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Learning to trade the ES using volume profiling


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Learning to trade the ES using volume profiling

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  #91 (permalink)
Michigan, Jackson
 
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Couldn't agree more.



josh View Post
Here's a mental checklist that guided that decision. I don't think it's a mental issue for you, I think it's understanding the context and managing expectations based on that.

1) Friday's trade established 11s as unfairly low prices.
2) Early trade on Monday confirmed that.
3) The B period dip below 10.75 served to run stops, and to confirm lack of supply below 10.75, as evidenced by the minor retest of 10.75 on C period. Thus, the real demand is at 11s, and below 11s is really excess.
4) I want to be long this market in general, period. So, where do I want to do this?
5) See the profile as it looked at the time. Where do the unfair prices begin on the low side? Is this a balanced market? Yes--a lazy attempt at a selloff failed early, and a lazy attempt a new highs failed later. So why would I expect something different this time? And why would I expect a downside breakout in a market which is clearly biased long, on a day with low relative volume and range, and has shown no ability to even really auction below established value?
6) Look at the VWAP at the time. Is that indicative of a market which is looking to breakout in either direction?


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  #92 (permalink)
Legendary Market Wizard
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Profiler View Post
why wouldnt you think this time it could break?

So today we open in range, at the upper VPOC. Test of highs finds no buyers to auction higher, so we have auctioned lower. Maybe we won't get there, but my expectation is an auction to 11, and I am just crazy enough to plan to buy it again. It worked on Friday, and all day yesterday, so why would I expect different today with similar market conditions? Even if it does not work, I have no objective reason to expect something different, so I will observe, and I will buy it almost guaranteed. If I get run over, then it is valuable information and then I will adapt to the new conditions.

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  #93 (permalink)
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what do you make of this context now? breaking out to new RTH highs on poor volume and breadth after a very rotational start to the day. I'm looking at selling the ONH from yesterday at 1517, is it reasonable to assume I can expect a reaction there? or should i be focusing on finding a long due to all time frame up trend?

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  #94 (permalink)
Michigan, Jackson
 
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Should we break above 17 I see an extension to the 21 where Weekly and monthly resistances are found together.

Wait to sell around the 20's is what my plan is or to look for a buy off the ON low @ 08.


Profiler View Post
what do you make of this context now? breaking out to new RTH highs on poor volume and breadth after a very rotational start to the day. I'm looking at selling the ONH from yesterday at 1517, is it reasonable to assume I can expect a reaction there? or should i be focusing on finding a long due to all time frame up trend?


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  #95 (permalink)
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Profiler View Post
what do you make of this context now? breaking out to new RTH highs on poor volume and breadth after a very rotational start to the day. I'm looking at selling the ONH from yesterday at 1517, is it reasonable to assume I can expect a reaction there? or should i be focusing on finding a long due to all time frame up trend?

Poor volume means nothing. It means that there are not many sellers standing in the way to retard the move, just as much as it means there is not much participation and initiative buying.

I bought 13.50 before the push to 16.25, but was out at 15. I failed to buy it again, which I absolutely should have and simply made a mistake in not following through with my idea.

I do not put much weight into non-RTH prices in general anymore. Is it reasonable to expect a rotation at 1517? I don't know, but I can tell you that I will not sell new 5 year highs But that does not mean you should not, if that is what you think will work.

What I see is a market that is up, has broken out, has retested the VPOC at 13s which held like a charm, and is trading above that. If it gets below that, I would maybe consider a sell. But I see a market that is searching for unfair highs, and has not yet proven to me that it has found them. I see TICK in the green for about 80% of the day so far, and only a few prints below 0 since 10am. So I see context bullish, and sentiment bullish. But this is just my read on things, and yours may be different.

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  #96 (permalink)
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Profiler, the open at 13.75, the vpoc at 13.25, mid at 14, excess below 13.25 (A period), heavy volume with buyers stepping in here at this test of 13.75, has led me to buy at 14; should have been 13.50 as I mentioned earlier, but still a favorable risk profile here. Target is your ON 17 from a few days ago. SPX 1523 is resistance from 2007, corresponds roughly with ES 1518, so I will shoot for this area. Win or lose, it is, to me, the highest probability trade, so I take it.


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  #97 (permalink)
Michigan, Jackson
 
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Nice setup Josh. I expect a test of the high or higher today.

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  #98 (permalink)
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nice trade josh, almost a scale so far with no heat. but i dont get it. i see a trade initiated in the middle of balance, both today's and overall last 3 days. in my mind, the "only" thing working for you is the overall up trend on all time frames. what is your definition of excess? i look at the MP for today and don't really see that buying tail as excess, its only 1.25 pts after all. But maybe thats where im wrong, considering the overall range is only 4.25, maybe it is significant.

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  #99 (permalink)
Michigan, Jackson
 
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Delta needs to strengthen... I think, to push up from here.

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Profiler View Post
nice trade josh, almost a scale so far with no heat. but i dont get it. i see a trade initiated in the middle of balance, both today's and overall last 3 days. in my mind, the "only" thing working for you is the overall up trend on all time frames. what is your definition of excess? i look at the MP for today and don't really see that buying tail as excess, its only 1.25 pts after all. But maybe thats where im wrong, considering the overall range is only 4.25, maybe it is significant.

BTW, closed flat at 15.50. Maybe closed early, but adapted and did what I thought was best at the time. Will definitely leave money on the table this way sometimes, but did not get full position on at 14, so better to be flat for me.



We have a market which clearly wants to go up. But volume is 13% below a normal value, and range is 38% below normal. The profile is quite balanced, despite the bullish tendency. With only a 4.25 range, the VAL is 13.75 while the VPOC is 14.50, only 3 ticks away.. So, the buy at 14 was actually very close to the unfair lows below 13.75, despite the fair price being 14.50, with such a small range. The 4 tick excess in A period accounts for over 20% of the day's range... so, it's not an ideal excess, but it is still excess nonetheless, in my book anyway.

For the day, 14.50 may be the fair price, but consider the context--the market broke below the most fair price for the last 2 days early on. It could not hold, and traded to new highs as it broke out of balance. As of yet, it has not managed to trade below that 2-day fair price. So buyers are willing to pay above fair value, today. So yes, it's a trade initiated in the middle of balance, but the fact that we have broken above that balance, and are unable to trade below that, makes a long an attractive trade for me at that location.

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