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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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  #161 (permalink)
Rio de Janeiro, Brazil
 
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jngrim View Post
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.

Thanks i will look into that. Can you post a pic of yesterday with vwap dev overlayed on it? Also, can you explain how it is calculated? I understand how vwap is calculated but how is the standard dev calculated?

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  #162 (permalink)
Rio de Janeiro, Brazil
 
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Economic data: claims, GDP, PMI

ON Profile: Spoos put in a tight range and very balanced profile last night. Hi is yesterday's hi to the tick. Vpoc is 2 ticks above yesterdays vpoc. Not really sure why the low stopped at 1515, I would have thought at least get to the LVN at 1513.5. Volume is above average again at 215k so far.



I think the main take-away is that all of yesterdays gains held. We have some data out at 730 that could change the picture but based on the ON action I think this market is primed to head higher, even after yesterdays monster rally. I don't expect another trend up day. I think we open OAIR and have a rotational day that favors the upside.

Levels Above: 1419.25 pHi/ONHI, 1424.5 2-20 LVN/2-25 HOD**, 1528.75 5 yr Hi

Levels Below: 1513.5 LVN/mc vpoc/MP single*, 1510 CLVN/1509.5 MP Single, 1502.75 CHVN, 1500.75 MP single

Hypo#1- Spoos open OAIR and rotate lower to 1513.25 to pick up buyers then grind higher the rest of the day.

Hypo#2- Spoos open OAIR and push higher but fail near/above pHI and re-enter pRange and sell off to 1510.

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  #163 (permalink)
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Here's that picture you wanted. Question for you. Have you any suggestions for seeing absorbtion/clustering. I dont know whether to use volume/tick/range bars and what sizes. Thanks

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  #164 (permalink)
Rio de Janeiro, Brazil
 
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thanks jngrim, i appreciate that. just to be clear, the vwap is the red line and the 1st dev is the outer blue line? what is the middle gray line? why is it there?

i don't use anything for absorption so I can't help you there. its on my list of things to do but firstly i need to just understand the auction process.

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  #165 (permalink)
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The red line is vwap... the gray line in the purple hashed area is 1/2 deviation VWAP line. The middle blue line is the 1st dev vwap, the outer blue line is the 2nd dev VWAP I prolly shouldn't have it(1/2 dev) on there since I do not use it.
Just one of those settings I did not drop from the indicator. Also, I believe COT also suggested trading off of 1st dev as well back on the 25th. Obviously being able to recognize the type of day early can help you decide which tools to use as the day progresses.

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  #166 (permalink)
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1. Went long 1518.75 on 1.75 pt pb after potential trend day higher again. This is part of my commitment to not miss trend days. I need to let go of my reservations and this long is part of that process. Maybe it works maybe it doesnt. Breadth +250 and tick 0. Stopped after 2 min and 0 MF. Oh well, next trade. Perhaps if it was a true trend day it would not have re-entered pRange? And therefore my bid should have been 19.25?

2. Sold 1521.75 (ahead of previously important 1522 level) on 5.25 pt move. Breadth 294 and tick +600. Day has been very balanced so far so was looking for an extreme to fade. Ok so 5 ticks against me pretty quick and now back to my entry but nothing printing really. Considering trying for a scratch but decide against. My exit is potentially troubling considering its 1 tick below the IBHI. Well it doesnt matter, stopped out after 14 min and .5 MF. Ah man, stopped at the hi then re-trace back to entry...

3. Sold 1524.5 (2-25 hi/2-20 LVN) on 3.25 pt move up. Breadth +339 and tick +414. Market was really grinding higher into this one and I was quite afraid there would be stops triggered here. Instantly 4 ticks in my favor! Scaled after 3 min and 0MA, why can't they all be like this? Second scale given. Definitely a nice selling response at that level, currently 3.5 pts off it.

4. Long 1519.5 LVN/VAH/pHi on 4.75 pt move, mid 2 ticks below. Breadth +200 and tick -500. Caveats to this trade: very strong reaction from 24.5 key level above has sellers targeting vpoc at1517.5. IBHI also failed 1 pt above. Caveats in favor: rotation, confluence of 3 LVN/VAH/pHi and mid being 2 ticks lower. Scratched after 16 min and 1.5 MA vs. .5 MF because of poor lo formed and I would have been taken out for a loser but I changed my stop from automatic to manual. Would have been loser.

5. Long 1511 HVN on the close. I saw the spike coming and threw in the 1511 bid thinking the 1509.5 MP single was too far away. Sweet jesus! 5 tick winner in 11 seconds- it did violate my risk limits but it happened too fast for me to put in my stop. Booking it, ha.




Recap
Man, wild close! Another solid (1.86 mill) volume day that finished neutral extreme. Spoos opened OAIR, bee-lined it to the 13.25 mc vpoc/LVN then reversed higher. After breaking above pHi and checking out the 1524.5 level aggressive sellers stepped in and knocked it all the way down to new lows with a crazy spike at cash close. Overall the day was balanced. Value was established (unlike yesterday) and vpoc shifted up incrementally above yesterdays. Price closed down and outside of value.

I'm very pleased with my trading today, mainly because of the first trader. It was a loser but I don't care, I tried hopping on a possible trend day for the first time. Turns out there were prolly some signs the trend was over or that it never was like only marginally above average volume at the time and a re-entry into p-range. Highly questionable second trade I made. 1422 was an important breakout level 2 weeks back but nothing on my chart indicated it was still relevant but I still took the trade because it was a big rotation. Didn't work. I'm glad I put that 24.5 sell order in pre-market because otherwise I don't think I would have been at the top tick. Finally I get a top tick sale instead of a puke! When I trade multiple lots that trade will offer some scales. I anticipated that spike at the end, not the magnitude but the possibility as it seemed longs were really squirming. Good day overall, not sure my auction logic improved much but 5 more trades under the belt.

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  #168 (permalink)
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Economic data: personal income/spending, michigan, ISM, construction

ON Profile: ES explored lower overnight with an expanded range of 10 pts and heavier than normal volume (315k so far). The hi coincides with an LVN that has stayed has been respected 2 days in a row at 1513.5. The low so far is just above the 1502.75 lvn from wednesday at 1503.25. Vpoc just shifted down to 1505 from 1509. Sort of a double distribution type profile but to me it appears more block-ish as prices between 1509 and 1512 were all fairly well accepted.



I expected the market to explore lower overnight based on yesterdays closing action. The question is, has it gone down far enough to entice the dip buyers to step up? With the latest vpoc shift it seems more likely but this action has been volatile lately so have to keep mind open to everything. We have some important data out today that could move the markets unexpectedly as well. My expectation is for an OAOR rotational day where dip buyers make the first move attempting to get back into previous range first and the next hurdle being the 1513.5 LVN/ONHI with the success of that attempt shaping the day. From 1509 down to 1497 is really thinly auctioned due to that trend up day wednesday. Overall we have 16.25 as the 4 day mc vpoc. Longer term and intermediate trend is still positive. Short term we appear to be balancing between 1490 and 1525 ish. We have a double top at 1524.5 to the tick so most likely that will be cleaned up eventually.

Levels Above: 1509.25 pLo, 1513.5 2 day LVN/CHVN/ONHI**, 1516.25 mc vpoc 152o MC LVN, 1524.5 double top

Levels Below: 1502.75 LVN from 2-27, 1500.75 MP single, 1498.5/1497.75 CLVN/pHI*, 1495.5 CHVN*, 1492 CLVN

Hypo#1: ES opens OAOR and sells off to 1502.75 CLVN where dip buyers step in to attempt breaking into pRange and then 1513.5 level. Acceptance there targets 1516.5, rejection leads to 1498.

Hypo#2: ES opens OAOR and responsive buyers lift it to 1509.25 pLo but find rejection allowing sellers to auction it down to 1498 level and possibly lower.

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  #169 (permalink)
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1. Long 1500.75 MP single on 3.75 pt rotation. Breadth -454 and tick -350. very strong selling out of the gate today with tick entirely negative so far this session. I saw some apparent absorption at 1501.5 which I thought lent credence to buyers becoming active here. Instantly 5 ticks against me. Scaled after 3 min and 1.25 MA. Second scale given.

2. Sold 1509 pLo on 3 pt move. Breadth -230 and tick +400. 1510 CLVN above me as possible further resistance but that level hasnt really been working well lately. Anticipated reaction on first test into pRange but did not like how it was building energy between 7.5 and 8.5 before getting tagged. Instantly 4 ticks against me but now 4 ticks in my favor. Poorish looking hi does not bode well. Scaled after 7 min and 1.0 MA. Turns out I frontran pLo by a tick which I did not mean to do. Second scale given.

3. Sold 1513.5 LVN/ONHI on 7.75 pt move. Breadth -90 and tick +600. Huge rotation into key level of last few days so really expecting a reaction here. Scaled after 6 min and .5 MA. No second scale given- wow, only 2 pt pb after 8pt move up...

4. Long 1513.5 on 3.75 pt move down. Breadth -86 and tick -160. This level worked for a trade from below so seeing if it will work from above. Caveats include a very nice looking hi at a known level (nvpoc) and it seems Boehner is speaking so maybe he is causing this sell off. 116 trade at my exit then it backs off... Trades again small print no fill... Dang, stopped after 13 min and 1.5 MF.

5. Long 1510 IBHI/CLVN/LVN on 3.75 pt move. Breadth -216 and tick -464. Going to give this one a bit of a longer leash as vwap and mid are 1.5 pt below so will go with 2 pt stop on this one. Scaled after 16 minutes and 1.0 MA. Second scale given.




Recap
Spoos opened OAOR and headed south down to the 1500 number where big buyers were lurking. Price auctioned higher steadily through the morning first up to the pLo (which provided a reaction) then through it and inside yesterdays range where it never looked back. Strong sellers appeared at the 1517.5 nvpoc which sent it all the way down to the pLo but it held and then pushed higher to new highs. The late afternoon was a snoozefest. Value was established overlapping lower while vpoc was just 3 ticks under yesterday's. Price finished incrementally higher on high volume (2.08 mill). So yesterday had a very strong rejection from the 25.4 level and today had a very strong rejection from 1500 and spoos closed right at the mc vpoc for the last 4 days at 1516.5. I'm thinking next week might settle down a bit ahead of fridays non farms and balance between 1510 and 1520 building energy for a breakout-my guess is to the upside due to the fact that long and intermediate trends are still very positive but we shall see.

I am very pleased with my trading today-not because I made money but because the market reacted in every place I expected it to and offered up good scales for when I eventually trade multiple lots. A day like today trading even only 5 lots will pay for a lot of losing days. Let's hope this is a continued trend and not a one-off.

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