Constructing daily overlay profiles for auction brackets and breaks

A four-layer daily construction

The overlay is built as four layers that update each day. Session volume is stacked into one overlay profile. A rotation profile maps how price printed across days. A rotation index scores whether that rotation is still active. The quadrant of close locates the finish inside the recent range.

Those four pieces describe current auction condition. They show when an auction is still building a single value area and when a second distribution has already started. End-of-day overlays are presented as sufficient because they reduce intraday noise.

Overlay shape and stacked value

A market profile is a stacked, session-by-session auction map. It locates value, bracket limits, and new distributions from how price and volume organize over several days. A volume profile is the cross-session time-and-volume construction that shows whether activity remains concentrated in one value area or is forming a second distribution at a new price.

The overlay profile is the composite shape formed by adding successive sessions. A single bell often marks one bracketing value area. A new lobe marks a second distribution.

A bell-shaped overlay plus a well-scattered rotation map identifies a bracketing auction. In that state the full bracket span is treated as value because those prices have similar occurrence likelihood.

Rotation map and rotation index

The rotation profile is a day-symbol map of where each session printed. Even scatter through the range supports bracketing. Bunching or one-way prints support a directional phase.

The rotation index is a short-window and longer-window score of how much price is rotating. Eight-day and four-day rotation scores generally above 0.6 were used as evidence of good rotation. Scores below 0.6 were treated as low-rotation, trend-type readings.

Close quadrant and session analysis

The quadrant of close is a four-bin location of the close inside the recent range. It is used with the rotation score to see whether finishes are still leaning with a directional phase or backing off.

Session analysis is an end-of-day read that compares overlay shape, rotation, and close location. That comparison classifies the current session as rotation inside a bracket or continuation after a break.

Bracket, break, and a later equilibrium

The illustrated overlay process locates a bracketing equilibrium, records a breakout, follows the later directional phase, and then waits until a new equilibrium forms.

In the illustrated overlay, equilibrium limits sat near 9008 and 8820. Prints above the upper bound flagged an upside break. Prints below the lower bound flagged a downside alert. Activity remaining inside those limits added to the equilibrium.

After two added sessions formed a second distribution near 8808 with low rotation, a break below 8820 was read as the start of a directional phase. That break was treated as confirmed no later than the second session close.

A large counter-move back into the prior bracket did not cancel the downside condition while the rotation score stayed below 0.6 and the upper bracket limit was not broken.

Pauses in a decline and a new bracket

During the decline, consolidations near 8804, 8716, 8620, and 8420 typically showed the four-day rotation score briefly shifting from trend toward rotation. The close quadrant backed off from four toward two or three.

After 8408 was reached a second time without further penetration, rotation rose sharply, including a four-day reading of 0.83. The next session closed in quadrant one. A rally then persisted into a new bracket near 8620 with limits near 8708 and 8600.

What the construction is not

The overlay construction is presented as a daily condition read specific to the present auction. It is not presented as a fitted trading model. It is not presented as a long-sample average of market behavior.