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Analyze the intraday behavior of any market.

Detect and exploit recurrent patterns of variability (price, volume, volatility, risk etc.) in intraday data.

 



Intraday Profile™ - detect and exploit recurrent patterns of variability in market data, visualize the intraday characteristics of your market

Analyze the intraday behavior of any market, decipher intraday price action and exploit recurrent patterns of variability (price, volume, volatility, risk etc.) in intraday data.

Before you can design a trading system or place a trade, you need to understand how the market you're trading behaves.

Arm yourself with stats you can build on. This smart quantitative tool has been developed by Weiss & Quast, a Financial Industry Consulting group with more than 25 years in business.

Each market has it's intraday price characteristics you as short-term trader can use to improve your strategies.

Visualize how the market and indicators are evolving over the day and whether they show recurrent patterns:

     

  • VolaRisk:

    VolaRisk is our proprietary trading risk indicator, comparing the short-term trading risk with the longer-term trading risk.
    The average range of the last x bars is being compared with the range ( HH-LL) over x bars

    Example (see image above):

    When the timescale is set to 5-min bars and volarisk is set to 12,then the range (highest high ./. lowest low ) of the past 60 minutes (12*5 min) is compared to the average range of the last 12 5-min bars.

    Values > 0: Short-term trading is more risky and less profitable. The average 5-min bar range is below comparable long term volatility
    Values < 0: Short-term trading is less riskier and more profitable.The average 5-min bar range is above comparable long term volatility .
  •  Other indicators:

    • Volume & Money Flow (MFI)
    • Volatility: Range, Average true Range, Standard Deviation.
    • Moving averages: MACD
    • Price changes: Momentum, Rate Of Change
    • Oscillators: CCI, RSI, Stochastics, ZScore, ADX, DMI
    • Linear Regression slope
    • Any other indicator or function of your choice

 

Yellow histogram or line: current values of the day for each time period (e.g. 5-min bar)

Red line: Average value of the past (e.g. 20) days for the same time bar

Green dots: Maximum value for this time bar during the observation window (e.g. 20 days)

Cyan dots: Minimum value for this time bar during the observation window (e.g. 20 days)

 

Examples: ES (S&P 500 Futures), Interval: 5-Minute-Bars (288 bars per day), averages calculated for 20 days:

Volume

Intradayprofile Volume

 

MFI (Money Flow Index)

MFi Money Flow INdex

 

Volatility

The market is the most volatile in the morning, during lunchtime in Chicago, the average range decreases to its lowest levels, following lunch, the average ranges increase.

ATR (Average True Range)

Range (High-Low)

 

Standard Deviation (13)

 

VolaRisk (12)

 

CCi (13) Commodity Channel Index

 

Linear Regression Slope (8)

 

Indicator parameter settings Basic version:

price: close, weightedclose etc.

Indicator: volume, range, roc (rate of change), mom (momentum)

Indicator_length: lookback bars for your indicator

 

Indicator parameter settings PREMIUM version:

price: close, weightedclose etc.

Indicator: volume, range, roc (rate of change), mom (momentum), atr (Average True Range), lrs (Linear Regression slope), cci (Commodity channel index), zscore (Z-score), stoch (Stochastics), macd (Moving average convergence divergence), adx (Average directional index), dmi (Directional movement index), mfi (Mone flow index), rsi (Relative strength index), stddev (Standard Deviation)

Indicator_length: lookback bars for your indicator

MACD_fast, MACD_slow: MACD parameters

Stoch_1, Stoch_2, Stoch_3: Parameters for the calculation of stochastics

 

Indicator parameter settings PRO version:

Same settings as PREMIUM version and, if you want to use your own indicator:

MyOwnIndicator: set it at your own discretion, e.g. UltimateOscillator(7,14,28) or BlaBlaBlaIndicator(7) etc.

Indicator: must be set to "own"

 

 

 

 


IntradayProfile   Supported Platforms

IntradayProfile is enhancing your experience and success with these trading and brokerage platforms:

TradeStation NinjaTrader InteractiveBrokers MoneyNet eSignal MultiCharts
 

 

Intraday Profile Pricetable  Pricing


IntradayProfile™ comes in 3 different versions:

Features BASIC version
PREMIUM version
PRO version
Data series 1 ETF's (SPY, GLD,TLT,OIL,SLV) only any (stocks, ETF's, Futures, Indices) any (stocks, ETF's, Futures, Indices)
Bar interval any intraday bar interval any intraday bar interval any intraday bar interval
Input basic

Volume
Range (H-L)
ROC (rate-of-change)
Momentum

Volume
Range (H-L)
ROC (rate-of-change)
Momentum
Volume
Range (H-L)
ROC (rate-of-change)
Momentum
Input advanced  

ATR (Average true range)
LRS (Linear Regression Slope
CCI (Commodity Channel Index)
Z-score, Stochastics, MACD, ADX, DMI, MFI, RSI, Standard Deviation

ATR (Average true range)
LRS (Linear Regression Slope
CCI (Commodity Channel Index)
Z-score, Stochastics, MACD, ADX, DMI, MFI, RSI, Standard Deviation

Input PRO    

any other data series, indicator or function of your choice, e.g.:
UltimateOscillator(7,14,28)
MySmartXYZIndicator(12,7)

VolaRisk™ indicator included included included
Price per month US$ free 9.95

19.95

Select your platform:  
Tradestation Click here for
FREE DOWNLOAD
directly from
Tradestation.com
MultiCharts Click here for
FREE DOWNLOAD
NinjaTrader Click here for
FREE DOWNLOAD
ESignal available soon
Money.Net

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Bloomberg Anywhere

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Weiss & Quast Ltd.
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Phone: +44-20-3514-3784 ext. 101
Telefax: +44-20-3514-3784
www.weiss-quast.com
 
Weiss & Quast Inc. (New York)
Phone: +1-646-397-7972 ext. 200



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