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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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  #131 (permalink)
Rio de Janeiro, Brazil
 
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COTtrader View Post
Profiler,

What is the S5T chat room?

Your end of day reads are very helpful. Adding more knowledge and tools to my arsenal.

Ken

hey thanks ken. just keep in mind im new to this style of trading as well so my reads might not be (read: aren't) 100% accurate. check out private banker here on the site, usually in the CL trading forum, his analysis is spot on. different product but doesnt matter because the theory is the same.

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  #132 (permalink)
Rio de Janeiro, Brazil
 
Experience: Beginner
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Economic data: empire, michigan

ON Profile: We've got a 5 pt range on light/normal volume (160k) with the range being entirely inside yesterdays session, the majority of it inside yesterdays VA. Vpoc sitting 3 ticks off the low at 1515. Can't really place my finger on why the high or low are where they are. Kind of a weird looking profile that fits in with last 2 days action leading to toothy-ness and undetermined fair value. Looks like it rejected yVpoc searching for buyers and found them at 1415.



I'm expecting an OAIR inside value with a choppy open as market awaits michigan number at 8:42. If that number is significant it could lead to a directional day. Otherwise I am expecting a slow rotational day ahead of the holiday on monday. Wednesday prices strongly rejected the 1513.25 mc vpoc. Yesterday price opened below that level and were strongly rejected. I am thinking another probe down there will again lead to rejected prices especially against backdrop of rotational day so will look to get long there. To the upside, sellers exist around 1520.5 and will consider a short there on a decent rotation. Otherwise, not sure where else to sell, maybe 1525 on good rotation.

Levels Above: 1518.25 nvpoc, 1520.5 minor HVN, 1522 mc hi

Levels Below: 1513.25 mc vpoc, 1510.75 CLVN, 1505 prior mc vpoc, 1502.75 CHVN, 1498.75 CLVN

Hypo#1- Spoos open OAIR inside value, break lower to 1513.25 mc vpoc then grind higher rest of the day.

Hypo#2- Spoos open OAIR inside value, rotate up above 1520 and find rejection then fade into the close.

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  #133 (permalink)
Legendary Market Wizard
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Profiler View Post
michigan number at 8:42.

Friendly reminder, it's 8:55 (CT). The Chicago PMI has an early subscriber release at 8:42 with an embargo release at 8:45, maybe that's what you were thinking.

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  #134 (permalink)
Michigan, Jackson
 
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No aggressive buying at Wednesday's high. I wonder if Limit Orders were stacked there today when price attempted to break through. Again, we have the weekly and monthly R1 at 1521.

Ken "COTtrader"

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  #135 (permalink)
Michigan, Jackson
 
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This week on the Cum Delta -

See the rotations -

Ken

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  #136 (permalink)
Rio de Janeiro, Brazil
 
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1. Long 1515.75 LVN/pVAL on 2.75 pt move with breadth -60 and tick -460. Expecting a rotational day and we have a very pronounced vpoc above at 1419.75. Scaled after 34 mins and .5 MA. Second scale given.

2. Long 1513.25 mc vpoc on 6 pt move down. Breadth -108 and tick -130. Stopped after 7 min and 1.25 MF. That was annoying.

3. Short 1516.5 mid/LVN on 4 pt move at 2:43 pm. Breadth -45 and tick 200. Not liking time of day but it had confluence of mid and LVN so went with it. Scratched at 2:55 with 1.0 MF vs .25 MA. Close is a toss up. Would have been loser.




Recap

Spoos opened OAIR just below pHi and faced minimal responsive selling out of the gate as it failed to tag the nvpoc at 1518.5. It then pierced through pHi and explored upward but couldn't take out the 1522 hi, leaving behing a very poor hi. After re-entering pRange it was over as sellers took control and auctioned it lower down to the 13.25 mc vpoc and very nearly the 10.75 CLVN. These were just your garden variety sellers though with no spines and they covered into the close. Vpoc shifted up a few more points and value just a touch overlapping higher. Price closed down a point. Once again we have a very ugly profile left behind. Bigger picture, this doesnt change the MC at all. 1513.25 is still the main draw and the 1511 below continues to attract strong buyers. Maybe on the daily level we are beginning to stall out up here? Maybe, not going to bet on it just yet.

I am disappointed with my trading today. I passed/stared at some really good set ups that for whatever reason I found some excuse why it might not work. Could have been a great day... That mid/vwap short in the afternoon before the walmart news came out, man, straight down after that. Looking forward to a restful 3 day weekend...no, wait I am not at all. I want to trade monday, I need more experience and I want to start making some cash. Oh well, good weekend everyone!

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  #137 (permalink)
Michigan, Jackson
 
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Profiler,

Thank you for reporting as you always do. What time frame do you trade? Do you use the 5 min? Why did you take the long at 13:21? Because it was the CHVN? While I profited every day this week except Monday, I still need to work on holding to a max loss. When I take a loss, I try to "recover" but usually end up taking a second loss. Then it takes two winning days for me to return to par. On a similar note, when I am 6 ticks in the money, I always set my SL to +1. If price returns and takes me out, then I am only 1 tick away from my original entry. Now I am free to enter the trade a second time or rethink my strategy. Either way, I banked money. I decided I will not take a losing trade when 6 ticks inside. Psychologically it is perhaps more important to relieve oneself of the anxiety and self-loathing. As traders tell themselves, "I don't have to be right" on the trade. Even if I come away with a $50 win I did not suffer a $500 loss.

By the way, I like your 'hypothesis' for the trading day. Keep up the good work.

Ken




Profiler View Post
1. Long 1515.75 LVN/pVAL on 2.75 pt move with breadth -60 and tick -460. Expecting a rotational day and we have a very pronounced vpoc above at 1419.75. Scaled after 34 mins and .5 MA. Second scale given.

2. Long 1513.25 mc vpoc on 6 pt move down. Breadth -108 and tick -130. Stopped after 7 min and 1.25 MF. That was annoying.

3. Short 1516.5 mid/LVN on 4 pt move at 2:43 pm. Breadth -45 and tick 200. Not liking time of day but it had confluence of mid and LVN so went with it. Scratched at 2:55 with 1.0 MF vs .25 MA. Close is a toss up. Would have been loser.




Recap

Spoos opened OAIR just below pHi and faced minimal responsive selling out of the gate as it failed to tag the nvpoc at 1518.5. It then pierced through pHi and explored upward but couldn't take out the 1522 hi, leaving behing a very poor hi. After re-entering pRange it was over as sellers took control and auctioned it lower down to the 13.25 mc vpoc and very nearly the 10.75 CLVN. These were just your garden variety sellers though with no spines and they covered into the close. Vpoc shifted up a few more points and value just a touch overlapping higher. Price closed down a point. Once again we have a very ugly profile left behind. Bigger picture, this doesnt change the MC at all. 1513.25 is still the main draw and the 1511 below continues to attract strong buyers. Maybe on the daily level we are beginning to stall out up here? Maybe, not going to bet on it just yet.

I am disappointed with my trading today. I passed/stared at some really good set ups that for whatever reason I found some excuse why it might not work. Could have been a great day... That mid/vwap short in the afternoon before the walmart news came out, man, straight down after that. Looking forward to a restful 3 day weekend...no, wait I am not at all. I want to trade monday, I need more experience and I want to start making some cash. Oh well, good weekend everyone!


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  #138 (permalink)
Rio de Janeiro, Brazil
 
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so here are the weekly timeframe updates





we can see all timeframes still point higher. First objective for bears to get a toehold in the door is a close below 1510.75.



This shows what happened since tuesday when we popped above that 1515 double top. 1513.25 still the main magnet in the area but all above that is filling in toothily yet somewhat uniformly (if that makes sense) up to 1518 before it starts tailing off. We essentially have a double top at 1522 (counting the 1521.75 hi from yesterday) so I expect that to get taken out. Interestingly we have an MC LVN at 1515 that I had not picked up on before.

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  #139 (permalink)
Rio de Janeiro, Brazil
 
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Trading: Es
 
Posts: 617 since Jan 2013
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COTtrader View Post
Profiler,

Thank you for reporting as you always do. What time frame do you trade? Do you use the 5 min? Why did you take the long at 13:21? Because it was the CHVN?

Ken

I took the long at 13:21 because it was a key level that held 2 days earlier to the tick (almost-1 tick thru) and it had a solid 6 pt rotation into it. I like to fade moves above 3-4 pts against key levels because its a statistically abnormal move: ~70% of ES rotations are less than 3.5 pts so with a 6 pt move I think it gives me an above average chance of not going another 1.5 pts against me to stop me out combined with a greater than average chance of giving me a 1.5 pt first scale and then another scale after that. Plus all timeframes are trending higher so I would prefer to align myself on the long side.

What is my timeframe for trading? Not sure, I will hang on to a trade as long as it takes to give me a scale or stop me out.

About your risk management, take your losers!!! Don't let 1 stupid insignificant trade snowball into a monster that ruins your week/month/account. Not worth it. The goal is to stay in the game as long as it takes to figure it out. Some of my best trades in the past were taking a small loser that would have turned gigantic if I stayed stubborn and held onto it.

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  #140 (permalink)
Rio de Janeiro, Brazil
 
Experience: Beginner
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Trading: Es
 
Posts: 617 since Jan 2013
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Economic data: NAHB

ON Profile: We have a weird looking profile that I made combining everything since sunday night. I suppose you could call it balanced? Vpoc is sitting at 1517.25 towards the lower end of the range. Spoos have explored friday's entire value area to the tick (almost-the low is 2 ticks below VAL). Volume is light. We are currently trading near the top of the range.


Expectations are for an OAIR inside value and a rotational day ahead of some big economic news tomorrow (ppi, fomc). However, we have been balancing up here for 4 days now and it might be ripe for a breakout, or even a failed breakout to the upside with a big reversal down. 1511 and 1522 are the key. A pop up above 1522 double top that is held gives bulls a chance to run. A peak above 1522 that repairs the poor hi then leaves an excess selling trail opens the door for a meaningful sell off if bears came hammer it down through 1511 and close below. Stepping back, longer time frames are still decidedly bullish. Daily time frame could be either bullish or balancing, err to bullish side.

Levels Above: 1522* double top

Levels Below: 1519.75 nvpoc/1519.25 LVN, 1515 CLVN, 1513.25 mc vpoc, 1510.75 CLVN*, 1505 mc vpoc,

Hypo#1: Spoos open OAIR inside value, responsive sellers knock it down to 1519.75 or possibly 1515 where buyers step in and auction it higher through the day.

Hypo#2: Spoos open OAIR inside value, peak above 1522 to possibly 1525 where sellers finally step in auction it lower.

Hypo#3: Spoos open OD up and trend higher.

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September 20, 2014


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