Edition

IFTA JOURNAL
2017 EDITION
Problems and limit of present study
Using minute data can enhance the quality of analysis.
However, only short-term data is available now, and drawing
the chart for Market Profile is time-consuming, so long-term
analysis is difficult to conduct in the same way by using
Microsoft Office Excel. EMP 2.0 mentioned in this thesis needs
to be handled in a sensitive manner because EMP value must
change with different units, and the market-wise EMP definition
may be required with transition of the market. Larger data than
was used in this thesis are required to enhance the quality of
analysis. Additionally, combining other technical information
will help to enhance the quality of analysis by incorporating the
advice of many experienced technical traders who have devoted
a lifetime to developing their technical systems.
Suggestions for further study
According to analysis and verification for trend day definition
with EMP 2.0, there was obvious differences for Nikkei 225
futures, and in White candle and Black candle with 3 days
before until 2 days after occurrence of EMP 2.0. So it can be
said that EMP 2.0 is a useful and suitable indication for Nikkei
225 futures. EMP 2.0 can be utilized in high accuracy. So, in the
next thesis, verification for S&P 500, DJIA, and Nasdaq futures
and individual stocks needs to be conducted. By the test of
trend composition, both White and Black candle days’ “UP” and
“DOWN” phase tended to occur on Trend day. In “PEAK OUT”
and “BOTTOM UP” phase, EMP 2.0 tended to be unrelated to the
trend frequency.
Surprisingly, EMP 2.0 as the Trend day indicator is not useful
for the commodity market in which the Market Profile was
established. It is difficult to predict Trend Day occurrence for the
Gold and Oil markets, even through using EMP 2.0. Reliability
of Market Profile probably decreases in the Oil market, which
is highly volatile and has frequent price variations, and it might
be impossible to predict the future, even using intraday data of
the market stimulated with GLOBEX. So, for further analysis
and verification, time slot-wise investigation for GLOBEX and/
or drawing a Market Profile chart connecting each volume of
historical data will be required. And, it also was found that EMP
2.0 was not useful for JGB futures.
Additionally, accuracy will be enhanced for the ‘central-limit
theorem’ using increased numbers of the data. 3 Simultaneously,
further investigation is also required to increase the number of
the data where they were dismissed due to 0.05 difference of
p-value. Although in this thesis, data verification was focused on
using EMP 2.0 to predict Trend Day, EMP will be examined with
actual trading in the next thesis as a future subject. EMP works
like an oscillator, which has ability to correct. So, more accurate
analysis will be able to be conducted with a combination of the
EMP and other technical analysis, such as cycle analysis, as
Murphy, who is authority on futures technology, suggested. 13
Conclusion
In this thesis, we conclude the following three points as a
result of current investigations and analysis.
First, EMP 2.0 is useful for Nikkei 225 futures. In the next
thesis, S&P 500, DJIA, and Nasdaq futures will be verified with
an increased number of the data using EMP. The condition of
Trend Day frequency was verified by defining Trend Day using
EMP. In Nikkei 225 futures market, the condition of Trend Day
frequency was found through statistical differences divided
into White and Black candle day and composition of trend test
by a 5-day moving average.
Secondly, currently it is difficult to predict Trend Day
occurrence for Gold futures and Crude Oil futures, probably
because of high market volatility and easily varying price, and it
needs further analysis. It was found that EMP was not a useful
indicator for commodities, even though those markets are the
origin of the Market Profile. EMP 2.0 seems to be applicable
to stock futures index. It is different environment from 1980;
there is no floor market and there are more speculators than
commercial traders.
Thirdly, EMP 2.0 is not useful for JGB futures, and it required
further analysis.
In the next thesis, the other markets will be tested with
a larger volume of data using EMP, and this method will be
conducted using actual trades.
Notes
1
P.W Atkins, The Second Law, 1984 (W H Freeman& Co)
2
David R. Aronson, Evidence-Based Technical Analysis, 2007 (Wiley)
3
P. Billingsley, Probability and Measure, third edition,1995 (Wiley-Interscience New
York)
4
Chicago Board of Trade, A six study guide to Market Profile, 1996 (Board of Trade
of the city of Chicago)
5
James F. Dalton, Eric T. Jones, Robert B. Dalton, Mind Over Markets, 2013 (John
Wiley & Sons, Inc. Hoboken)
6
John F. Ehlers, Rocket Science for Traders: Digital Signal Processing Applications,
2002, Japanese translation (John Wiley & Sons) Japanese translation, pp.30-32
7
Brian S. Everitt, Torsten Horthorn, A Handbook of Statistical Analyses using R,
Second Edition, 2012 (Taylor & Francis Group) Japanese translation
8
Michael Jardine, Simple Ways to Profit from Predictable Market Moves, 2010 (Wiley)
9
Voit Johannes, The Statistical Mechanics of Financial Markets, 2003
(Springer Verlag)
10
Junji Kashiwagi, Market Profile, 2002 (Pan Rolling)
11
John Keppeler, Profit with the Market Profile, Identifying Market Value in Real
Time, 2011 (Marketplace books Inc, Columbia)
12
Don S. Lemons, A Student’s Guide to Entropy, 2013 (Cambridge University Press)
13
John J. Murphy, Technical analysis of the future markets, 1986 (New York
Institute of Finance) pp.437-482
14
Nippon Technical Analyst Association, Nippon Technical Bunseki Taizen, 2010
(Nihon Keizai Shinbunsha)
15
J.Peter Steidlmayer, Sterve B. Hawkins, Steidlmayer on Markets Trading with
Market Profile, 2003 (John Wiley & Sons, Inc., Hoboken, New Jersey)
16
Hono Suzuki, Entropy wo megurubouken, 2014 (Koudansha)
17
Joel Robbins, High Performance Futures Trading, 1995 (Probus, Chicago, Illinois,
Cambridge, England) pp.175-217
18
CME group about Market Profile (http://www.cmegroup.com/education/
interactive/webinars-archived/market-profile-interactive.html)
19
Donald L. Jones, Market Profile, Meta-Profile and Market Condition, 2007 (CISCO
Futures) http://www.cisco-futures.com/Profile_condition.html
20
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