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

  #181 (permalink)
Elite Member
Rio de Janeiro, Brazil
 
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3-5 trades and recap

1. Banged my mouse against ipad and it fired off a sell, oops. Scratched immediately. Would have been a winner!

2. Long 1539.5 1st dev vwap on 2.25 pt pb. Ok new type of trade here out of PBs playbook. Maybe the vpoc shift above changes the context of this trade? Already 3 ticks against me. So we had a very strong morning and I failed to get long at any of the pbs to regular vwap and now I put this on in an attempt to get on the bus. Now 5 ticks in favor and trading my exit but only 90 so far...Trades some more now 500 and no fill... Another 200 no fill. Filled! 25 min in the trade and .75 MA. Next time I'm out in La Jolla PB beers are on me! Second scale given if stop remained at original otherwise stopped at entry.

3. Long 1537.5 mid on 2.75 pt pb. Breadth 380 and tick -294. So very prominent vpoc above at 1540.25 but that 1538.75 IBHI held like 5 times from above before being taken out on this move down to the mid so with my exit at 1539 it could be difficult. Still strong up day overall. Scaled after 8 min and .25 MA. Second scale given.

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Recap
ES gapped higher to start the day and opened OAOR and were unable to print more than 1 tick below the OPEN-although it did go there twice which did throw me off a bit. Volume was impressive at the start and ES drove higher quickly, making no further attempt to fill the gap. By 10 am the range was largely set for the day and featured small rotations around the vpoc until a late day break took it down below the mid. Value and vpoc clearly established well higher than previous day. Price much higher as well on good but not insane volume (1.76 mill). Interestingly it closed right at VAL. So we have a clean breakout to new 5 year hi's that lost a little momentum but clearly the trend is higher.

I am so pissed off at my trading today, despite making money. I couldn't pull the trigger on those longs on the pb to vwap at 1534 and 1535. I actually had the bid there both times and pulled it because I got scared/had no confidence what I was seeing was true. My upstairs neighbor might think I have a cat and that I was very angry at it today. I threw on that eth dvwap trade late in the day so that is a start to break down barriers but I am pretty sure the context for it was wrong as vpoc had shifted up prior to it and the highs for the day were only exceeded by 1 pt after that so the move was over. Funny how back in the day I would throw on a 100 lot of FESX without a care in the world when the euro was $1.60 so each tick was $1600 and now I worry about a $75 loss!!! Do you need any more proof that this business is 100% mental? Tomorrow is another day to improve...


Last edited by Profiler; March 5th, 2013 at 05:32 PM. Reason: typo
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  #182 (permalink)
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Profiler View Post
Next time I'm out in La Jolla PB beers are on me!

Sounds great! There's some good breweries here in San Diego. Great trading today!

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  #183 (permalink)
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Rio de Janeiro, Brazil
 
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3-6 pre-market


Economic data: ADP, factory, beige book

ON Profile: Definite bullish bias overnight as bears couldn't even touch the settlement of 1536.75 and yesterdays Hi was taken out by 2 pts so far after ADP came out. Vpoc is sitting right at yesterdays Hi to the tick so sellers were activated there. Volume is lower than the last few days at about 190k so far.

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I must admit I was not expecting the possibility of another gap up open but its quite possible. I was expecting an OAIR with sellers making a weak push lower that bulls respond to and auction higher thru the day. Generally I think all eyes are on non-farms for friday so the next two days won't be very volatile or with big ranges. I think the 1450 level could be an area where sellers make an aggressive entry that bulls allow in order for the market to catch its breadth and re-auction thin spots. Depending how it gets there I am planning to short it, otherwise I have no shorts planned for the day until it unfolds. If somehow the market does sell off, be mindful of the gap from 1526-32 which could be just like an airpocket if it gets in there. Yesterday 1538.75 was a level that was tested and held repeated until late in the day, I think that might prove to be the case again today. Do I need to say that the trend is up with the market at 5 year hi?

Levels Above: 1450?

Levels Below: 1540.25 nvpoc, 1536.25 LVN, 1533.75 LVN, 1532-26 GAP, 1524.5 DT HI

Hypo#1- ES opens OAIR and sells off to ~1536 level where buyers step in and auction it higher thru the day.

Hypo#2- ES opens OAIR and buyers push higher above or near ONHI and fail allowing sellers to step in and auciton lower to1536 level.

Hypo#3- ES opens OAOR/OD and runs higher again, go with!

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  #184 (permalink)
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3-6 trades and recap

1. Sold 1542.5 OSLO/MID/vwap/1 tick below pHi on 1.75 pt move off low. Breadth 262 and tick -264. ES being repelled by vwap/mid thus far this morning several attempts and after opening just 3 ticks below a poor ONHI and only 1 ticking above OPEN, sellers in control early. Buyers did respond just above nvpoc though which is working against me. Stopped after 7 min and .25 MF. Dang.
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Recap
ES opened OAOR to the upside for the second day in a row. However, this open was much different contextually than yesterdays. ES opened 3 ticks below a very poor ONHI and did not print above the OPEN as it sold off initially 3 ticks before coming back up and only 1-ticked above the OPEN before sellers stepped in again. Sellers re-entered on any re-trace to mid/vwap en route to the nvpoc at 1540.25 until buyers finally stepped in 2 ticks before that and auctioned it higher. They managed to take it up only to the ONHI to the tick where it printed weakly then quickly sent back below the OPEN and into prior days range again. Selling was not aggressive in any way though and failed 1 tick above the ONLO. Overall, a very balanced day with no motivated participants and weak volume on small 7.5 pt range. Value shifted slightly higher, vpoc essentially the same and price up a few. Volume weak at 1.33 mill.

I wasn't able to latch on to any good trades today. I had a long bias to start but quickly ascertained that down would be at least the initial direction and threw a short on but in a poor location. I really didn't give myself a good chance on that one. I actually tried selling that price before it went down to 40.75 but I did not get filled. Oh well. Was stalking a long at 1536.25 but it never got there. That low at 1537.25 seemed poor to me, over 2500 contracts traded there which is a lot for the low tick but it held. The day played out largely as I expected but I just wasn't able to take advantage.

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  #185 (permalink)
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3-7 pre-market

Economic Data: claims, draghi

ON Profile: Tight range (5.25 pts) and minimal volume in the ON session which so far is an inside session. Low is yesterday's low to the tick while the hi is yesterdays VAH to the tick. Vpoc sits just a few ticks below yesterdays vpoc. Profile shape is pretty balanced. Market appears to be waiting for news.

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I've rolled my charts to the june contract so everything is off by about 5 pts. Yesterdays action served to hold and consolidate the gains from tuesday's breakout. The pic below shows we have a clearly defined balance area around the 2 day mc vpoc of 1535.25. I am not expecting a wild day today but based on the ON session's inside session I think the market may be primed for another move higher today. Or just another balancing day ahead of non-farms. I think the 2 day mc vpoc is the key. If it is accepted again then I look for another balancing day, but if it is rejected then I think market goes higher in search of a seller. All time frames are pointing higher. To the downside, we have the gap zone from 1521.25-1527.25 which could act as an air pocket. I expect to find buyers at the bottom of it though.

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Levels Above: 1550 (1545.25 Jun)??

Levels Below: 1535.25 mc vpoc/1534.5 nvpoc, 1531.5 LVN from 3-4, 1529 LVN from 3-4, 1521.25-1527.25 GAP, 1519.75 Double Top, 1514 3-4 Key LVN

Hypo#1- ES opens OAIR near VAH and rotates lower to 1535.25 mc vpoc where buyers step in and grind it higher through the day.

Hypo#2- ES opens OAIR and pokes above pHi where sellers step in and auction it lower and we end up with a balanced day.

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  #186 (permalink)
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3-7 trades and recap

No trades today.
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Recap
ES opened OAIR right at the VAH from yesterday. The next 6 hours and 45 minutes consisted of small rotations around the vpoc, which shifted up 3 pts from yesterday. Value also shifted overlapping higher. Price closed incrementally higher inside value on atrocious volume. Overall it was a very balanced day with a tiny 4.75 pt range that occurred entirely within the top half of yesterdays range. The low could not even reach the 1535.25 mc vpoc of last 2 days. This market sure seems to want to go higher.

So yeah, no trades today. It wasn't cool sitting at my desk all day long staring at the screen and not doing anything. I was stalking that mc vpoc at 1535.25 and had a bid in since pre-market for the gap close at 1534.5 but that was clearly a pipe dream. The last 3 days have a high of 1538, 1540 and 1540.5 and no effort whatsoever to close the breakout gap from 1527.25-1521.25. Market is strong like bull- and also waiting for tomorrow's non-farms report.

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  #187 (permalink)
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3-8 pre-market

Economic Data: non-farms

ON Profile: Today's profile is brought to you by the letter P. ES opened and rotated lower to the 1535.25 3-day mc vpoc to the tick to pick up buyers and pick up buyers it did. From there it was a slow grind higher up 8.25 pts. Vpoc is sitting at 1542, above yesterday's hi/mc hi of 1540.5. So people definitely expecting good results for NFP today.

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A bit premature to put this out before the big number but I will give it a shot. All time frames are trending higher. The ON session put in new 5 year hi's. Yesterday's session traded only in the top half of the prior day's range, unable to even close the nvpoc. If we open right here it will be the third gap up open out of range this week. Seems frothy and my desire to fade is increasing with each point of further upside but as I have nothing to lean on I probably won't. I'm expecting an OAOR at new 5 year hi's. Theoretically I think a gap open above bracket hi means look long first. Overall, non-farms days RTH sessions don't seem that exciting after the first hour.

Levels Above: none

Levels Below: ~1540 BA hi, 1538.25 nvpoc, 1535.25 nvpoc/MC vpoc/ONLO**, 1531.5 3-5 LVN, 1529 3-5 LVN, 1521.25-1527.25 GAP ZONE, 1519.75 LVN/Double Top

Hypo#1- ES opens OAOR and responsive sellers step in to bring back into the balance area to pick up buyers who auction it higher through the day.

Hypo#2- ES opens OAOR and buyers push but fail and sellers aggressive auction it lower to the other side of the balance area.

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  #188 (permalink)
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3-8 trades and recap

1. Long 1540.25 BA high/pHi on 6.5 pt move. Breadth 121 and tick -246. Sustained but weak selling pressure after ES gapped up on the open and failed to take out the ONHI after a weak OD-type open. Was bid 1540 since pre-market but moved up when I saw real weak print of it on first touch combined with big rotation into it made me want to pay up. If this doesn't hold then I look for acceptance back into balance area and rotation possibly to other side of balance around 1531. Scaled after 3 min and .25 MA. So we have the gap fill but very poor looking low makes me think ES goes lower still. No second scale if stop at entry. No second scale if stop at original. Looking to sell 1540.5 now expecting market to stay in balance area.

2. Sold 1541.75 (1 tick below) mid on 4.5 pt move. Breadth 165 and tick 323. Day largely controlled by sellers but buyers have since stepped up after taking out the nvpoc. The low looks poor but if it remained in place til end of day it would be fine. Somewhat concerning it was able to break out above pHi again and above the vwap at 1541 but rotation was good. Vpoc below at 1540.5. Prominent LVN above at 1542.25-1542.75. Scaled after 5 min and 0 MA. No second scale.

3. Long 1540.5 vpoc/pHi on 2 pt rotation. Ok, risky trade here. ES auctioned below this morning then went back thru it for last hour and a half accepting higher prices only to be derailed by Italy bond downgrade. Selling does not seem heavy so I took a long here expecting pHi to hold and buyers to try for ONHI. Have a nice HVN at 42 for my exit. 10 minutes in and 2 ticks against vs 4 ticks for me, feels like it will win but who knows. My exit trades but only a 6 lot-not good. Scaled after 24 min and .5 MA. Second scale given.

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Recap
ES gapped up for the 3rd time this week and looked like a possible OD up but it didnt push hard and had below average volume and failed a pt before the ONHI then went back below the OPEN price which is when I knew it was not an OD. After making its way back inside the balance area and stalling just below the nvpoc, price soon made its way back out of range where it stayed the rest of the day, even taking out the hi by a tick late in the session to technically make a normal variation day. Value and vpoc shifted higher with vpoc right at pHi. Price closed up about 7 pts and above value and therefore above the previous 3 day balance. The daily candle is almost a doji meaning indecision so a potentially divergent signal there. Volume came in at 1.16 mil which is very poor but that could be due to the roll.

I am happy to go into the weekend on a positive note. I think all 3 trades were legit. I wish I could have pulled the trigger on a short right near the open after it fell beneath the OPEN price. That type of trade is going to be difficult to pull the trigger on because I have to just let it go but I think I am making progress at least in identifying better trade set ups. Slowly but surely I think I am getting a hang of context. Fingers are crossed. Lots of work to do...

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  #189 (permalink)
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Nice job, enjoy the weekend!

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  #190 (permalink)
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Weekend Update with profiler


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All three time frames are trending higher. The daily chart shows a gap up break above balance and resumption of uptrend. A mere 2.5 months ago on Dec. 31st the ES closed 1378 and we are now trading 1544.5. Thats a 12% gain! Nice work if you can get it.

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As we look at the composite, we see the area around 1535.25 has clearly established itself as the fairest value area from last week. Market failed to touch it on thursday or friday in a bid to explore higher prices. I wouldn't say I have seen a price reached yet where sellers clearly stepped in and said "this is way too expensive". Instead I have seen the market meandering higher and then sellers only stepping in when they feel a lack of energy on the bulls part. As long as prices are above 1535.25 I think trades favor the long side. I would say that 1531.5 (LVN and swing low from breakout day) still favors the longs as well. For bears to assert some control I think they need price below 1531.5 and into the gap zone but even then I think heavy support lies below, especially at 1511.5 and 1508.

Anyone have anything to add to my analysis, either confirming or contradicting or adding something I am missing?


Last edited by Profiler; March 9th, 2013 at 12:39 PM. Reason: typo
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