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Learning to trade the ES using volume profiling
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Learning to trade the ES using volume profiling

  #151 (permalink)
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2-25 pre-market

Economic data: none

ON Profile: Well we have a gap up open on tap today as spoos are currently trading +7 and have a 12 pt range thus far. Looks like the ES opened unch then checked fridays VAH before taking off to the upside. The high matches the final swing hi from last wednesday to the tick. Two distinct distributions have formed with vpoc just now shifting to the upper one and placing it right the at the 1422 CLVN/breakout area so sellers have stepped up for now at that area. Volume at 264k is significantly above average for this time.
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I am expecting an OAOR open today with bulls/short coverers making the first move. If they struggle to take it above the 1524.25 LVN from last wednesday then I think sellers can step in and try to auction it lower thru the 18.25 LVN down to 13.25 mc vpoc. If bulls are successful, new highs are in the cards.

Levels Above: 1522 CLVN/nvpoc, 1524.25 LVN, 1528 double top

Levels Below: 1518.25 LVN, 1513.25 mc vpoc, 1510.75 CLVN

Hypo#1: Spoos open OAOR and move higher to 1524.25 and find rejection then auction lower thru the day to 1513.25 mc vpoc.

Hypo#2: Spoos open OAOR and meet responsive sellers on open that auction it lower to 1518.25 LVN before buyers step in and grind it higher thru the day.

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  #152 (permalink)
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2-25 trades and recap

1. Long 1518.25 lvn on 6.25 pt pb. Breadth +112 and tick -164. Upper LVN at 24.25 held then sellers came in with force to auction straight down on what had been a seeming rotational day developing. Stopped after 3 minutes and .75 MF. I had nothing to lean on below since the LVN zone extened down to 15 and thats where it went. Mental note for next time...

2. Long 1512.25 MP single on 5.5 pt move. Breadth -67 and tick -600. Scaled after 4 min and .25 MA. Second scale given.

3. Sold 1515.5 IBLO/LVN on 3 pt move up. Tick +893 and breadth 40. Got filled on pretty intense tick spike up and then went to my exit price and had a very small print like 3 times with no fill obviously. Vpoc sitting 2 ticks above my entry. Double bottom at LOD. Comes back to exit again and no fill. Stopped out after 8 minutes and 1.5 MF, unreal. Only 98 printed at my stop. Would have been winner...

4. Long 1509.75 (1 pt below 10.75 CLVN) on 3 pt move down. Breadth -167, tick -500. I thought 10.75 area was key but didnt like 2 pt move into it so I put in my order a point below. And I was stopped out after 1 min and .25 MF.

5. Sold 1511.75 MP single on 4.25 pt move. Breadth -96 and tick 600. (I passed on the 10.75 CLVN as it was not respected on the way down so I guessed it would not be respected now). Potential caveats are that the low at 1506 looks good and stopped 1 tick short of nvpoc and the fact that the 13.25 mc vpoc above could act as a magnet. Quickly it went 5 ticks in my favor and then went back to entry. I am not liking how this trade is feeling. Scaled after 14 min and .75 MA. Second scale given.

6. Bot 1501.25 after putting in what looked like a low at 1500.75 so I jumped in in case 1500 didnt print. Stopped after 40 seconds! That sucked.

7. Bot 1500 after being stopped on prior long as it was and 5.25 pt move into the big figure. Breadth -350 and tick -400. Scaled after 2 min. Second scale given. Very strong potential for LOD.

8. Long 1490 on 4.5 pt move into the close. Stopped after 2 min and .75 MF. Was just fishing for a puke and instead I puked, so dumb...

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Recap
Bloodbath, total woodshed day. Definitely no value area. Vpoc shifted down to the bottom at the close but I don't think it matters much. Volume was extremely heavy at 2.65 mill, the most in quite some time while range at nearly 40 pts was the most since 2011. This day definitely left a mark. I have sound alerts for tick hi/lo and breadth hi/lo and basically the sounds were going off every 2 minutes all day after 930. Might need to adjust the thresholds on that if this type of vol continues.

My own trading was a mixed bag, some good, some bad, some horrible. I pussed out on that short at 1524.25 because it pulled back 1.25 pt after stopping at 24 first and I wanted to get a little more edge so I moved my order to 24.75 and obviously no fill. The 24.25 short was the cherry set up of the day and I blew it. That 1518.25 long I took was stupid, despite it being a massive rotation into it, I need to stop doing those trades where I buy the top of the flagpole and have no support beneath me. The short at 1515.5 was solid and too bad I got stopped to the tick on a small print... That last long stab at 1490 was so stupid, 90.25 was low of day from 2-4 so I thought there might some confluence with that, 1490 and at that point it was 34 pt range but it doesnt matter when the market closes in 5 minutes and people need to exit. I did 2 trades using MP single prints today and they both worked out and gave scales so something to remember. But my discipline keeps me in the game and I live to trade another day.


Last edited by Profiler; February 25th, 2013 at 06:38 PM. Reason: fixed mistake on vpoc location
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  #153 (permalink)
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2-26 pre-market


Economic data: case shiller, housing, new homes, consumer confidence, the bernanke

ON Profile: We have a heavy volume (411k so far) p-shaped profile. Spoos traded down to the 1481.75 CLVN to the tick (where I had a bid in but no fill...) then bounced strongly up to the 91 area where value has been built. Vpoc currently stands at 1491.5. I don't really see any specific reason why 93.25 is the hi. The low 90 area was a base of support in late january (91.25, 90.75, 93, 92 and 90.25 lows) when the 95.5 mc vpoc was formed so that area could not be acting as resistance.

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This day is hard for me to forecast since I have not dealt with 40 pt ranges using this style of trading. I expect an OAIR but am keeping open the possibility of an OD, either up or down. I'm guessing today will be a directional day but maybe after yesterdays carnage people will rest and it will be more rotational. ON volume does not suggest the latter though. Yesterdays low was very poor as selling was cut off at the bell so that will be cleaned up (eventually, most likely). I enter the day with a long bias but preferring to sell rallies at key levels. Keep in mind that range will probably expand beyond the 10-12 pts or whatever we have been dealing with mostly lately.

Also, bigger picture we are at the top of a very thinly auctioned area. ES just blew through 1469 to 1490 in 5 days and left very minor balance areas behind so its quite possible we will just slide right down to 1467 area.
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Levels Above:1492 CLVN, 1495.5/96.25 CHVN**, 1498.75 CLVN, 1502.75 CHVN, 1505.5 LVN, 1510.75 CLVN/LVN

Levels Below: 1488.5 CLVN, 1487.25 nvpoc, 1485.5 pLo, 1481.75 CLVN/ONLO*, 1480.75 nvpoc, 1476.25 mc vpoc, 1473.75 nvpoc, 1470.25 CLVN***

Hypo#1- ES opens OAIR and responsive buyers dip their toes in the water auctioning it up to 1495.5 mc vpoc where sellers halt the parade and auction it lower into the close.

Hypo#2- ES opens OAIR and sellers take it down to revisit ONLo where buyers again step in and auction it higher through the day.

Hypo#3- ES opens OD (up or down?) and auctions that direction through the day. Go with!

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  #154 (permalink)
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2-26 trades and recap

1. Sold 1496.25 CHVN on 4.5 pt move after 9am numbers. Breadth +350 and tick +400. So far we have a rotational day on tap but with above average volume so hard to say how this will play out. Scaled after 5 min and .75 MA. Second scale given.

2.Long 1487.25 nvpoc/settlement on 4.5 pt move. Stepped in front of a bus on this one. Breadth +20 and tick -600. Instantly 4 ticks against me and very poor low formed. Scaled after 8 min and 1.0 MA. No second scale if stop moved to entry but scale if stop maintained at same spot.

3. Sold 1491.75 mid/vwap on 5.25 pt move. Tick +400 and breath 187. We've had range extension down so far today after a failed pop higher. Scaled after 4 min and .5 MA. Second scale given.

4. Long 1494.5 OSHI/dVAH on 2.5 pt pb after double top at IBHI formed. Breadth 257 and tick -250. Very unsure of this trade, especially as hi still looks good on profile and a HVN exists below at 93.75 which I also considered as a long. Stopped after 5 min and .25 MF. Didn't have much to lean on... Dang, 93.75 would have been a winner...

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Recap
Another volatile day, 14 pt+ range but filled with tons of little gyrations. I would again throw todays value area out the window because the profile is very long and thin and doesn't really show much agreement on price. Vpoc, fwiw, shifted up 7 pts along with price. Volume once again very heavy at over 2.35 mill. We spent the whole day filling in the area of yesterdays spike into the close. The daily candle gives us a doji with a lower low than yesterday and a close back inside pRange which could indicate the sell off is over??? I wouldn't bet on it but something to consider.

My trading was good today, aside from the last trade which could have been better. There were more trades I could have done but honestly with the beatings I have been taking lately I just wanted to take the money and run for emotional capital reasons.

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  #155 (permalink)
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Hey profiler,
I've been recently following your thread since I am learning to trade spoos as well. I am using similar methods to you as they regard to VP. I also follow ft71. It seems that he teaches entry using a scalping method to fine tune entry skills. How many trades and win/loss rate are you looking for? Also what are you looking for in the breadth and tick.

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  #156 (permalink)
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  #157 (permalink)
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jngrim View Post
Hey profiler,
I've been recently following your thread since I am learning to trade spoos as well. I am using similar methods to you as they regard to VP. I also follow ft71. It seems that he teaches entry using a scalping method to fine tune entry skills. How many trades and win/loss rate are you looking for? Also what are you looking for in the breadth and tick.

i dont really have a set amount of trades or win/loss ratio im looking for, i'm mainly concerned about just trying to understand the auction process and prioritize context. once i do that, everything else will take care of itself i feel. if i see edge in 20 trades a day, i would do 20 trades, if i see edge in only 3 trades then i would only do 3. most important thing is having an edge (which i do NOT have as of yet).

as far as tick and breadth, im mostly looking for divergences. say ES puts in a low at 83 on a tick reading of -600 and a few minutes later comes down to 83.25 and tick is -200 or even positive and 83 was a homework level then I would use that to possibly pay up to get long at 83.25 or 83.5. breadth im more concerned just about overall level and its relationship to the type of day im expecting. for example, if ES is up 8 and i was expecting a rotational day and breadth is only +100, that might make me more likely to fade it.

thanks for reading my blog, feel free to shoot me a pm anytime with questions or to collaborate with me in the learning process.

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  #158 (permalink)
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2-27 pre-market

Economic data: durable goods, home sales, the bernanke testimony day 2

ON Profile: ES traded in a 7 pt range with above average volume (243k so far) overnight in a generally very balanced profile with a recent exploration up to 97 just now. Thats 3 times the 97 level has repelled buyers including twice yesterday so sellers are lurking there seeing that as too expensive. Vpoc sits at 1492.75 which was kind of the buy/sell dividing line of yesterdays session. I cant really find a good reason for placing the low at 1490. ES largely auctioned within yesterdays value area so market waiting for new info.

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We're poised for an OAIR start inside value, potentially right at yesterdays vpoc so chop at the open is expected. Ideally I would like to see a move up to the 1499.25 MP single/CLVN and find rejection with a downward target of 1489 and below. Yesterdays pause after the big sell off didn't go very far so this thing could easily run to 1506 area before heading back down again.

Levels Above: 1495.5 mc vpoc*, 1499.25 MP single/CLVN*, 1502.75 CHVN, 1505.5 single/LVN, 1510.75 CLVN/Single**

Levels Below: 1488.5 CLVN/LVN*, 1487.25 CHVN, 1481.75 CLVN/single*, 1480.75 nvpoc, 1476.25 CHVN

Hypo#1- Spoos open OAIR inside value and chop, rotate higher to 97/99.25 and get rejected down to 1489 and possibly lower.

Hypo#2- Spoos open OAIR inside value and chop, push lower to 1489/87 to pick up buyers then grind higher to 1499.25 level.

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  #159 (permalink)
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2-27 trades and recap

1. Sold 1499.25 on 6 pt move. Breadth +295 and tick +368. We had an OAIR open with some chop then this powerful move up. Man, its now gone a point against me and profile looks trendy. Sellers stepping in now. Scaled after 4 minutes and 1.0 MA. Relative volume 50% above average so this move up is with volume. Had I sold the 98.75 CLVN I would have been stopped to the tick. No second scale, even with stop at -6T. Yesterday's hi held on pullback.

2. Sold 1505.75 MP single/LVN on 2.75 pt move. Breadth +410 and tick +600. This market is strong like bull and I have no business taking the short except to put in my records for stats so I took it. Wow, filled after 8 min and .75 MA! Second scale given. VP lvn at 5.5 also would have paid.

3. Sold 1511.25 (2 ticks above 10.75 CLVN) on 2.75 pt move. Breadth +443 and tick +770. Instantly 3 ticks in my face on spike. Here I am short again but this type of market doesn't give me a long entry anywhere good. Need to learn how to just pay up. Tick actually spiked to 909 on that which is the highest I've seen since I started watching it. 19 handles of range so far. Stopepd after 7 min and .5 MA.

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Recap
Spoos opened innocently enough OAIR 2 ticks above the nvpoc from yesterday. I'm not sure if that 92.75 line in the sand level I pointed out in a chart earlier had any impact today but ES couldnt even make it to that level before buyers stepped in with authority at 8:33am. Can anyone explain to me why they waited 3 minutes to go nuts? Why not just do an OD from the get-go? I heard rumors of sequestration meetings by both parties may have been the cause, who knows? We ended up with a near text-book example of a strong trend day-my only knitpick was it didnt spike into the close. Value area is non-existant and vpoc is largely irrelevant as well but ended up near the top at 1516. Price substantially higher on heavy volume at 2.09 mill. This puts ES back in the upper balance area bounded by 1510 and 1528.75 with 1513.25 CHVN. The mc vpoc for the last 3 days is 1516.

My trading was good enough to let me escape with a win but thats about it. I'm fine with the 3 shorts I took despite it being such a solid up trend day. But man it sucked not being even close to putting on a long. I was working the vwap long all morning and was even prepared to pay up a tick or two but in a sign of the strength of the trend it never even came close. And from there I just had nothing to lean on for a long. Here is my commitment: the next trend day, I WILL be involved. I am going to hop on at some point with nothing to lean on but a 2 pt pb and if its a loser its a loser but I cant just let these massive trend days go by sitting on the sideline practically all the time.


Last edited by Profiler; February 27th, 2013 at 08:37 PM.
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  #160 (permalink)
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Profiler
On trend days the 1st dev vwap is a good place for entry. The idea is that a trend is an out of balance situation and support would be the edge of balance. Would have given you several entries.

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