Well, I just found a clear VA definition from CBOT site.
70% Value Area Calculation
Price Volume
Time Brackets 110 10 X
109 50 XX 108
80 XXX 107 90
XXXX 106 150 XXXXX
105 70 XXX 104
60 XX 103 20
X 102 15 X
101 10 X
Total Volume = 555
70% Volume = 388
70% Value Area = 105 to 108
* To calculate the 70% range, start with the high volume
price. If the volume for the high volume price makes up 70% or
more of the trading day's total volume, the high volume
price is the 70% value area.
* If it is not, check the volume for the price above the
high volume price and the price below it. Take the larger of
the two and add this volume to the high price volume. Continue
in this manner until you have 70% of the day's total
volume.
* In this example, 70% of the volume is 388. Start with the
price of 106 which has volume of 150. Then compare the volume of the
price above 106 with the volume of the price below 106. Because 90 is
greater than 70, add 90 to 150, which equals 240. Because we are still
under 388 we must continue the process. Next compare the volume for the
price above 107 with the volume for the price below 106. Once again
because 80 is greater than 70, add 80 to 240, which equals 320.Since we
are still short 68 (388 minus 320), compare the volume for the price
above 108 with the volume for the price below 106. Since 70 is greater
than 50, add 70 to 320, which equals 390 and approximately equals 70% of
the total volume (388).
* The 70% value area calculation is generally greater than
70%. Why? We would have to use fractions of the volume at each
price to come out with exactly 70%.
--- In [email protected], "Ara Kaloustian" <[EMAIL PROTECTED]> wrote:
>
> I think we are having a terminology issue.
>
> UFH and UFL are obviously outside the fair value area, which is
defined as where 70% of the volume is for he specified period..
>
> What I was suggesting is that within the time frame of interest you
start at the highest price and accumulate volume for each price range,
going down one step at a time (you need to have volume allocated to
price ranges that you create) untill you accumulate 15% of total volume.
That is the upper limit of FAIR value. Anything above that would be
Unfair value area.
>
> The same for the low end
> ----- Original Message -----
> From: eric tao
> To: [email protected]
> Sent: Saturday, July 07, 2007 11:52 AM
> Subject: [amibroker] Re: volume based MP
>
>
> consider the situation like This one.
> notice there's no price action left beyond UFH. This is a 0% volume.
>
> --- In [email protected], "Ara Kaloustian" ara1@ wrote:
> >
> > When price action is tilted, the volume will reflect that.
> >
> > When you get 0% on other side, there is a problem with program
structure.
> >
> > Computations are within price range that contains volume, so 15%
of volume
> > can never be zero. If volume is tilted to higher prices, then it
will take
> > mire price ranges to accumulate the 15% on the low price side than
on the
> > high price side.
> >
> > Alternately, Tomasz is planning on providing volume based MP on
version
> > 5.0. I assume it is still in the plans.
> >
> >
> >
> >
> > ----- Original Message -----
> > From: "eric tao" erichtao@
>
