In the volume profile chart that accompanies our daily analysis, there are light blue lines that form support and resistance, to which we refer as MIDAS curves (also sometimes called Anchored VWAP).  As opposed to a moving average, they are a volume weighted price average fixed to a starting point in time that marks a change in market psychology.  Often, these are swing highs or lows, but not always.   Occasionally, we receive inquiries as to what these lines are, and have referred people to Levine’s original work posted in a PDF on our website here.

The MIDAS method was developed by Paul Levine in the mid-1990′s and was largely forgotten after Levine’s untimely death over a decade ago.  However, the method has received a revival in popularity over the last few years, in no small part because of the writings of Andrew Coles and David Hawkins in various trade magazines.

They have now just published a book that details the MIDAS method and picks up where Levine left off, tackling both theory and practical application.  Of note to futures traders, Coles also writes a chapter that is a thorough overview and catalog of various ways to use the CFTC’s weekly Commitment of Traders (COT) data.

For those that simply want an introduction to the method that is not as dated as Levine’s essays, there is an excellent one written by Coles at the site he shares with Hawkins, here.

We should also add that some of our experimental work is featured in a chapter, along with our TradeStation code of Levine’s TopFinder/BottomFinder algorithm, which will soon be posted in ELD format on this website.  Disclosure: we have no financial stake in the book itself.

Trade well,

The Precision Report

We just added enhanced functionality that will display future pivots even if the new session has not yet opened (the biggest drawback to the prior version), as well as text labels (thanks to a reader).  Registered members of this site can download the free TradeStation indicator here.

Above is a screenshort of the silver ETF (SLV), showing a rejection yesterday of strong resistance from yearly R1, monthly R2 and quarterly R1.  As silver has been stronger than gold as of late, this was an early warning sign for the precious metals sector.

Institutional investors use volume weighted average price (VWAP) as a gauge for position entry efficiency.  Accordingly, the prior day’s closing VWAP level is an important reference point throughout the next day, much like a pivot.  We have drawn arrows on the ES chart below to illustrate how closing VWAP (cyan) can serve as powerful support and resistance throughout the day, oftentimes marking the absolute high or the low.  Nearly all of today’s day-session price action was contained by the prior day’s VWAP.

We have updated the free TradeStation Anchored VWAP Bands indicator on our website to include this new feature.

Because institutional investors, such as mutual funds, are measured against their previous monthly and quarterly and yearly performance, and VWAP measures average price paid over a period, these other closing VWAP time frames may prove valuable as well.