database), just hit the Insert key on your keyboard, and a window will appear in which you can type and add your new ticker. Add Symbol - The SHIFT+INSERT combination on your keyboard brings up the "Add Instrument" Window. Use this to add a second instrument to your traditional charts. Selecting A Chart Object - You can click on an object in a chart to select it. Objects include bar graphs, candlesticks, connected lines, technical indicators, etc. Objects change appearance slightly when selected. For instance, moving average lines will become slightly thicker when selected. If you have difficulty selecting an object, press the Tab key repeatedly until the object you want is selected. Once an object is selected, you can do several things with it. You can hit the "Delete" key to remove it from the chart (on the Macintosh platform, the "forward del key" is used. You can hit the "Enter" key to bring up the properties or preferences for that object, or you can drag and drop that object into another window pane, or drop it onto another pane title in order to place it into a new pane. When dragging and dropping technical indicators within a chart window, holding down the ctrl key while dropping the indicator causes the indicator to be duplicated in the new position. For example, if you have a MACD in its own pane and want to see what it would look like overlaid on the instrument pane, ctrl-drag and drop the MACD into the instrument pane. When you drop the MACD, it will now appear in both places. If the scaling appears off, it is because the two objects are sharing a single scale. In order to turn on multi-scaling, double-click in the Vertical Scale to bring up the scaling preferences, and check the "Use multiple scales as required" checkbox. Chart Preferences - You can access the chart preferences window quickly by just double clicking or right clicking in the horizontal scale at the bottom of the chart. On the Macintosh platform, a "right click" is "control-click". Vertical Scale Preferences - You can access the vertical scale preferences quickly by double clicking or right clicking in the vertical scale on the right side of the chart.


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Miscellaneous Keyboard Shortcuts - With a chart window in front, press the esc key to close it. Press the enter key to edit the currently selected graph element-if no element is selected, the update dialog for the first instrument in the chart appears when the enter key is pressed. If the slide show controller window is open, pressing the space bar advances to the next chart in the slide show. This shortcut can be used even if the slideshow is already advancing on its own. Additional Keyboard Shortcuts - You can create your own shortcut key for any of the Traditional Chart Toolbar functions (or any other toolbar for that matter). Simply go to "Setup Preferences: Keyboard Shortcuts". First, specify the shortcut key combination you would like to assign at top, for instance, Shift-F2. Now, for the Action, select "Toolbar" and then "Chart", and then select the toolbar function you would like to assign to your shortcut key. Select Apply. You can also set shortcut keys for adjusting the periodicity of the chart by choosing "Periodicity" in the Action. Creating Right Margin / White space - If you would like to create some space between the current bar and the vertical scale, you can do this by shift-dragging the horizontal scale along the bottom of the chart to the left. Internally, this just increases the "Look ahead Period" which can be found in the chart preferences. The look ahead period dictates how many bars of white space will be left between the current bar and the scale. To remove this space, just shift drag the horizontal scale back to the left. This space can be used for things like horizontal reference line annotation, trend line projections, etc. Adding Technical Indicators - The "Insert" key on your keyboard quickly invokes the "Add Technical Indicator" window. Once this window pops up, you can hit the first character of the indicator you wish to add. For instance, if you would like to add a Volume Breakdown to your chart, simply hit "Insert", followed by "V", and then Enter. If your indicator is not the first one to start with that letter, keep hitting the letter until your indicator appears. Once your indicator appears, set your preferences and hit Enter to add it, or hit the Esc key to cancel the window. Adjusting Technical Indicators - The key to adjusting technical indicators is first being able to select the indicator in the chart. There are two ways to accomplish this. You may select the indicator by either clicking on it with the mouse, or by clicking the chart once then using the "tab" key on your keyboard. The keyboard method is a good option when either you find it difficult to select the indicator with the mouse, you prefer not to use the mouse when not necessary, or the indicator isn't currently visible in the chart window. Closing The Chart - Just hit the Esc key. If a technical indicator or instrument is "selected" in the chart, the first strike of the Esc key will just unselect that indicator or instrument, and it will take a second strike of the Esc key to close the chart. Crosshairs - Hold CTRL+SHIFT down to quickly have crosshairs show up whichever chart your mouse is over.


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Open A Chart- Hit Alt-1, then just start typing the name of the chart you would like to open until the name is selected, then hit Enter. Cycling Through Open Charts - You can hold down the Ctrl-key while hitting Tab repeatedly to cycle through all your open windows. This is standard windows behavior but I thought some of you might not be aware of this as it is a very helpful feature you should become familiar with. Along the same lines, Alt-Tab cycles through open programs. Download Data Into Chart - Hitting the "space" key on your keyboard with a chart in focus will cause a download for that chart. The green circular arrow button on the lower right hand corner of all charts also performs a download, or refresh, of your chart. It will download for the visible period in your chart. Panning - Just drag any open space on the chart (excluding the scales) in any direction, and the chart will move along with your mouse. Changing Vertical Scale Options - A small letter in the upper right corner of your vertical scale denotes which scaling option you have turned on. M for Manual, A for Automatic, and O for Instrument-Only Automatic. Click on this letter to cycle through the three options. Click on the O will change it to an A, clicking on the A will change it to an M, etc. Scrolling Vertically - All windowpanes may be scrolled vertically by dragging the right half of the vertical scale up or down. Stretching or Compacting Vertically - Drag the left half of the vertical scale up or down to compact or stretch the chart vertically. To stretch or compact the bottom edge of the chart, drag the lower half of the scale, to stretch or compact the upper edge, drag the upper half of the scale. Dragging Indicators - You can drag and drop indicators from one window pane to another by simply left mouse downing on them and dragging (while keeping the left mouse depressed). To drag an indicator into it's own window pane, drag the indicator down and drop it into the horizontal scale. Indicators may be overlaid or in their own pane. Adjusting the order of chart elements - You can adjust the order of chart elements by ctrl-clicking in the vertical scale. This will adjust two things; it will adjust the order in which the elements are drawn into the windowpane. It will also adjust the order in which the elements are displayed in the pane title bar. So if one of your indicators is drawing behind your bars and you want to bring it to the front, try ctrl-clicking in the vertical scale until it comes to the front. If an element is not visible in the pane title feedback bar, ctrlclick in the vertical scale until it is.


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For more control over the order of chart elements, shift-click in the vertical scale (or right-click on the pane title) to bring up the "Order Chart Pane Elements" window. This window gives you complete flexibility with respect to the order of the elements/objects in the pane. Maximizing A Chart Window Pane - Double-click on the pane title bar to maximize a windowpane. Then double-click again to restore. Ctrl-Double-Click will make all panes equal size. Shift-Double-Click will give the instrument pane 66% of the chart window, and share the rest of the space among the remaining panes.

6.4

Quote Page Tips Quote Pages are spreadsheets in MarketDelta® designed to display information for a list of securities (instruments). Each row represents an instrument or ticker symbol, and each column represents a piece of data associated with the instrument. Quote Pages are powerful tools for displaying large amounts of dynamic data in one table. Quote Pages are also used throughout MarketDelta® to provide a way of grouping instruments. For instance, Quote Pages are used as inputs for Scan, in order to communicate to the scan which list of instruments it should operate on. Scans also output resulting Quote Pages in order to communicate to the user the instruments that successfully passed the scan criteria. System vs. User Defined Quote Pages - User-defined quote pages are quote page that were created and saved by the user. System quote pages are quotepages maintained by MarketDelta® that group instruments based on certain characteristics of the instruments. For instance, the ".Stocks" quote page contains all the instruments that are defined with a Security Type of "Stock". Similarly, the system quote page ".Intra day" contains all instruments that are marked for Intra day data collection. The ".All Symbols" system defined quote page contains all instruments that currently exist in MarketDelta®. If you delete (Red Trashcan) an instrument from any quote page, it will be removed from all quote pages including the ".All Symbols" quote page. On the other hand, if you just remove (Green Trash can) an instrument from a user defined quote page, it will be removed from that quote page, but will still exist in the system and in the ".All Symbols" quote page. The instruments and properties of user defined quote pages will not change unless you actively make those changes, while instruments in system defined quote pages may change based on external changes in the system. Sorting Quote pages - You can sort quote pages by most quote page columns. To sort the quote page in descending order, Shift-click on the quote page column heading for the column on which you'd like to sort. In other words, if you would like to sort by ticker symbol in reverse alphabetical order, shift-click on the word "Ticker" in the column heading for that column. Conversely, if you would like to sort in ascending order, ctrlclick on the column heading for the respective column. So if you would like to sort your quote page by percent change, showing the biggest losers at the top, you would ctrlclick on the word "% Change" in the column heading for that column.


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Inserting New Tickers - You can insert a ticker symbol into a quote page quickly by pressing the "INSERT" key on your keyboard to create a new row, and then typing in the ticker symbol. You may want to right click on the ticker symbol and choose "Setup" to make sure your ticker symbol is set up correctly. You can also quickly remove a ticker from a quote page by clicking on the ticker and the pressing the "Delete" key on the keyboard. This will simulate the Green Trashcan button on the quote page toolbar. When tickers are defined in this fashion, the newly defined instruments are created with the default settings found in Setup: Preferences: Instruments. For example, if you use MarketDelta® primarily to track equities, then set the default security type to "Stock" so that typing new tickers into a quote page will always create "stock" type instruments automatically. Double Clicking on Ticker - If you go to "Setup Preferences: Charts: General", you can specify what action you would like taken when double-clicking on a ticker symbol in a quote page.. You can choose to open up a new default chart window with that ticker, or to substitute the ticker symbol in the front most chart window. This default behavior can also be overridden with the Shift and Ctrl keys. If you would like to force a new chart window to be open up, hold down the Shift key when double clicking. If you would like to force substitution, hold down the Ctrl key while double clicking. Closing a Quote Page - To quickly close a quote page when the quote page is the front window, press the esc key. Highlighting Rows and Columns - You can highlight any row or column in your quote page. To highlight a column or ticker symbol, right click on the ticker and choose "Highlight". Each ticker can have it's own color. If you would like to change the highlight color of a ticker, right click on the ticker and choose "Setup". The highlight color can be specified in this setup window. If you would like to highlight a specific column in a quote page, just right click on the column and choose "Highlight". The highlight color can be specified in the quote page preferences window. To access the preferences window, click on the Quote Page Preferences button in the quote page toolbar (3rd button down on the left when the toolbar is oriented vertically). Rearranging Columns or Rows - You can reorder the columns and rows in a quote page at any time. To move columns, mouse down on the column heading and drag it and drop it in the desired position. To move rows or ticker symbols, click on the symbol and then click on either the "Move selected row up" or "Move selected row down" buttons on the quote page toolbar (4th down on right and left). The positions of the rows and columns will be saved with the quote page. Note that if the "sort" option is turned on for a quote page, there is no point in arranging the row since the rows will be sorted by some criteria when the page is opened. Also note that "system defined" quote pages always open in alphabetical ticker sequence unless a sorting option is specified for the system defined quote page. There is therefore no point in arranging the order of the rows in system defined pages.


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Saving a Quote Page Format- The format of a quote page refers to the columns in a quote page, and the order of those columns. To learn how to save the format of one quote page so that it may be applied to future or other existing quote pages, click here.... Showing / Hiding Toolbar - Sometimes, the quote page toolbar gets in the way and you may want to close it. There is a button in the upper right hand corner of the quote page window with a "+" sign label that will toggle the quote page toolbar on and off. The button is just above the right scroll bar. You can also toggle this toolbar from the menu by choosing "Window: Toolbars: Quote Page Toolbar".


Section

VII

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7


Tutorials MarketDelta® has so much functionality that at times things can get a bit confusing. In this section we included some selected topics and created tutorials based on questions we receive.

7.1

Periodicity Periodicity is the measure by which a new bar will be created. There are many ways to define when a new bar will be created in MarketDelta®. Each method has different benefits. Some of these are only available on the Footprint chart because they are particularly useful with the Footprint® display. A description of each periodicity type is below. Some have screenshots for purpose of examples. All periodicities are available in every edition of MarketDelta. Knowledge Base - Here is an excellent article providing more in-depth information on time frames and periodicities. How to Change Periodicity To change the periodicity on any chart just begin typing a number. Up will pop the window below and you can just press enter or click OK once you have typed in the value. If you are using the Classic Footprint or Market Profile chart their unique preferences window will open and you can change it there.

To change the periodicity on traditional charts just type a number and this screen will appear.

· Minutes - Time-based bars composed of any number of minutes. · Range - Volatility based bars composed of any range of price. Each bar has the same high/low range.


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Here is an example of a .10 range bar for the Bund futures contract, a fixed income credit derivative. This would be equivalent to 10 ticks in the Bund. 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. 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. · 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. ©2003 - 2009 MarketDelta LLC. All Rights Reserved.

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· 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. · Volume - Activity based bars composed of any amount of volume. Each bar has 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.


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· 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. · Seconds - Time-based bars composed of any number of seconds. · 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 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 and red bars at the top of the bar or column represents the column designator which is simple stating the designation of the bar (up or down according to the point and figure methodology). 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.


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An example would be if the column were designated up and it was set to a 5 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 5 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.

Key points to understand: 1. Footprint® series down. 2. Tick reversal set to five (5). 3. MarketDelta® waits for fifth price from the high or low of the current column to signal a reversal within Footprint® series. 4. Shift column when fifth reversal price is traded. 5. New Footprint® series begins in up direction.


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· 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. · 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. There are 3 methods for having a new bar (column) created on the Footprint®: Tick reversal (point & figure model), time increment, and tick count. · Delta - Builds new bars based only after a specified delta is achieved. Specifying a delta of 2000 would create bars that consisted of 2000 delta, irrespective of the volume or time it took to create them. Below is a 2000 delta ES chart using the Delta Footprint®. Pay special attention to the delta


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· Delta Reversal - (FAQ) Like reversal charts which are based up on the point and figure methodology, delta reversal charts also use the same methodology. The difference is instead of using price to be the determinant of the reversal, delta is used. So specifying a delta value of 3000 will require the delta for the bar to move opposite the indicated direction of the bar before it starts a new column. Watch a video here on the delta reversal. · POC Volume - Creates a bar until a specified amount of volume is achieved in one of the Footprints®. For instance, if plotting the SPY with a setting of 500,000, each bar would continue to build until 500,000 shares had traded at a particular Footprint. This periodicity is very much like a constant volume bar, except this is looking for a “constant price volume” on a vertical axis instead of the horizontal axis. Learn more and see screenshots here. · Volume Breakout - For this type, the range of the bar is determined once the volume level specified is achieved. Then when price breaks out of this range a new bar is formed. For instance, if plotting the ES (S&P emini futures) using a15,000 volume breakout setting, the range of prices that traded during the first 15,000 contracts will be the entire range for that bar. Only when price trades outside of that range will a new bar begin. If price trades within that initial range for a while longer the bar will just continue to rack up volume but not extend the range, essentially showing complacency with that range of prices. Once price breaks out of that range a new bar will start. Learn more and see screenshots here.


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· Heavy Sided - This creates a new bar only when a specified volume amount is traded on the bid side or ask side of a Footprint. For instance, if 2000 is specified in the Bund futures contract, then only after 2000 or more contracts have traded on either the bid or ask at a particular Footprint (price) will a new bar start. The idea behind this type is to identfy levels of supply and demand that attract size to one side of the market. Learn more and see screenshots here. · Price Delta - Creates a new bar when the entered delta value is achieved for any price within the current bar. For instance, if the price delta value chosen is 2000, then as soon as any price within the current bar achieves a delta of + or - 2000 a new bar will start. See screenshots here.


VIII

Section

Strategies for MarketDelta

8

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Strategies for MarketDelta A great place to learn strategies is by visiting our Strategy page on the website. There are various resources available, including video recordings, Strategy Guide, and annotated snapshots. Also visit the MarketDelta® Blog for frequent examples from recent market activity. A great place to learn from the MarketDelta® community is at http://www.seeinsidethechart.com. Subscribe to the RSS feed and be updated anytime a new post is added to the blog.


Section

IX

Company

9

679

Company Global Operations Center MarketDelta® LLC CBOT Building 141 W. Jackson Blvd, Suite 3706 Chicago, IL. 60604 Phone 1.312.922.7800 Fax 1.312.922.7801 Regional Support Numbers U.S +1 312 922 7800 U.K +44 20 3287 9954 Asia/PacRim +61 2 8003 4996 See our support policy prior to contacting us. Support [email protected] Sales | Billing | Cancellations [email protected] Ideas | Suggestions [email protected] Company Information MarketDelta® LLC is a technology and software as a service company based in Chicago, IL at the Chicago Board of Trade Building. Our success stems from sheer determination to offer out something different to traders and exploit developments brought about from electronic markets. MarketDelta® fits the needs of professional traders worldwide by providing a way to "See Inside the Chart®" and yield better price transparency. MarketDelta® provides charting and analytics software to professional traders around the world. Our Footprint® chart put us on the map and is discovered by more and more traders every day. The level of price transparency it provides is unrivaled and recognized as an innovative leap forward for active traders seeking better price transparency, better visuals for the markets they trade, and algorithmic trading idea development. We have 3 primary business segments. 1) Our core product, MarketDelta® desktop software, was developed with discretionary traders in mind and is our core business. 2) Licensing the Footprint® to other vendors. 3) Taking our ideas and concepts and partnering with top tier algorithmic trading software providers to market the concepts to those trading algorithmically.


680


Intellectual Property MarketDelta® protects its intellectual property through patent, copyright, and trademark. In an effort to make our technology available to other vendors, companies, developers, and individuals, we created a license agreement that allows the Footprint® chart to be licensed, integrated, and re-sold. Please visit this page for more information. Trademark Information MarketDelta, Footprint, Footprint Chart, and See Inside the Chart are registered trademarks of MarketDelta LLC, an Illinois Limited Liability Corporation. All rights reserved.


Index

Index

-MMarket Profile

-AAlarm

-O-

207

Options

-BBid Ask 46, 94 Bid Ask Footprint

148, 149, 206

210

-P46, 94

-CColor Shading 127 Company 14 Contact 14 Custom Column 208 Custom Indicator 209 Custom Profile 204

Pair 209, 211 Periodicity 668 Phone Number 14 Point & Figure 205 Premium Indicators 148 Profile Footprint 52, 102

-QQuote page

207

-D-

-R-

Database 223 DDE 196 Delta 48, 95 Delta Footprint 48, 95 Delta Percent 54, 106 Duplicate 196

Raw Tick 206 Reconfigure 199 Register 198 Revert 196

-E-

-S-

Footprint 43, 91, 206 Futures 210

Save 196 Scan 212 Schedule 212 Setup Chart 208 Setup Instruments 211 Share Picture 197 Shortcuts 657 Signal 217 Spreads 209, 211

-I-

-T-

Excel Export

196 198

-F-

Import

198


Technical Indicators 202 Three Line Break 206

681

682

TLB


206

-VVolume 49, 97 Volume Footprint

49, 97


Market Delta Help Manual

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