Since I switched to Sierra Charts, I have experimented with Volume Profile and Market Profile, a.k.a. Volume by Price Study and TPO Study in Sierra Charts.

From 19th April, 2012 until yesterday, the correlations were;

VPoC vs TPoC - 0.9975
Volume VAH vs TPO VAH - 0.9980
Volume VAL vs TPO VAL - 0.9979

Whilst the numbers are not the same, movement of the TPO pretty closely mirrors the more modern Volume Profile.

Qualification - This was only for CL. For the Volume Profile study, setting is for the full ETH or Globex. For the TPO study setting is for 0200 CT - 1615 CT, ie European session to Globex close.

The reason I did this was I analysed volumes for each session and found that despite the very long hours, the Asian session typically only produced 4% of the total volume. Also, it often traded very rangebound, so 30 minutes in an Asian session could not possibly have the same importance as 30 minutes in European session or especially during pit hours.

Just thought I'd share this. I'm a numbers junkie and this is just an example of the stuff I look at when time permits.

The main profile thread is here if you are interested:

Volume Profile and Footprint discussion Hi guys, I felt that we needed a thread dedicated to the discussion of Volume Profile. Some basics, you can hover over these and click on most of them to get more info in the wiki. I also encourage you guys to improve the wiki articles by editing …

Mike