HOW TO CALCULATE VALUE AREA FOR FREE

Step by step guide

To use Market Profile, many futures brokers will charge you for the data from $75 to $500 per
month. Obviously for a new trader this is a cost that is absolutely not justified.

Another issue with futures market is that some of the cross pairs that we trade at Angelo Capital are
only available in the forex spot market.

So while getting a market profile data served on a silver platter is great, to this day I still have to go
old school and do the MP value areas calculations the way they used to it in the pits: get the price
then use it to calculate Value by hand. Ok – so maybe we can skip the “by hand” part and use one of
the readily available online market profile calculators.

You’re going to need:

1. Excel spreadsheet program

2. Historical data from https://www.dukascopy.com/swiss/english/marketwatch/historical/

OR

From a London-based server Metatrader 4 – London Capital Group is one option, with realtime MT4
charts and servers. FXCM MT4 is good as well.

3. And finally the MP calculator http://www.mypivots.com/investment-calculators/market-profile-

calculator

I will warn you that this method takes a bit of getting used to and it’s not the easiest of steps, but
what it will do is give you an accurate Value Area.

For those who have tried using various available MT4 Indicators that claim to calculate MP, I will tell
you now that NONE of them is doing it right. Each and every one uses 24-hour calculation that
changes Value area as you change the timeframe. This is not the correct way of calculating VA.

To get the Value Area, we only need 30 min data, with only highs and lows that begin at Wall Street
opening time and end half hour before Wall St close. For most instruments this time is from 14:30 to
20:30. But there are a couple of exceptions to this. I shall mention them later.

But first, lets go to https://www.dukascopy.com/swiss/english/marketwatch/historical/

to obtain historical data for the previous trading day.

Once you’re there, you’ll see the following window:

The next few steps are EXTREMELY IMPORTANT to get right. I’ve had students struggle with settings
so please make sure you do these changes EXACTLY in the right order.

As I’m writing this, its 20th January at 22:00. The data I desire for tomorrow’s trading is todays highs
and lows on 30 minute candlestick. The first think I want you to click is on field that says “tick”and
change it to “minute”:
After you’ve done that, the option to add “to date” will appear.

Since I’m looking for data from today, I first change the “to date” to be 20th January 2015:
After that, I can change the “from date” to also be 20th January. In case you’re doing this the next
day, its easier to put, say 20th Jan to 21st Jan. Same goes for Mondays when you want to get data
from Fridays trading, ie if you want data for Friday 23rd Jan, but you’re downloading it on Monday
26th Jan, your dates will be “to date: 26th Jan”; “from date: 23rd Jan”.

So I’ve changed “from date: 20th Jan”:

The next step is to change Candlestick to “30” from “1”:

Now that all that is set, you can choose your desired asset. I wish to get EURUSD. By default, the
website opens up in a Forex section with three different sub menus: Crosses, Majors and Metals.

Since EURUSD is a major currency, I will click on “Majors”:

By doing that, we now only have major currencies on the Historical data feed. I will go ahead and
select the EURUSD and you’ll see a little red dot appear as you select it:
Now I will click on “download” and at this point the website might ask you to create and account or
to login. There are a few login options: create a dukascopy login, or login through facebook etc.

Once you’ve done that, the file will start to download and you will briefly see this download bar at
the bottom:
Once the download is finished, you’ll get the following window:

To save the file, click on “Save as .csv” and DON’T change the name of the file. Trust me, doing this
download everyday and choosing your own file names will only lead to confusion.

Make sure you put it in a folder that you can easily find on your computer. For this purpose, I will use
my general Download folder on C disk:

The file you’ve just obtained should read: EURUSD_Candlestick_30_m_BID_20.01.2015-

20.01.2015.csv
Make sure that it says _30_m rather than _30_TICK_. THIS IS VERY IMPORTANT.

Having checked all that, go ahead and click “save”

Now that you’ve saved your file, you might want to get another data for a different instrument. To
do this, you only have to press “Reset” and you will get all your settings back, exactly as you’ve just
put them few minutes ago:

So lets go ahead and download data for S&P500. This is an index, so you will change the menu from
FOREX to INDICES (CFD):
Similar to Forex menu, you’ll get some submenus to navigate to your instrument easier, so I’ll click
on America and select USA500.IDX - symbol for S&P500:

As you can see, all your settings are still here, 30 Minute Candlestick from 20th Jan to 20th Jan.
Go ahead and download data again and save it in the same folder as EURUSD data.

You can do this for every instrument or forex pair you trade. At the end of this file, you’ll find
symbols for various instruments that might be slightly harder to decipher such as crude oil or
German DAX.

Once you’ve downloaded all your desired assets, you are done with the dukascopy data site.

Getting data from MT4 directly:

Recently Dukascopy site has been a big buggy, so I want to give you an option to be able to export
the historical data from the actual MT4 site as well. Some people might actually find this easier, but
it does require some extra time, because you have to go through quite a few clicks more to
download and save the data.

To access historical data in MT4, you have to open the History Center, located under

Tools>History Center
Or you can simply press F2 and the History Center will open.

Now we need to locate our desired instrument. In the above example I have Nasdaq100. The symbol
is usually something like US100 or NAS100.

Once you find your desired instrument, there will be a little ”+” sign next to it:
Click on it to expand the timeframe options and you’ll get this:

Locate the 30 Minutes (M30) row and double click on it, even if its already highlighted yellow &
green.

Now press download and you’ll see the following dialog box:

Go ahead and press “OK”

The download should be quick. After the download, you’ll always get the following message:

Regardless of this message, the new data will be downloaded.

Now we need to export the 30 min data into an Excel file.

Click on “Export” and save the *.csv file somewhere where you can easily find it later. The resulting
file will be named INSTRUMENTNAME30.csv so for my Nasdaq 100 data, I have US10030.csv

So that’s another way to pull historical data for previous days. One slight problem with MT4-
generated csv files is that each time it will download several days worth – I couldn’t really find a way
to only select one days worth. But this is easily sorted in Excel, by scrolling all the way down to the
very end.
 EXCEL

Now you need to open Excel.

First I will show you how to deal with Dukascopy-generated data.

Go to “open file” and make sure you change open file type to: “All files” so that it recognises *.csv
extension:
Then navigate to your folder where you downloaded the data and find dukascopy-generated
EURUSD_Candlestick_30_m_BID file. What you’ll get is this:
Expand A column to see the times of day, like this:

Ok, at this point, I’d like you to open the website for market profile calculator:

http://www.mypivots.com/investment-calculators/market-profile-calculator

The default page looks like this:

But obviously we’ll need to change some settings to match each instrument, as closely as we can.

So back to Excel. The times of trading I am interested in, is Wall St at 14:30 to half hour before close
at 20:30. Dukascopy tracks the data in London time.

Scroll down in Excel to locate this time. Once you find it, you’ll only need column C and D.

So I will now select row 31 – 43, columns C and D, like this:

To copy data onto clipboard, press CTRL-C

Now go to the market profile calculator website to enter the data.

Settings for EURUSD-type currencies is:

Starting letter: A

Tick size: 0.0001

Decimal places: 5

The rest of the settings should be left in place as they are.

Now click into Raw High/Low data entry field.

Press CTRL-A to select all the old data then press CTRL-P to paste your EURUSD values.

Now you should have something like this:

You’re ready to press “generate” button

Scroll down the website page until you reach the end of the market profile and there you will see
three little rows that say:

VAH = 1.15755

POC = 1.15505

VAL = 1.15425

These stand for:

VAH = Value Area High

POC = Point of control, aka perceived fair value for the day

VAL = Value Area Low

Now that you have these values, go ahead to your MT4 charts or any other platform you might be
using and draw a line for VAH and VAL and if you wish POC – although I rarely find use for these,
since they represent the most traded price on the day. Point of Control is the point where the
market profile has the most number of TPOS. But let’s not get too much into that now.

In case you want to calculate values for other assets, here is the table for the settings for MP
calculator website:

Indices (S&P500, NASDAQ100, DAX, DOW, FTSE):

Starting letter: A

Tick size: 1

Decimal places: 0

In case there was a huge move on indices, on occasion MP calc will tell you that the profile is more
than 650 ticks wide and the free version only includes up to 650 ticks. A hack around this is to
change the format of the price slightly, so for example, DAX can be quite wide and I change the price
format by adding a dot to make it look like it has two decimal points. In the table below, I’ve
changed the left column this way, and changed the settings to reflect this:

Notice the settings change for tick size and decimal places

Once you’ve done this, you’ll get VAH and VAL, but in a different decimal format, so all you need to
do is disregard the dot and the last decimal when drawing the VA zone on the chart.

However on most days this hack isn’t necessary.

Settings for EURUSD related currencies (GBPUSD, AUDUSD, EURAUD, USDCHF, USDCAD etc, anything
with 5 decimal points for price):
Starting letter: A

Tick size: 0.0001

Decimal places: 5

Settings for Yen related pairs (EURJPY, USDJPY, GBPJPY, AUDJPY etc, any pair with 3 decimal points
for price):

Starting letter: A

Tick size: 0.010

Decimal places: 3

Settings for WTI Crude Oil:

Starting letter: A

Tick size 0.10

Decimal places: 2

While I’m on the topic of Crude oil, one thing to mention about instruments that are traded on a
different exchange to Wall St. These will have a slightly different start than Forex and Indices.

WTI Crude Oil and Brent crude trade on NYMEX, which opens at 2pm London.

Market Profile time to select in Excel for NYMEX traded instruments is

14:00 – 20:30

Similar thing with gold, it opens at 13:30, so your MP will start at 13:30 and end at 20:30

You can find these details at the end of this pdf, as well as on the main website in “Market Profile
stuff” section.
 USING MT4-generated CSV files in EXCEL:

The difference between Dukascopy and MT4 data is that with Dukascopy you only get one 24-hour
day is 30 minute chunks. With MT4, there’s no way to only export one day, so when you open the
CSV file, you’ll get all the data from previous few days. For MP, we only need the previous days’
data, so scroll all the way to the bottom to find the last trading day data. In my case, that’s 13th
February:

The columns are slightly different as well, with Column B representing time. Easier to see than
Dukascopy, but there are no names for the columns but we know that prices in historical data are
always displayed as: open/high/low/close
So we’re going to need columns D and E for our High & Low Market Profile calculations to copy into
MP calculator. You’ll need to select the correct prices within correct time, just like on Dukascopy-
generated csv file. Since this is Nasdaq, I need 14:30 to 20:30, here it is:

Ctrl-C to copy the values, then go to Market profile calculator website and Ctrl-V into the field, with
the correct settings for the tick size and decimal places, tick size 1, decimal 0.

And finally please find the alias symbols for CFDs on dukascopy website:
Instrument name Dukascopy Alias
S&P500 USA500.IDX
NASDAQ100 USATECH.IDX
GERMAN DAX DEU.IDX
EUROSTOXX EUS.IDX
FTSE100 GBR.IDX
WTI Crude Oil LIGHT.CMD
Brent Oil BRENT.CMD
GOLD (In Forex section, under Metals) XAU/USD
SILVER (In Forex section, under Metals XAG/USD

MP Calculator settings for various pairs and assets:

Instrument name Tick size Decimal Places

EURUSD 0.0001 5
GBPUSD 0.0001 5
AUDUSD 0.0001 5
EURAUD 0.0001 5

USDJPY 0.010 3
GBPJPY 0.010 3
EURJPY 0.010 3
AUDJPY 0.010 3

XAUUSD (Gold) 0.10 2

WTI Crude Oil 0.10 2
S&P500 1 0
German DAX (no hack) 1 0
German DAX (decimal hack) 0.10 2
NASDAQ100 1 0

Market profile start-end hours for various pairs and assets:

14:30 – 20:30 (Wall St) 14:00 – 20:30 (NYMEX) 13:30 – 20:30 (COMEX)
All forex pairs WTI Crude Oil XAU/USD (gold)
S&P500 Brent Crude XAG/USD (silver)
NASDAQ100
German DAX
FTSE100
DOW JONES

Dukascopy Historical data:

http://www.dukascopy.com/free/candelabrum/
Market Profile Online Calculator:

http://www.mypivots.com/investment-calculators/market-profile-calculator