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Webinar: FuturesTrader71 (FT71) on Volume Profile
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Webinar: FuturesTrader71 (FT71) on Volume Profile

  #71 (permalink)
in a meditative state...
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Due to his ability to explain, teach, expose his ideas I think he's probably in a position that he cannot go much further without starting entering in the methodology itself.

I lost the count on how many FT's webinars I've seen. Many of them he's repeating the same things he have spoken in a previous webinar because there is not much to say about the matter since all has been thoroughly discussed before.
Like I said in a previous message, a DOM webinar would be interesting, exploring the way he thinks while looking at it and associate his profile analysis. This last webinar he showed us a bit of his process but that replay wasn't the best way to deal with it.

Thought process is key here. I believe that this area is most problematic to most traders. They have so many lines on their charts, they read so many outside analysis, they have gazillions of blinking symbols on their screens that when it's time to hit the button they freeze.
FT1 have been able to show in many of his webinars his thought process but I'd like to see it in real time. No, I don't give a crap if he loses or win. I want to see is thought process and since he reads the DOM that is where my interest is. He has his prices given by the profile, market open, DOM starts to blink like crazy, he starts to read it because market is at a key price level for him. Prices go 1.5 pts above is price level. What his thought? How he reacts? These things are crucial for all types of methodology. No book teaches this. Agree, this is only learned by being there every single day, but if you have a support, a handle to help you in this process things would be much easier.

If I become half a percent smarter each year, I'll be a genius by the time I die
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  #72 (permalink)
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Just when I was getting good at dom reading the hft presence in the crude market exploded.. I hear ya on the need to isolate something from the chaos. Some days I follow Taleb Nassim's philosophy on information. He hasn't read a newspaper in ten years and refuses to interact with it. On somedays on the contrary I find listening to the flow of news from a squawk helps to get me in synch really well. At any rate, the key is the price action, obviously. I think I have ten million plus ways to make money, though it is possible I have not one and what success I have had can be explained by the random alchemy of it all. I'm trying to nail down if there is real population of successful intraday crude futures traders out there and not just a few freak successful ones, and what is the common thread. As manual intraday traders, what is the optimal frequency to trade. Are the average trade wins a certain percentage of the daily range, hard tick counts, how many times, what is the thread in the population of human intraday crude futures traders making money intraday against the machines. If we took them altogether, what would be the average say number of trades taken, win size and loss size. That's what I'd like to know.

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  #73 (permalink)
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josh View Post
Any charting software, NT or otherwise, will chart whatever the data feed says is a daily bar. IQFeed plots the ETH for daily bars, as will most data feeds I suspect, as there is technically no "RTH" for the ES, or for CL. . So for NT, one would want to use a 330 minute bar (with the correct session obviously, 9:00am - 2:30pm ET) if one wants the RTH only.

I would say most days are one in the same (daily vs. 330 minute) but you're right, the 330 minute will give you the most accurate levels such as H,L and C.


josh View Post
If I'm understanding you correctly, I would have to offer a different perspective. While long term levels of price activity, whether it be based on volume at price or on price alone, are important, the market has a good "memory" of recent prices as well. The fact that the market has found support at price X many times over the last 2 days may be much more significant than the fact that the market found support at a nearby price Y two months, or two years, ago.

I definitely agree. I was referring to that particular trading session's HVN and LVN levels as the day was developing. Where price reacted at an LVN, there's probably a confluence for other reasons the market moved there such as a previous, bigger picture volume area, a previous high, low or close, etc. But with regards to volume at a particular price that is more recent, I couldn't agree with you more there. If 104's have been a highly demanded price for the last 3 or 4 days, if price got there again, I would expect buying support from there. If we failed to find that support, context may have changed and lower prices are probably coming.


josh View Post
I would be interested to know how many non-retail (aka "professionals") use volume profiling. It's simply not a tool I would expect most pros would use, but then again, I wouldn't know, so I would like to hear more about this.

Professional traders have been tracking volume clusters/zones for a very long time. Are you under the assumption that FT invented this? He probably fine tuned it with the modern software tools now available but the concept itself was derived from the CBOT's Liquidity Data Bank reports. They were tracking TPO levels as well as Volume levels. Maybe I misinterpreted you there.

Cheers,
PB

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  #74 (permalink)
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josh View Post
If I'm understanding you correctly, I would have to offer a different perspective. While long term levels of price activity, whether it be based on volume at price or on price alone, are important, the market has a good "memory" of recent prices as well. The fact that the market has found support at price X many times over the last 2 days may be much more significant than the fact that the market found support at a nearby price Y two months, or two years, ago.

I would be interested to know how many non-retail (aka "professionals") use volume profiling. It's simply not a tool I would expect most pros would use, but then again, I wouldn't know, so I would like to hear more about this.


Hi.

I agree with Josh. Prices alone are better reminded if we look back 1 to 2 days then 1 to 2 months. Volume in the other hand is a bit different, it can go higher in the time frame but it has its own space.

Traders that traded ES 2 months ago at 1370 may not be the same trading now at 1399, hence the lack of price memory. We need to look at a chart to remind ourselves of those prices, but traders that traded ES 2 days ago at 1380 might be the same trading at 1399 and they will react at certain levels traded during the last 2 days. They don't need a chart for this, they have the prices graved in their brains.

I don't agree with FT's time length composite. I believe his composite is reading the volume from 2005. Volume has a seasonality behind it that can mislead the reading.
I've always supported my reading in trading ranges, maybe due to my WD Gann days, but it's something that I truly believe. I go back in time depending of the time a trading range is in the works.
ES is trading in a trading range since April 27 and my main volume profile is based on that range. I then have another one beginning in October 4 2011 and even another one beginning March 6 which encompasses the one in which we are now.

OK, I confess, I recently added a composite beginning in October 11 2007 just to see the readings I have with it. Again, I'm all about ranges. Remember something, traders are always measuring data through their peaks, between the highest high and the lowest low, hence ranges.

Apart from the April range, I do follow each day profile and it's VPOC as their pivot points. It's all about balance and pivots are a very powerful balance area.
That is where the "memory" is, the most recent days, the most recent range, where some traders are locked in.

Some price traded 6 months ago, 1 year ago... its significance is the one given by the chart (trader). Traders only remember them because they see them on the chart, whereas a price traded yesterday or the previous day, where you lost your monthly paycheck due to a dumb idea... well, you don't need a chart to remind you of that, you want your money back, you want revenge, you'll be there again.

Well you might say that if you lost your paycheck 1 year ago at a certain price you'll remember that price and despiteI agreeing with this I must say that 1 year have passed, the markets are different, you are different, you'll not going to react as this would have happened yesterday. Yes, you'll remember it, but you won't act on it.

Regards.

If I become half a percent smarter each year, I'll be a genius by the time I die
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  #75 (permalink)
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The marketmakers at the banks trade straddles, risk reversals, vol swaps, etc, with each other via interdealer brokers, (I was a clerk on the Nikkei and Hang Seng desk at Cantors). These products trade very heavily some days with billions being done. They use these structures to do their dealing and make the market and they are dated out at 1M, 6M, 1Y, out to three years generally, but the main volume is done in the 6M to 18M range. I think these old big volume areas might be important. When I was trading that stuff I just knew what the different types of derivatives were and I could write up a custom 100MM contract in 30 seconds without making a mistake, but I knew nothing about technical analysis or prop trading. Now I am just focussing on intraday crude, but I know the dealers must be watching those points fairly closely...

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  #76 (permalink)
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Big Mike View Post
Please let me know what specific items you would like to see FT71 discuss for his next webinar.

Mike

Thanks BigMike

I would love some discussion on the DOM

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  #77 (permalink)
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I'd like to see 2 things discussed:

(1) In the last webinar, FT talked about how he only trades the RTH session, therefore he only bases his volume profiles on the RTH session. Yet, I'd like to challenge (if that's not too strong of a word) the validity of using a volume profile at all based on non-weighted volume numbers. Let me explain this please.

Using the backadjusted IQFeed continuous ES contract, from Turnaround Tuesday (Oct 4 of last year) until present, for the overnight session only, if one bought the open and sold the close, he would have made 118 handles. The accumulated volume for this period was 50.7M contracts.

Over the same period, if one would have bought the open at 9:30, and sold the close at 4:15, one would have made 152.25 handles. The accumulated volume for this period was 226.7M contracts.

So with 22% as much volume as the RTH session (18% of the total volume), the overnight session contributed 77% as much towards positive movement in this bull run as the RTH did. What does that mean? Well, the takeaway message for me is that volume alone does not indicate indicate interest in prices, or as FT put it, how much the market "likes" or "does not like" certain prices. The futures may be derived from the underlying cash index, but remember that it's the stocks and therefore the index which "gap" on the open to match the futures, NOT the other way around. World markets are working overnight, from Australia, then to Tokyo, then Hong Kong, then various parts of Europe like Frankfurt and Germany, and THEN the US market opens, while the US futures including the ES have been "tracking" with the other markets overnight. So are these price levels overnight less valid simply because little ES volume traded there? Isn't it more logical to conclude that rather, the prices themselves reflect the real supply and demand (or whatever you'd like to call it)? Perhaps the overnight volume could be given a weight, to "normalize" it with RTH volume. This might actually give a truer picture of what prices the market really likes or does not like.

These are some new things I'm trying to crystallize that someone else has me thinking about recently, but I have had these concerns from the very minute I saw volume at price on a futures contract.

(2) I'd like to question the validity of using a back-adjusted continuous contract for reasons based on rollover/expiration volume.

On the attached spreadsheet you will see that the minute-based (intraday) volume diverges from that reported in the daily bar volume, beginning near rollover day, up until the expiration day of the contract, by about 20 to 30%. The only logical conclusion from this (I have attempted to talk to IQFeed about it) is that for the daily bar they are adding new front month volume with the contract about to expire. Because we are talking about contracts, and not a physical asset, there is no "thing" to trade, and during that expiration week many people are trading the new front month contract, but it's evident from these numbers that many are actually still trading the old contract up until expiry. This skews the volume stats quite a bit for those 8 to 10 days. There may be a "rollover day," but that does not mean that there is not significant volume traded on the old contract after this, as the spreadsheet shows.

I watched one of FT's webinars sometime in March, and at one point he shows that he is confused by the fact that there is a tiny profile for March 8. Well, this was rollover day itself. Look at your continuous ES contract for 3/8, and it should be clear that due to volume being split between ESH and ESM, the profile is not representative of real interest there. There would need to be a combined profile for all of the days shown where there is a significant discrepancy of volume (those I've highlighted in red on the spreadsheet).

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Register to download File Type: xlsx ES minute vs daily bar volume comparison at rollover.xlsx (14.6 KB, 29 views)
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  #78 (permalink)
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There is now an AMA (Ask Me Anything) thread for questions aimed directly at FuturesTrader71:
https://futures.io/vendors-product-reviews/26325-futurestrader71-morad-askar-ask-me-anything-ask-me-anything.html

As part of our AMA series, FT71 will also be presenting two 30-minute live screen sharing sessions each month. This is in addition to any normally scheduled "full" webinar presentations.

Mike

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  #79 (permalink)
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I think that Volume Profile has something very valuable to offer - but I don't yet have a clear idea of how to turn that into a click on "buy" or "sell" at a particular price. Are there rules to follow? If you're in a balance day and price hits the extreme, fade it? For how big a target and how big a stop?

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  #80 (permalink)
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RobertMiami View Post
I think that Volume Profile has something very valuable to offer - but I don't yet have a clear idea of how to turn that into a click on "buy" or "sell" at a particular price. Are there rules to follow? If you're in a balance day and price hits the extreme, fade it? For how big a target and how big a stop?

First place to start is with the webinars. There are many in futures.io (formerly BMT) Webinar section on volume profile by FT71, and then there are more on FT71's own website FuturesTrader71 | Simplicity in Trading.

You should watch all of them as a starting point.

Mike

Due to time constraints, please do not PM me if your question can be resolved or answered on the forum.

Need help?
1) Stop changing things. No new indicators, charts, or methods. Be consistent with what is in front of you first.
2) Start a journal and post to it daily with the trades you made to show your strengths and weaknesses.
3) Set goals for yourself to reach daily. Make them about how you trade, not how much money you make.
4) Accept responsibility for your actions. Stop looking elsewhere to explain away poor performance.
5) Where to start as a trader? Watch this webinar and read this thread for hundreds of questions and answers.
6)
Help using the forum? Watch this video to learn general tips on using the site.

If you want
to support our community, become an Elite Member.

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