VPOC – Volume Point of Control – Statistics – Nifty Futures
When it comes to trading Market Generated Information , the VPOC – Volume Point of Control plays an important role in determining the price where highest volume was generated within the 1 standard distribution of the Volume across all prices of a trading day. Before starting with the VPOC – Volume Point of Control – Statistics – Nifty Futures, let me first post a chart to differentiate between a VPOC and a TPO based POC.
Its very important to understand the difference between the VPOC and POC As both are calculated as the Point of Control within 1 standard distribution in a given time frame but the 1st is based on Volume distribution and the later based on TPO distribution. Many call the TPO based Virgin Point of Control also as VPOC and many call it as nPOC or the Naked Point of Control nPOC. previous day’s VPOC can be called the yVPOC and the the previous day’s POC as yPOC. But, time being let’s not get into the terminology part, as whatever we call it, as far as we know what it means it’s all fair and good. Volume can be interpreted in many different ways and VSA – Volume Spread Analysis is also one way of looking at volume and Volume Profile is another way of looking at the volume.
The Nifty Futures chart above is for 1375 days ending 18-03-2016 with the backtest results in the lower panes.
Average point Difference between VPOC – Volume Point of Control – 57 points
In the second pane marked in Pale Blue, we can see that when the market stops trending the difference between the VPOC of the previous day (yVPOC) and the Developing VPOC decreases and when it’s trending the difference increases.
So basically at present if someone is trading for a touch of the previous day VPOC, there is a fair chance to lose/gain 57 points till we get a new reference of the VPOC of the current day.
Open above VPOC – Volume Point of Control
The third Pane in Green shows how many days did the Nifty futures opened above the previous day’s Volume Point of Control and we can see the out of 1375 days it opened above the VPOC for 763 days or in percentage terms it opened above the VPOC 55.49% of times.
Open below VPOC – Volume Point of Control
The fourth Pane in Magenta shows how many days did the Nifty futures opened below the previous day’s Volume Point of Control and we can see the out of 1375 days it opened below the VPOC for 602 days or in percentage terms it opened below the VPOC 43.78% of times.
So odds in carrying overnight positions are in favor of anticipating an open above VPOC.
VPOC close to yVPOC
The fifth Pane in Orange shows how many days was the Developing VPOC closer to the Previous days VPOC and we can see that out of the 1375 days its was closer to the previous days POC for 105 days or in percentage terms it was closer 7.64% of times which is again a sign of a trending asset class.
Open within Range and touched yVPOC
The sixth Pane in Pink shows how many day the Nifty Futures opened within the previous day’s range ( within the previous day’s High and Low ) and went up/down to touch the previous day’s Volume Point of Control and we can see that out of 1375 days it touched the yVPOC for 623 days or in percentage terms it touched the yVPOC 45.3% of times
Open out of Range and touched yVPOC
The seventh Pane in Yellow-Green shows how many day the Nifty Futures opened out of the previous day’s range ( above or below previous day’s High and Low ) and went up/down to touch the previous day’s Volume Point of Control and we can see that out of 1375 days it touched the yVPOC for 168 days or in percentage terms it touched the yVPOC 12.22% of times.
So again the odd of taking a position for the touch of Previous days VPOC are higher when the open is within range and we can bet on that trade almost 55% of times but if we anticipate a touch of previous day’s VPOC when the open is out of previous day’s range then there is an 87.88% chance of that trade to go against us.
So overall, we can conclude that Nifty is in a trending mode most of the times and the odds of getting beaten against the trend increase if we are carrying overnight positions without proper hedging.
Hope you all find this post helpful.