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Trading NQ Order Flow using Cumulative Delta
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Trading NQ Order Flow using Cumulative Delta

  #21 (permalink)
Elite Member
Takoma Park, MD USA
 
Futures Experience: Intermediate
Platform: Investor R/T, TOS, Sierra Chart
Broker/Data: Velocity/TT/DTNIQ
Favorite Futures: NQ
 
Posts: 42 since Dec 2010
Thanks: 7 given, 17 received

Recap Tuesday 5.29.2012

Net -9.5 pts. Down day but still feel I traded pretty well. Entries were good, I controlled my losers, and I waited for confirmation from NASDAQ TICK (which I'm really focusing on this week.)

Lesson learned today: DO NOT move profit target for 1st contract out, only in. On my last trade I thought the market was going to have a big run in the last hour so I removed my target order and trailed a stop manually. Price hit my original target of 4.5 pts but pulled back and took me out for 1 pt. The 3.5 pt difference would have cut my losses by a third. I shouldn't have been greedy when I was down for the day.

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  #22 (permalink)
Elite Member
Takoma Park, MD USA
 
Futures Experience: Intermediate
Platform: Investor R/T, TOS, Sierra Chart
Broker/Data: Velocity/TT/DTNIQ
Favorite Futures: NQ
 
Posts: 42 since Dec 2010
Thanks: 7 given, 17 received

Trade 1 5.29.2012

Price broke out of the triangle it has been in for several days to the upside. I got long on a pulback as order flow and TICK turned bullish. NQ rolled back over and I exited - 2.5 pts.

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  #23 (permalink)
Elite Member
Takoma Park, MD USA
 
Futures Experience: Intermediate
Platform: Investor R/T, TOS, Sierra Chart
Broker/Data: Velocity/TT/DTNIQ
Favorite Futures: NQ
 
Posts: 42 since Dec 2010
Thanks: 7 given, 17 received

Trade 2 5.29.2012


Net -2.5 pt.

Shorted a pullback after the failed breakout. NQ ran up into a consolidation from earlier in the session. The was a ton of buying on the offer that was getting absorbed as price, equities, and up/down tick made lower highs but cum delta made higher high. Good entry but trade went against me.

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  #24 (permalink)
Elite Member
Takoma Park, MD USA
 
Futures Experience: Intermediate
Platform: Investor R/T, TOS, Sierra Chart
Broker/Data: Velocity/TT/DTNIQ
Favorite Futures: NQ
 
Posts: 42 since Dec 2010
Thanks: 7 given, 17 received

Trade 3 5.29.2012

net -.5 pt.

Retried the short a little higher right around the vwap. Entry was good based on TICK and order flow but not on structure. Price was above the earlier consolidation zone so there was too much support too close to get short. Once I realized this I exited for a tiny loss.

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  #25 (permalink)
Elite Member
Takoma Park, MD USA
 
Futures Experience: Intermediate
Platform: Investor R/T, TOS, Sierra Chart
Broker/Data: Velocity/TT/DTNIQ
Favorite Futures: NQ
 
Posts: 42 since Dec 2010
Thanks: 7 given, 17 received

Trade 4 5.29.2012

net +1 pt

Good long entry right after I realized the was good support. Only had 1 contract on since I started with two losses but I took my target limit order off and tried to trail a stop. Price traded through my original target price then pulled back to stop my out. Missed out on 3.5 pts.

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  #26 (permalink)
Elite Member
Takoma Park, MD USA
 
Futures Experience: Intermediate
Platform: Investor R/T, TOS, Sierra Chart
Broker/Data: Velocity/TT/DTNIQ
Favorite Futures: NQ
 
Posts: 42 since Dec 2010
Thanks: 7 given, 17 received

Homework for tomorrow 5.30.2012

Not sure what to expect tomorrow. I thought the path of least resistance was to the upside but NQ has broken out of the triangle twice today and both times pulled back down into it. The second time making a lower high.

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The S&P 500 tested the top of its upward channel twice today and both times sold off sharply.

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We found good support in the noon hour today and if it holds overnight/tomorrow I think 2596 is still in the picture for the NQ. If those support areas breakdown then I believe we retest the bottom of the channel for the s&p and the bottom of the triangle for the NQ (and possibly breakdown below that.)

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  #27 (permalink)
Identify Evaluate Execute
Mercer Island WA
 
Futures Experience: Advanced
Platform: Ninjatrader/Strategy Desk
Broker/Data: Various
Favorite Futures: TF/NQ/ES/Stocks
 
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Posts: 561 since May 2010
Thanks: 980 given, 1,524 received

Hi MECB. Nice work on the journal. I really like the way you trade. Here is one of my day trading charts. Does it look familiar? I also have the NYSE tick providing voice alerts all day. It provides the pulse of the market beautifully. I also automatically mark excess ticks (see charts with squares marked) based on a historical percentile system I designed. A couple of observations/ideas from one delta trader to another.

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1. Delta

I'm not sure if you have explored opportunities arising from neutralized delta and then trading new rotations? What I mean by this is from my experience at least the best opportunities arise after the shorts covered an entire rotation or the longs liquidated. I've attached a chart of the ES to show what I mean. If you look at the DS3 line (Delta Support 3 line) each time the longs liquidated after a swing price popped for good 5-6 point move. I've also attached the NQ chart as well. These are my bread and butter trades.

Also I notice quite a few great divergence trades on your charts as well. As you know these are great trades as well.

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2. Market profile

I notice you use market delta. I'm not sure if you use market profile but I've been using market profile and delta for awhile now and personally would not trade one without the other. The good thing about is if you understand the shape of profile you can adapt your style. For example if the distribution is fat ad symmetric like the ES chart then you would probably take lower target trades as the market isn't trending. However if the profile is elongated than you may want to step up to a higher timeframe and hold out for bigger targets. Anyway I think market profile is worth looking at.

The problem with trading pullbacks all the time in the market is non-trending 70-80% of the time. Pullbacks work well when the market is trending but in chop doesn't work so well.

3. Bigger Picture Charts.

I'm not sure if you have tried a bigger picture chart to get a better handle of what is really going on from a support and resistance perspective like a 30 minute chart. A 2 renko still seems quite a small timeframe for a bigger picture chart.

Apart from that I wish you ongoing success with your trading and journal.

Cheers
DJ

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  #28 (permalink)
Elite Member
Takoma Park, MD USA
 
Futures Experience: Intermediate
Platform: Investor R/T, TOS, Sierra Chart
Broker/Data: Velocity/TT/DTNIQ
Favorite Futures: NQ
 
Posts: 42 since Dec 2010
Thanks: 7 given, 17 received

Thanks for the post.

1. When I started using cumulative delta I used it that way but couldn't seem to get it to work for me. I guess I've just ever really had confidence that it tracks open interest/inventory levels. So now I just wait for flags and use it to tell me who is winning; buyers or sellers. I still haven't become consistently profitable but it's obvious from my trade log that my inconsistency with p/l comes from a lack of discipline and not my intended application of delta.

2. I actually just have the version of Investor R/T without Market Profile but I keep and eye on it with TOS just to get a general feel for it. The data isn't as good but I'm not using it to make trade decisions, just keeping an eye on it. Right now I'm trying to keep my trading as simple as possible until I reach consistent profitability. For now I'm just using swing points and consolidation to look for support/resistance.

3. For a longer term chart I just zoom out on the 2 renko which is really easy to do on IRT. It looks like a plain line chart that shows significant highs and lows and consolidation areas.

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  #29 (permalink)
Elite Member
Takoma Park, MD USA
 
Futures Experience: Intermediate
Platform: Investor R/T, TOS, Sierra Chart
Broker/Data: Velocity/TT/DTNIQ
Favorite Futures: NQ
 
Posts: 42 since Dec 2010
Thanks: 7 given, 17 received

Recap Thursday 5.31.2012

Net +3.5 points.

Decent day. Couldn't pull the trigger on two early trades because I was scared. The last two weeks of drawdown has hurt my confidence a little bit. Even though I didn't make those trades it feels good to have stalked them waiting for a setup and then having them turn out as i thought they would. This game is all about avoiding unforced errors. Not only do bad trades cost money but they prevent you from taking good trades and managing them properly.

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  #30 (permalink)
Elite Member
Takoma Park, MD USA
 
Futures Experience: Intermediate
Platform: Investor R/T, TOS, Sierra Chart
Broker/Data: Velocity/TT/DTNIQ
Favorite Futures: NQ
 
Posts: 42 since Dec 2010
Thanks: 7 given, 17 received

Trade 1 5.31.2012


-4.5 pts

I was hoping for a retest of the lows even though there was already one test that failed with huge absorption (visible on the chart). After the failed retest with that absorption followed by a very strong buy response I should have been prepared to get long on the next pullback.

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