Presentation to
Phoenix4x
Hotcomm Room
November 07 2004
Market Profile
Presentation Nov. 07th 2004
by
Alex Benjamin
The Small Print
&
Disclaimers
U.S. Government Required Disclaimer
-
Commodity Futures Trading Commission
Futures and options trading has large potential rewards, but also
large potential risks. You must be aware of the risks and be willing to
accept them in order to invest in the futures and options markets.
Don’t trade with money you can’t afford to lose. This presentation
together with any and all related documents, videos, websites are
neither a solicitation not an offer to buy/sell futures or options. No
representation is being made that any account will or is likely to
achieve profits or losses similar to those discussed in this document
or related videos or websites. The past performance of any trading
system or methodology is not necessarily indicative of future results.
Commodity Futures Trading Commission
-
CFTC RULE 4.41
HYPOTHETICAL OR SIMULATED PERFORMANCE RESULTS
HAVE CERTAIN LIMITATIONS. UNLIKE AN ACTUAL PERFORMANCE
RECORD, SIMULATED RESULTS DO NOT REPRSENT ACTUAL
TRADING. ALSO, SINCE THE TRADES HAVE NOT BEEN EXECUTED,
THE RESULTS MAY HAVE UNDER-OR-OVER COMPENSATED FOR
THE IMPACT, IF ANY, OF CERTAIN MARKET FACTORS, SUCH AS
LACK OF LIQUIDITY. SIMULATED TRADING PROGRAMS IN
GENERAL ARE ALSO SUBJECT TO THE FACT THAT THEY ARE
DESIGNED WITH THE BENEFIT OF HINDSIGHT.
NO REPRESENTATION IS BEING MADE THAT ANY ACCOUNT WILL
OR IS LIKELY TO ACHIEVE PROFIT OR LOSSES SIMILAR TO THOSE
SHOWN.
COPYRIGHT
Trademarks, Service marks and Trade
Names where applicable are recognised
and ALL RIGHTS RESERVED.
Specifically but not limited to:
[Link] ©2004 CQG,Inc. All rights reserved worldwide
marketprofilesm is licensed to CBOT®
©2004 Alex Benjamin
AlleyB
Who is he?
Alex Benjamin
Principle Office
ALT Capital Management LLC
93 Estridge Way
Tonbridge, Kent. TN10 4JX
United Kingdom
Tel : +44 1732 352 720
Tel: +44 7880 600 349
Email: alleyb_uk@[Link]
Email: alex@[Link]
Email: alex@altcap[[Link]
IM: alleyb_uk
Alex Benjamin
began trading in 1975, trading multi currency Eurobonds for Grieveson, Grant & co.
1978 employed by Euroseas Securities of Qatar as a Eurobond market maker moving on
in 1979 to PrivatBanken of Denmark as an Assistant Mutual Fund trader.
1981 joined Arab International Finance a Luxembourg based investment bank as head of
fixed income trading.
1984 requested by Banque Nationale de Paris (BNP) to run a Government Bond arbitrage
division.
1990 Chemical Bank, Frankfurt head hunted Alex to run the Futures Trading division.
1991 applied for a work visa from The U.S. Immigration authorities who granted this in
June 1991 and Alex developed in conjunction with MP a proprietary trading module
trading futures contracts globally based out of Chicago.
1992 Cantor Fitzgerald Inc requested Alex to return to London and subsequently move to
Paris to organize its role in French Government Bond trading.
1995 Cargill Inc requested Alex to run its futures execution broking desk in London until
September 2001 when Tradition Securities & Futures asked Alex to join its global futures
execution division.
January 2004 Alex returned to his proprietary trading module and is based in United
Kingdom managing ALT Capital Management LLC. He will be applying for registration as
a CTA and membership within the NFA in Q1 2005.
He has been affiliated with or consulted for many of the largest Hedge Funds mainly
based in or around New York.
Alex graduated from Sorbonne University with a B.A. degree in Economics specializing
in statistics in 1973.
MP
z you just do not know what is
around the next corner, or even
where the corner is.
z The more I study the MP and LDB,
the more it makes sense to me, and
the more that I think to trade
without it…. is like walking into a
cave without a flashlight…
1/4/2005 ©2004 Alex Benjamin 9
What is MP
z Origins
How & Who
z Method or System
Subjective or Objective
Arbitrary or Random
z The Future
Development
Application
1/4/2005 ©2004 Alex Benjamin 10
The MP Setup
What is MP & Auction Market Theory:
Dual Auction Process
Balance & Imbalance
Consolidation or Trending
Continuation or Change
Acceptance or Rejection
1/4/2005 ©2004 Alex Benjamin 11
The MP Setup
z MP – Decision Support Tool
z Anticipation or Prediction
z Probabilities
z Analysing the present in real time to be
able to better understand the future
1/4/2005 ©2004 Alex Benjamin 12
The MP Setup
z How is it setup:
1/4/2005 ©2004 Alex Benjamin 13
Bell Curve Breakdown
1/4/2005 ©2004 Alex Benjamin 14
The Standard Bell Curve
Mean
40.00%
34.12% 34.12%
35.00%
30.00% Standard Deviations
25.00%
20.00%
13.59% 13.59%
15.00%
10.00%
5.00% 2.14%
2.14%
0.00%
-3 -2 -1 1 2 3
1/4/2005 ©2004 Alex Benjamin 15
Example of a Normal Distribution
50.00%
45.00%
40.00%
35.00%
30.00%
25.00%
20.00%
15.00%
10.00%
5.00%
0.00%
55 70 85 Mean 115 130 145
(100)
1/4/2005 ©2004 Alex Benjamin 16
The Standard Bell Curve
Mean
40.00%
34.12% 34.12%
35.00%
30.00% Standard Deviations
25.00%
20.00%
13.59% 13.59%
15.00%
10.00%
5.00% 2.14%
2.14%
0.00%
-3 -2 -1 1 2 3
1/4/2005 ©2004 Alex Benjamin 17
The MP Setup
Alex’s Adjusted Standard Bell Curve:
1st Standard Deviation 70%
2nd Standard Deviation 20%
3rd Standard Deviation 10%
1/4/2005 ©2004 Alex Benjamin 18
Classic 30 Minute Bar Chart
1/4/2005 ©2004 Alex Benjamin 19
The MP Setup
z How is it Setup:
IA
>IAC
IACDF I
IACDFG I
IACDEFG I
IABCDEFGH I
IABCDFGH< I
IABCDH I
1/4/2005 ©2004 Alex Benjamin 20
The MP Setup
z What do all the various lines and
letters mean
1/4/2005 ©2004 Alex Benjamin 21
The MP Setup
IA
>IAC
IACDF I
IACDFG I
IACDEFG I
IABCDEFGH I
IABCDFGH< I
IABCDH I
1/4/2005 ©2004 Alex Benjamin 22
The MP Setup
IA
>IA C
IA C D F I
IA C D F G I
IA C D E F G I
IA B C D E F G I
IA B C D F G H< I
IA B C D H I
1/4/2005 ©2004 Alex Benjamin 23
The MP Setup
Open:
>
1/4/2005 ©2004 Alex Benjamin 24
The MP Setup
IA
>IAC
IACDF I
IACDFG I
IACDEFG I
IABCDEFGH I
IABCDFGH< I
IABCDH I
1/4/2005 ©2004 Alex Benjamin 25
The MP Setup
Initial Balance or Opening Range
I
>I
I
I
I
I
I
I
1/4/2005 ©2004 Alex Benjamin 26
The MP Setup
Initial Balance or Opening Range:
IA
>IA
IA
IA
IA
IAB
IAB
IAB
1/4/2005 ©2004 Alex Benjamin 27
The MP Setup
Value Range:
I
I
I
I
I
I
1/4/2005 ©2004 Alex Benjamin 28
The MP Setup
Close:
<
1/4/2005 ©2004 Alex Benjamin 29
The MP Setup
IA
>IAC
IACDF I
IACDFG I
IACDEFG I
IABCDEFGH I
IABCDFGH< I
IABCDH I
1/4/2005 ©2004 Alex Benjamin 30
MP: Auction Market Theory
z Facilitation
z Auction Reference Points
– Related Prices
• Fair or Unfair Prices
z Comparison
• Identify – Where is the Market
• Identify – What is the Market trying to do
• Identify – Where is it going
z Interpretation
• Probable Outcomes
• Trading Strategy
1/4/2005 ©2004 Alex Benjamin 31
MP
What is MP & Auction Market Theory:
Dual Auction Process
Balance & Imbalance
Consolidation or Trending
Continuation or Change
Acceptance or Rejection
1/4/2005 ©2004 Alex Benjamin 32
MP
z Volume
– Supply
– Demand
• Support
• Resistance
• Balance
• Imbalance
1/4/2005 ©2004 Alex Benjamin 33
MP
z Accumulation / Mark Up / Distribution
z Consolidation / Trend / Consolidation
z Volume must be considered in
proportion to the activity of the
market - taking into account Fair or
Unfair Prices
1/4/2005 ©2004 Alex Benjamin 34
MP: Value
z Reality or Perception
z Balance
z Range Extension
z Probe
z Directional
z High Volume – Points of Control
z Low Volume – Inflection Points
1/4/2005 ©2004 Alex Benjamin 35
MP: Example of Volume
1/4/2005 ©2004 Alex Benjamin 36
MP: Example of Volume
1/4/2005 ©2004 Alex Benjamin 37
MP: Example of Volume
1/4/2005 ©2004 Alex Benjamin 38
MP: Example of Volume
1/4/2005 ©2004 Alex Benjamin 39
MP: Books
z J. Peter Steidlmayer
– A New Approach to Trading
– Trading with Market Profile
z James Dalton
– Mind over Markets
z CBOT
– [Link]
z Donald L Jones
– Value Based Power Trading
– [Link]
1/4/2005 ©2004 Alex Benjamin 40
MP: Liquidity Data Banks
z [Link]
z Software that allows traders to work with raw
market data provided by the exchange
z [Link]
z Huge resource for those prepared to hunt
z [Link]
z Real-time analytical modules and historical
research data
1/4/2005 ©2004 Alex Benjamin 41
Market Profile
Presentation Nov. 07th 2004
to Phoenix4x
Hotcomm Room
by
Alex Benjamin
