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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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  #101 (permalink)
 COTtrader 
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I can agree with you. A base could be building right here for the push higher to come.

Just need the delta to cooperate before I jump in.

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 COTtrader 
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Josh. I jumped in at 14.75 on a surge in the delta at 11:59.

Where did you put your SL?

Delta still plotting lower but ....

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  #103 (permalink)
 COTtrader 
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Delta Grinding into a coil ...

COTtrader

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 ratfink 
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Delta Grinding into a coil ...

COTtrader

Hi @COTtrader, what is the cumulative delta tool that you are using there? Nice charts btw

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  #105 (permalink)
 COTtrader 
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it's the neCumdeltadivergence here on futures.io (formerly BMT). I think it is elite only.

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  #106 (permalink)
 Big Mike 
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 COTtrader 
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My apologies Profiler. Thanks Mike. Sorry for the trouble.

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 ratfink 
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My apologies Profiler. Thanks Mike. Sorry for the trouble.

Likewise.

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  #109 (permalink)
 Profiler 
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yeah, no worries guys, i wanted all the responses. but this is big mike's house and he runs the show so we have to respect it.

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yeah, no worries guys, i wanted all the responses. but this is big mike's house and he runs the show so we have to respect it.

It's just that this thread was created in Journals section. If it was a SP500 methodology thread or a profile thread, I would have already stopped it and said to use the existing threads on that in order to prevent a split topic.

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 Profiler 
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1. Bot 1516.5 IBHI on 2.5 pt pb from hi. Breadth +145 and tick -169. Actual IBHI is 1 tick below and an LVN so I front ran it by a tick. Mid 1 pt below and vpoc 2 pts below. We have a potential double distribution profile set up. Scratched after 1:15 min and .75 MA vs .75 MF because it was 2:40pm and obviously the trade didn't work as expected so took off before the closing orders came in. Would have been loser.




Recap
Spoos opened OAIR right at the top of yesterdays VA and were greeted with responsive sellers. They were unable to to take it even to yesterdays VAL before buyers stepped in. We had a couple of hours of chop inside a 3 handle range with an upside bias as sellers were unable to auction it to the mc vpoc after 9:45. Buyers finally took out the IBHI and printed a 1419 HOD but it was sold and sent back inside the IB where it closed. So it seems an upside test was performed and while buyers didnt pass, neither did the bears really. I was expecting a serious seller response around 1519 and basically ended up with a weak slap. Vpoc shifted up a point, value shifted overlapping higher and price up a few points. Volume was garbage at 1.0 mil.

I again struggled to find trades today. The one I did do would have been a loser had I not scratched. However, I do think I finally learned something about the IB set up thanks to Josh- look for acceptance on the breakout before playing the rotation back away from the IB. I just ran some stats on my trades and I have a 36% win rate, a 42% loss rate and a 20% scratch rate. (with the remaining 2% being partials) Thats a lot of scratches but the good news is that I'm scratching more losers than winners. Need to step my game up.

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 COTtrader 
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nice analysis, Profiler. Market Delta sells a delta divergent indicator that initiates when price is either side of the +1 or -1 standard deviation bands. Can you purchase or use anything like that for your charting? Are you using RT charts? Anyway, I can provide an additional confirmation. It also let's you know when price is turning around. Not always but much of time. It may be a helpful tool.

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 Profiler 
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Economic data: retail sales, import/export, biz inventories

ON Profile: Very tight range overnight, only 3.5 pts range so far, never seen it that small. Spoos are currently trading above yesterdays hi which would mean new 5 year hi's and also took out the adjusted contract all time hi by a tick. Vpoc sitting at 1517 and the low is just a tick below settlement. So definitely upside bias, albeit with little conviction or participation.



Retail sales could change that equation so I will wait til after that number to continue my write-up. OK so they are out and no big deal, just a couple ticks lower. So, very interesting day on tap. Looking for an OAOR or OAIR above value on the cusp of 5 year hi's again. Normally I would expect responsive selling with this type of open but based on yesterdays reaction by sellers at this level I don't think I can count on that as it was so weak. So I think market opens and first move is up. I think this has the makings of the riskiest opening in awhile with a potential drive higher early that fails and retrace's everything through yesterdays lo. But for now, the trend on all time frames is up.

Levels Above: none

Levels Below: 1414.5 nvpoc, 1413.25 mc vpoc*, 1410.75 CLVN*, 1505 mc hvn, 1502.75 CHVN, 1498.75 CLVN*

Hypo#1- Spoos open OAIR/OR above value, rotate higher above pHi, if it holds then grinds higher thru the day, if drops back into pRange expecting trade down to 1413.25 then 1410.75.

Hypo#2- Spoos open OAIR/OR and find responsive selling down to 1414.5/1413.5 to pick up buyers, if they show up grind higher, otherwise rotate to other side of balance at 1411.

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  #114 (permalink)
 kronie 
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you may have answered or stated this previously, but did you take one of those classes that teach you to read the dome / book?, and then read the order flow (sometimes viewed as the same thing)?

only because I am seeing similar patterns in those that have, and similar conclusions, as they grow through accepting those precepts.

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 Profiler 
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you may have answered or stated this previously, but did you take one of those classes that teach you to read the dome / book?, and then read the order flow (sometimes viewed as the same thing)?

only because I am seeing similar patterns in those that have, and similar conclusions, as they grow through accepting those precepts.

I have not. I was a scalper for 9 years previously though and all i did was read the dom/work the book. very little translates for me in todays market though, i see nothing in the dom anymore.

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 Profiler 
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1. Long 1519.5 mid on 2.5 pt pb with breadth +184 and tick -86. Vpoc above at 1520.5 and OPEN 1 tick below while pHi 2 ticks below thinking they can offer support for a rotation back up. Hi at 1522 looks mostly good except for large print at top tick of 2258 contracts. Breadth trending lower. Stopped after 30 min and .5 MF.

2. Bot 1515.25 by accident. Scratched immediately. Will not count in trade log.

3. Sold 1518.25 mid/lvn/OSLO on 3.5 pt move. Breadth is +102 and tick +130. Rotation into it was pretty pathetic as it grinded up very slow and had lots of consolidation but I still took it because of the confluence of 3 things. Scaled after 21 mins and .25 MA. It worked, wow. Second scale given.

4. Long 1513.25 mc vpoc/ pLVN on 5.25 pt move with breadth -60 and tick -360. Tick divergence as well. Scaled after 12 mins and .25 MA. Second scale given.




Recap
Spoos opened either OAOR or ORR, tough to say. But it was a difficult opening hour to read as spoos went into prior range twice (which maybe was big clue I missed) while also establishing vpoc above pHi (that lasted until waning moments). But on final entry into pRange the sellers took over and auctioned it down to the mc vpoc where buyers were found and they took it up into the close. Vpoc shifted a few points higher, value overlapping higher and price basically unch. Volume was weak. Profile shape is pretty fugly, its symmetrical but I wouldnt call it balanced. Seems like buyers and sellers were both pretty indecisive about what to do today. Today's action didn't do much to change the bigger picture. Mc vpoc stays the same after day but value was dragged a bit higher. I really thought after falling back into prior range that sellers would take over and auction it down to the other side of balance at 1511 but buyers were too anxious and didnt let it fall below mc vpoc.

A winning day today!!! Who lives in chicago and wants to get some coke tonight??? Anyone? Kidding. What is this, my first winner in 3 weeks? Feels good, gonna leave it at that.

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 omni72 
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Profiler View Post
I was a scalper for 9 years previously though and all i did was read the dom/work the book. very little translates for me in todays market though, i see nothing in the dom anymore.

This always amazes me, b/c it seems like it your background would be such a huge advantage. However, time and time again, former floor or dom scalpers echo your thoughts: screen-based trading is a completely different game.

Thanks for sharing your journey and the reminder that screen-based trading is its own game.

Also, a belated congrats on your marriage! Hope it was a fun day and that you two have many many years filled with good times

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 jupiejupe 
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I have not. I was a scalper for 9 years previously though and all i did was read the dom/work the book. very little translates for me in todays market though, i see nothing in the dom anymore.

2, you are a tape reader you need to read tape, or if you are going to learn a new language learn to read volume, as tape. i think that you might do better with another chart set up. as maybe it is just from the recap view point but your posts come off as an analytical, I can never trade when I am in a analytical mindset. also you are not sending to much time as i would think discussing your entry set ups, until that thought process is binary i would not think that you would find what it is you are looking for. - for what it is worth.
reading voluming you need to read flow of ask vs bid orders and the net/delta between them. this is the defining difference between what is volume and orderflow, which is what (i am guessing that you lost on the dom is the orderflow you had tapped into)

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 Profiler 
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i am guessing that you lost on the dom is the orderflow you had tapped into

yes, the order flow is what i lost. its all too fast now and there is no size anymore. even 2 years ago in the product i traded there were still humans clipping 200, 500, 1000 lots with regularity. key pieces of info to take notice of. now 2000 will trade in the blink of an eye and will be all in lots smaller than 10. i've thought that maybe footprint would help bring back some feel for me but i will only look into that later. for now, im trying to figure out how the market works on a different level and thats hard enough.

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 COTtrader 
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Good yesterday trading, Profiler. Delta divergence is key to reading the true "open interest" of a market. Delta always returns its previous high or low where inventory is found.

I get a lot out of your analysis. Thank you. Also, sharing it helps to ingrain the learning into your own mind. That's why I do it.

COTtrader

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 Profiler 
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Economic data: claims

ON Profile: We have an interesting double distribution profile to look at this morning. Yesterday's LVN at 1518.25 capped the upside to the tick (albeit leaving a poor hi behind) while some apparent bad GDP data out of europe sent spoos below yesterdays low and thru the 1510.75 CLVN by 3 ticks. Buyers responded to those prices and we are now back knocking on the door to the upper balance area after a decent claims report. We have higher than normal volume so far (273k vs ~180 normal-total guess on that btw)



After yesterdays strong rejection of 13 level, I didnt expect an overnight test of the 10.75 CLVN. But we got it and spoos bounced 5 handles off it. I'm expecting an OAIR rotational day with upside bias but keeping my eyes open to a potential trend day down if volume remains heavy and sellers step up. How buyers react to 13 and 11 levels will determine it. If they can't hold then I expect exploration down to 05, 2.75 and 98.75. If buyers step up again then first battle is 18.25 and then yesterdays hi.

Levels Above: 1518.25 LVN/ONHI*, 1522 pHi

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

Hypo#1- Spoos open OAIR below value and sellers make first push lower, perhaps to 1510.75 CLVN where buyers step in and auction higher thru the day.

Hypo#2- Spoos open OAIR below value and auction lower and fail at 1510.75 CLVN encouraging a more aggressive seller to step in seeking out prior fair value at 1505 and lower.

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 jupiejupe 
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Until last year when some new algos took my edge away. Over 3 months my steady profits dwindled to nothing and after losing 8g's the first week of april i just walked away.

what markets were you trading in?

could you please tell me what date it was that you lost your edge?

as i am wondering if it is something that i have been just started to research, order matching algorithm.

it is possible that the exchange updated it's order matching algorithm, and that it was not a trading algo at all.

which would mean that the info you used is still there it's just changed it form a bit.

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 Profiler 
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i lost it over xmas break 2011, in FESX. Eurex updates their engines in november so this was clearly a new algo and they waited for xmas break, usually a slow week, to deploy it. then over next 3 months they gradually tightened it which is when i walked away.

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 jupiejupe 
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I thought so, it was the exchanges order matching algorithm that killed your edge. bummer

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 jupiejupe 
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have you looked into other exchanges to see if you read the their tape?

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 Profiler 
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1. Sold 1518.25 LVN/ONHI on 3.5 pt move. Breadth +27 and tick +458. Breadth trending higher all day, tick mostly positive but not excessive. Scaled after 28 min and .5 MA. No second scale given




Recap
Spoos opened out of range today with kind of an OTD or ORR open type and went right to the 1510.75 CLVN to the tick before reversing. Man I wish it would have gone 1 tick through so I could have been filled, what a cherry set up. It quickly re-entered previous day's range and never tick below it again. As expected it grinded higher through the day, stopping at the 18.25 LVN from yesterday before making new highs and selling off a bit into the close. Value area just slightly overlapping higher and vpoc just a pt higher. For the second day in a row price closed at vpoc. Volume once again bush. Profile shape looks pretty toothy again. The MP profile looks very p-shaped indicating short covering which could make sense as sellers have just not been able to get anything going last 2 days. The sell off yesterday was bought and then they had another chance today with the gap down and completely blew it. The fact we didn't close on highs means to me that bulls are tired/indecisive. The ball is still firmly in their hands though. Todays action doesn't change the MC at all, just fills in the upper end a little bit. MC vpoc still remains at 1513.25.

I am disappointed with my trading today. Only 1 trade, thats just not going to cut it. Could have been a really good day if I had been filled on my bids but I wasn't. It all relates to me not knowing when to pay up or not. Since I don't know how aggressive to be I just work my bids to the tick and if no fill then I am just stuck watching. Any pb could have been bought today and made money. Vwap provided all the support in the world today but you had to frontrun it by 2 ticks because otherwise you weren't filled.

In other news, checking the S5T chatroom logs today I see my blog was talked about this morning! I suspected the cat would be let out of the bag at some point.

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 COTtrader 
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Profiler,

What is the S5T chat room?

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

Ken

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 Big Mike 
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 COTtrader 
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Thank you, Mike. Ahh ... FT71. I recently listened to a pre-recorded Webinar by him. Great guy so willing to help the retail traders. God bless him.

Ken

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 Big Mike 
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Thank you, Mike. Ahh ... FT71. I recently listened to a pre-recorded Webinar by him. Great guy so willing to help the retail traders. God bless him.

Ken

There are multiple FT71 webinars on futures.io (formerly BMT), highly recommended. He's back for another one March 7th.



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 Profiler 
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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)
 Profiler 
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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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 josh 
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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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 COTtrader 
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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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 COTtrader 
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This week on the Cum Delta -

See the rotations -

Ken

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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)
 COTtrader 
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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




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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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  #138 (permalink)
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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)
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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?

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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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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  #141 (permalink)
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1. Long 1526 VAH/LVN on 2 pt pb with breadth +213 and tick -240. Solid uptrend all day. Don't like time of day of trade, been waiting to get long all since open but not aggressive enough. Poor-ish hi above due to 2400k contracts at top tick. Decent balance area above formed with 2 ticks having 35k contracts traded so think possible to rotate back there for a scale then new hi's at close. Another downside is vwap/vpoc is 6 ticks below, where my stop is. Plus, market has been closing inside of value lately. Scaled after 14 mins and 0 MA. Second scale given.



Recap

I had expected a rotational day but instead we got a breakout to the upside. Spoos opened OAIR inside value or very weakly OD. Initial clues given that demonstrated high demand for stocks were the open not even ticking below the open print and subsequent inability to print below it shortly thereafter. The open was also yesterdays vpoc so soundly rejecting yesterdays most traded price means something. Spoos broke higher, thru pHi and balance hi and never traded back into that range again. I wouldn't call this a true trend day, but rather a trend-consolidation-then trend again today. Funky double distribution-like profile with vpoc higher at 1524.5. Value area seems kind of meaningless today given that there is a large LVN in the middle of it but for what its worth, its higher. Price closed near the hi and above value-which is a change from late. Volume was bush at only 1.15 mill.

So we broke out of balance to the upside once again. The action at the close leaves us with a very poor hi so I expect that to be repaired and I also expect a test of the 1422 breakout level. Once again, the trend on all time frames is up...

My trading (or lack there of) sucked today. I was bid at 1522.25 all morning but market never came to me and I never paid up and therefore I stayed on the sidelines all day until the end. On directional days it seems you have to frontrun the vwap by a tick and then you are good. Do it!!! I am not even sure if the 1 trade I did make was valid. It worked but that doesnt mean anything.

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  #142 (permalink)
 COTtrader 
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Trend day low risk entries are difficult to find. I have been told that trend day trades off the +1 SD band is a good entry area. Would have been true today. Too risky for me. Looking for a pullback around the 10 am hour, sellers did enter the market as expected. I took a short when price pulled back from the +2 SD band. I held it until I was convinced that buyers, again, entered. I made a point and am happy with that.

I see your 1522. On a robust breakout price rarely looks back squeezing the shorts. From last night's low we have a 10+ handle move.

Yes. I would expect a test of 1522, previous weekly high.

Ken

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Economic Data: ppi, housing, fomc

ON Profile: We have a very tight 4 pt range overnight with a balanced profile. Yesterdays poor hi was cleaned up by printing 1530 while the 1426 low coincides with the LVN between yesterdays 2 distributions. ON vpoc sits at 1428.5. Market seems to indicate its comfortable trading this upper balance area and awaiting the fomc news this afternoon.

I am expecting an OAIR tight rotational day until the FOMC news comes out this afternoon. Then its anyone's guess. I would love to be a buyer on a nice move down to 1422. All time frames are trending higher.



Levels Above: 1530 ON hi

Levels Below: 1526 LVN/ONLO, 1524.5 nvpoc, 1522 CLVN**, 1515 CLVN, 1513.25, 1510.75 CLVN**

Hypo#1- Spoos open OAIR and chop between ONHI and ONLO til FOMC then potential craziness. Looking to BTFD.

Hypo#2- Spoos open OAIR and sell off to 1426 or 1424.5 nvpoc then auction higher into the news.

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 COTtrader 
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Economic Data: ppi, housing, fomc

ON Profile: We have a very tight 4 pt range overnight with a balanced profile. Yesterdays poor hi was cleaned up by printing 1530 while the 1426 low coincides with the LVN between yesterdays 2 distributions. ON vpoc sits at 1428.5. Market seems to indicate its comfortable trading this upper balance area and awaiting the fomc news this afternoon.

I am expecting an OAIR tight rotational day until the FOMC news comes out this afternoon. Then its anyone's guess. I would love to be a buyer on a nice move down to 1422. All time frames are trending higher.

You meant 1522 move down. I would agree and see that price in that area 1524 - 1522 as a probable entry area.
Weekly VWAP at 1524.
Near yesterday's IB low after 10:30 (on my chart) 1522.50
Weekly R1 1523.25
Retest yesterday's breakout as you mentioned

Ken

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1. Long 1524.75 IBLO (1 tick ahead of nvpoc) on 2.25 pt move down after nvpoc traded and only small print below it with expectations of rotational day back toward vpoc above at 1526.75. Breadth -160 and in that area all day, tick -60 and neutral all day. Stopped after 5 mins and .25 MF.

2. Long 1522 on 5 pt move down. Breadth -230 and tick -347. This is key breakout area, really expecting this to hold. Scaled after 8 min and .25 MA. No second scale.

3. Long 1520.75 on 3.25 pt move with breadth -224 and tick -400. Expecting rotation back to 1422 breakout area. Market has been going down all morning and I have 3 buys and 0 sells for trades. Have to step back after this trade and re-evaluate my thoughts. Scaled after 32 minutes and 1.0 MA. Second scale given.

4. Long 1515 CLVN on 2.5 pt move down. Breadth -340 and tick -611. Stopped after 9 min and 1 MF.

5. Long 1510.75 CLVN on 1.5 pt move. Breadth -382 and tick -375. Did not like rotation at all but this was all about location of the trade. I felt I had to take it despite the strength of the trend down. Scaled after 3 min and 1.0 MA. No second scale.



Recap

What a day, did NOT see this coming at all. Spoos opened OAIR with a very tight 1 pt OS. First clue given was markets inability to print more than 2 ticks above the OPEN. Second was its inability to close over the vwap. A very narrow 3.25 pt IB was put in place combined with a balanced profile at the time, my expectations of a slow, rotational day ahead of FOMC were seemingly coming to fruition. After the Ib broke to the downside, a second balance area formed around the key 1422 breakout area, with 3 or 4 breaks below indicating interest to the downside. When that gave way the rout was on and full on trend down day persisted. Throw vpoc and VA out the window today because it didnt exist as market was exploring lower searching for buyers. We are left with an extremely gruesome daily candle that has closed beneath the prior balance area. Volume was extremely heavy at over 1.75 mill, the highest since Dec. 5.

I traded like a donkey today and am blessed to escape with a profit. Did not deserve that at all, making 5 buys on a strong down day. Next time I won't be so lucky...

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  #146 (permalink)
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Economic data: claims, homes, philly fed, LEI

ON Profile: Prices kept searching lower for buyers overnight. At the high of 09.75, price were cleanly rejected. The low at 01 looks very poor so leaning towards that side to be re-visited during RTH. Very odd shaped profile indicating no real acceptance of fair value. 730 numbers are out and we are currently trading 1503.5. Last time we were trading in this area was on 2-7 which was the day where we opened at 1508 then plunged down to 1494 before rallying back to close down 2 pts. That day possibly had an LVN at 1501 which could explain the ON low we have today. On vpoc sits near the low at 1503.5.



I am expecting an OAOR, possibly OAIR. Yesterday's heavy volume down day places us in the balance area between 1510.75 and 1498.75 with the most active price at 1502.75. 1505 was also very actively traded. I'm not really sure what type of day we have in store so I will be looking to fade those edges and then react to how they are treated.

Levels Above: 1506.5 pLo, 1510.75 CLVN*, 1513.25 CHVN, 1514.25-1518.25 LVN zone, 1522.5 nvpoc/CLVN

Levels Below: 1502.75 chvn, 1498.75 CLVN/1498 nvpoc, 1494.25 nvpoc/2-8 Lo, 1492 CLVN**

Hypo#1- Spoos open OAOR, push higher but find rejection near pLo and sellers take over auctioning down to 1498.75 CLVN where buyers step in.

Hypo#2- Spoos open OAOR and push to 1503.5 on vpoc/1502.75 CHVN and fail then buyers step in and auction into pRange and higher up to 1410.75 CLVN.

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  #147 (permalink)
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1. Sold 1503.25 vwap on 1.75 pt move off lows on seeming OD lower open. Breadth -266 and tick +200. Scaled after 5 min and .75 MA. Second scale given.

2. Sold 1502.5 LVN on 3.25 pt move. Breadth -300 and tick +300. ES above the mid now and trend could be changing as buyers appear to have control with a strong 3.5 pt move off 97.25 low followed by another 3+ pt move now. Stopped after 4 min and .25 MF.

3. Long 1498.75 CLVN on 3.75 pt move down. Breadth -360 and tick -400. Market has been in balance for last 2 hours so playing a move back toward middle. Vpoc above at 99.75. Entirely questionable trade here given that I prefer to take trades off of CLVNs on first touch only and we have gone through it already. Stopped after 20 min and .75 MF.




Recap

Spoos opened below yesterdays range and proceeded to OD away from it eventually making its way down to the key 95.5 mc vpoc from the days of yore and reversing hard, nearly back up to the hi. We are left with a fairly balanced profile with vpoc significantly lower than yesterday along with value. Price finished lower once again. Volume extremely heavy, heavier than yesterday at 2.02 mill.

Strong sellers existed above 1505, so strong that a gap was left between 1505.5 and 1506.5. Strong buyers also existed around the 95 level. ES settled right in the middle of that range. Will look to those areas for clues as to what comes next.

I am very pleased with my first trade I did today. I identified the OD and sold the vwap pullback and was rewarded. I had to fight very hard to just sell it and see if the market will reward me and it did. Hopefully more trades like that in the future. My second trade was either unlucky or poor. Third trade...i dont know, probably bad idea. I am very disappointed with the two trades I did not do. I was bid 94.25 and I saw what seemed to be a very peculiar reaction when those 95s printed and immediately went 95.5 bid and I thought about getting onboard then as it was still a nice 4.25 pt rotation into that level but I didn't and watched it sail away. Then it appeared the IBLO was going to hold and I was too worried about it giving way so I didn't get in. What should have been the most important piece was the swift reaction below from a key level.

Also, anyone in the S5 chat room got their moneys worth today as FT put on a clinic. It was amazing on one hand but also truly disappointing on the other because it really showed how undeveloped my auction skills are and how far I need to go to get even close to where he is. Im just sitting here working clvn's and hvn's basically. And my pnl shows it...

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  #148 (permalink)
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Economic data: none

ON Profile: We have a somewhat p-shaped profile forming. The majority of the volume has occurred above yesterdays afternoon swing hi with VAL equaling 1504.75 to the tick and vpoc placed at 1505.75 which was a tick above yesterdays Hi and in the gap zone. So, an extremely rejected price yesterday has now become the most accepted price yet today. The low is just 1 tick below settlement so buyers took the ball and ran with it from the get-go and while sellers resisted above pHi, buyers didn't back down and in fact kept going.



Bigger picture, ES is between the 1498.75 and 1510.75 CLVNs with the most traded price in the area being 1502.75. If it can work its way above the 1410.75 CLVN then 1413.25 mc vpoc is targeted and above that there is an LVN from 2-20 at 1514.25 and CLVN at 1515 as last line of defense before it runs up the flagpole to 1518.25. I am expecting an OAOR with responsive selling at the open. How far sellers get will help determine what kind of day we get. If they can push back into yesterday's range than 1502 and 1500 nvpoc become targets.

Levels Above: 1510.75 CLVN*, 1513.25 mc vpoc, 1514.25 LVN/1515 CLVN, 1518.25 LVN, 1522.25 CLVN**

Levels Below: 1506.5-1505.5 gap zone*, 1502.75 CHVN, 1500 nvpoc, 1498.75 CLVN, 1495.5 mc vpoc/pLo

Hypo#1- Spoos open OAOR and find responsive selling down to 1405 where buyers come in and auction it higher to thru 1510.75 to 1515.

Hypo#2- Spoos open OAOR and buyers push to 1510.75/1513.25 and fail then sellers take over and auction it down to 1500 nvpoc.

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  #149 (permalink)
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No trades today as I had to step away for the majority of the day*
(not entirely true- I sold 14.25 on the close and then scratched it right away knowing it was stupid and full of hope)

Recap
Spoos opened OAOR to the upside and the responsive selling I expected did not materialize right away. Spoos rotated up and failed 1 tick shy of the ONHI. Thats when sellers got the confidence to step in and they auctioned it lower down to pVAH before buyers stepped in and auctioned it higher steadily thru the day into the close. Definitely some chop in the earlier part of the day. Overall, we are left with a neutral extreme day. Value shifted higher, vpoc placed itself 1 tick above pHi. Price much higher on the day, +14. Volume was decent at 1.4 mill. We are now back in the 2-8 to 2-19 mc zone where 13.25 was the most fair price and we have re-traced half of the losses from the previous 2 days. Is this just a bounce with more downside to come or were the last 2 days just a blip in the march higher?

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  #150 (permalink)
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We've got all 3 time frames very much above their upward trend line. The daily chart possibly is transitioning from trending higher to balancing, only time will tell. I think we have a poor high at 1528.75, almost a double top with those 2 back to back days so I wouldn't be surprised to see a visit back up there to clean that up. On the other hand, that day when the 1528.75 5 year hi was made, volume was pretty wack at 1.17 mill-definitely not attracting many new buyers it seems at these levels. The following day had almost twice as much volume in the 20 pt sell off. Seems like something Dalton would point out when a counter-trend auction does so on a very significant volume increase. Sell-offs in general always seem to have more volume though so I don't know how to weigh the context. At the bottom, prices from 1495 were very swiftly rejected and with larger volume than the day before.


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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.


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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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...





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.

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  #153 (permalink)
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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.




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.



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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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...





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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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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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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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.




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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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.




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.

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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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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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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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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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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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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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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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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)
 Profiler 
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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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  #171 (permalink)
 Profiler 
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ES is still comfortably trending higher on the monthly and weekly time frames. The daily time frame is balancing now in the 1530 to 1485 bracket area. Volatility has markedly increased in the last week coincident with spoos at 5 year hi's which could be a sign of a topping process. Edge still goes to the upside until sellers crack lower bracket area with volume.



This chart shows the last 5 days of action which, while volatile, has clearly established fair value at 1516. So bears finally got their foot in the door and dragged price down quite a bit but were unable to pull value down with it. I'm thinking this doesn't end well for bears but the market is the boss.

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  #172 (permalink)
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Economic data: none

ON Profile: Interesting looking profile, it has the frame of a nicely balanced profile but without enough time to flesh out. ES opened below friday's settlement/vpoc and quickly headed south, apparently due to some bad chinese numbers. So we had instant rejection of fridays/last 5 days fairest price and a move down to find buyers. The low is at 1507 and we have an MP single at 1507.25 from friday that could be the reason why it stopped there. Around 6am buyers stepped in and took it up to within a tick of nvpoc before stopping and reversing a few handles to where we are now at 1514. Volume is above average at 234k. Range is 9.5 pts. Vpoc sitting right in the middle at 1511. Distinct LVN at 1513.25 which has been happening in 3 of the last 4 sessions.




I am expecting an OAIR inside value. With no data on tap and many people looking ahead to non farms on Friday I think we have a slow, rotational day. I think the 1516.5 level is the key to the day, if it continues to reject from below then downside to maybe 1505.25 is in the cards but if it can get through and hold as support then 1524.5 looms as resistance again to the upside. And quite possibly it could just become accepted again and rotate both above and below for an outside-in type of day. Bigger picture, longer term trends are still pointing higher, short term is balancing.

Levels Above: 1519 pHi, 1524.5 double top/2-20 LVN, 1528.75 RTH hi, 1530 ONHI

Levels Below: 1513.25 CHVN/ON LVN, 1510 CLVN, 1507.25 MP single/ON LO, 1505.25 3-1 LVN, 1502.75 CHVN/LVN 2-27

Hypo#1- ES opens OAIR inside value and chops around, pushes lower first to pick up buyers around 1507 then auctions higher thru ONHI to pHi at 1519 where sellers come in and closes around 1516.

Hypo#2- ES opens OAIR inside value and chops around, pushes higher first to 1519 pHi where sellers step in and auction it lower thru the day to 1507.

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1. Sold 1520 mc lvn on 3.25 pt move. Breadth +88 and tick +600. It has been a rotational day so far I put the trade on as a fade the edge type trade. Stopped after 2 min and .5 MF. Well, not sure if this just didn't work out or I mis-judged context.



Recap
Spoos opened OAIR inside value and chopped around a bit and put in a very rotational day early but then broke vertical in the afternoon after putting in new lows but bouncing strongly from just above the 1510 CLVN. Value was established inside of yesterday, vpoc shifted lower by a few points. Price closed on the hi's, above pHi and well outside of value. Volume was lackluster at 1.6 mill. We end up with a neutral extreme.

I'm disappointed with myself today. I correctly anticipated the morning's action but was unable to latch onto any trades, particularily that bounce off the low. I had my 1510 bid in pre-market and was licking my chops as the 6 pt move down approached it but then saw that real weak print at 1510.5 and quick 1511 bid and realized that might be the bottom. I joined the 1511 bid but it was too late and I then watched it grind higher. I thought the one trade I did do had edge, based on the rotational type day we had to that point, did I not catch a massive change of context? Volume was weak/average all day until the break. No economic news, really didn't expect such a break although I did know it was possible...Anyways, I couldn't justify a long after that so ended up sitting on hands. Tomorrow looks to be a promising one...

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  #174 (permalink)
 COTtrader 
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1. Sold 1520 mc lvn on 3.25 pt move. Breadth +88 and tick +600. It has been a rotational day so far I put the trade on as a fade the edge type trade. Stopped after 2 min and .5 MF. Well, not sure if this just didn't work out or I mis-judged context.

Profiler,

Would you not want to try added or other information for entry decisions? MP is great for overall market structure, I'm not sure that it provides exact entry locations. While I know there are pro traders who consider it obsolete, I would disagree. It clearly shows the auction process over time. Do you use previous day high, low, open and close and the ON high and low? Previous points of rotation of the prior day has an exponential effect on the market.

For entry, a cum delta when observed at high volume areas is telling.

Thanks for listening. Your daily pre-market analysis hypothetical trade plan is must read for me every morning. Thank you for posting it. It provides me with additional context that is an area of my trading weakness.

Keep up the good work.

Ken "COTtrader"

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  #175 (permalink)
 Profiler 
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Profiler,

Would you not want to try added or other information for entry decisions? MP is great for overall market structure, I'm not sure that it provides exact entry locations. While I know there are pro traders who consider it obsolete, I would disagree. It clearly shows the auction process over time. Do you use previous day high, low, open and close and the ON high and low? Previous points of rotation of the prior day has an exponential effect on the market.

For entry, a cum delta when observed at high volume areas is telling.

Thanks for listening. Your daily pre-market analysis hypothetical trade plan is must read for me every morning. Thank you for posting it. It provides me with additional context that is an area of my trading weakness.

Keep up the good work.

Ken "COTtrader"

I am definitely open to other stuff for entry decisions but my thought is to do that down the road. I am aware of previous days hi and low and globex hi and low. my main concern now is to get a solid handle on the auction process and place my orders at known MP/VP points exactly to the tick so that I can measure what works best and then down the road introduce some other thing to help me finesse those entries. thanks for the kind words and your suggestions, i'm going to figure this out eventually and pay it forward!

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  #176 (permalink)
 COTtrader 
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I am definitely open to other stuff for entry decisions but my thought is to do that down the road. I am aware of previous days hi and low and globex hi and low. my main concern now is to get a solid handle on the auction process and place my orders at known MP/VP points exactly to the tick so that I can measure what works best and then down the road introduce some other thing to help me finesse those entries. thanks for the kind words and your suggestions, i'm going to figure this out eventually and pay it forward!

Isn't the assumption that one methodology, MP, should work for you to accomplish your goal? For example, I use a footprint chart, Cum Delta, VWAP and bit of MP and trend lines on a 5 min to provide me with trade context and trade expectancy. Fortunately, it is then not necessary for the market to come to me within a tick of taking a trade but rather within a trade proximity.

A good example of such a trade happened today with Josh. We both looked at the 1510's as great entry potential. Within 2 ticks of the 10's the market quickly reversed, retraced a tad and shot up. Josh got in "overpriced" I think he said at 11.50. While to a Market Profiler it might have looked overpriced, it wasn't. Market determined price value when buyers piled in. Josh caught it on the Cum Delta. Trade within a proximity met price was fair game.

For myself, I try to "catch" momentum moves within expected areas of price pivot. I cannot be a 100% correct about my analysis given the lack of market transparency. When I get it right, it was a best guess at that.

My money is made on the second or third move after the open. Unless there is news release, I expect the market to make a 3 to 4 point move between market open and 10 o'clock. My stops are very tight and I will keep a 1 tick gainer assuming I was wrong on the trade. If I exited too early, then I will rethink the trade and look for a second opportunity.

Psychologically, a single tick win is a win. Defining for oneself the meaning of "win" and "loss" is critical. When I win (psychologically it doesn't matter by how many ticks), I remain enthused and easily focused. A loss creates reticence, apathy or a revenge trading response. I discounted trade psychology for years until I began to quickly cut trades and take short wins, assuming I was wrong on the trade.

Winning a basketball championship by one point is still a win and can be a thrilling one at that.

Great work, Profiler. Especially the premarket analysis. I enjoy reading it.


Ken "COTtrader"

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 josh 
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1. Sold 1520 mc lvn on 3.25 pt move. ... Well, not sure if this just didn't work out or I mis-judged context.

You mis-judged the context on this one. I'm not sure the period of your composite profile you're watching, but IMHO all that matters in the 20 area is the trade that has taken place in February of this year, and there's just nothing special there. For a reality check, draw a horizontal line at 20, and see if you see any reactions off of it in the last month. I see two or three, but you can find two or three at a lot of prices. We had a double top at 24.50 from Monday and Thursday of last week, and on Friday we balanced in the 16/17 area. After the inability to get above that zone this morning, and then after the super strong reaction off the 10.50 LOD, once the market breaks above 18, 19, with the major resistance at 24.50 do you think it's reasonable that it will care much about 20? The context says, "breaking above prior balance, heading to next major resistance to auction for sellers," and the 20 is just not major IMO. This is a case of, go with the longs. For another perspective, scroll your chart to show what the market looked like before today, and show at least two weeks back; now ask yourself, if you were a serious seller, where are you looking to sell? 20? Probably not. Again, this is in the absence of something special on the profile, and from 18 or so on up for 2013 all I see is a gentle slope upward with no prices standing out.

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  #178 (permalink)
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Thanks @josh, those are the kinds of answers I am looking for. Well, from the pic above you can see I am using a 5 day composite which I thought was most relevant for todays action and you can see the 1520 LVN. Normally I would agree with you that there isn't much there but given the type of day we had up to that point (rotational, no economic data and I think it had .90 of 20d volume at the time and 1520 and change would give 10 handles of range on the day) and that I thought a close back near the 1516.5 mc vpoc was a very distinct possibility, I thought it was worth a shot.

I clearly didn't comprehend what that bounce off 1510.5 did to context. To me, at the time, it was most likely just the market putting in the low, not a signal for everyone to load the boat and get on the bus... You mentioned that it seemed to be initiative buying off the low but selling off the then-17.75 hi seemed to be corrective selling, i understand the difference, but what makes you say that?

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 josh 
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Well, from the pic above you can see I am using a 5 day composite which I thought was most relevant for todays action and you can see the 1520 LVN.

I don't see a reason to use the last 5 days in this case; even though it's the start of the selloff from 24.50, it seems a bit arbitrary to me. More important IMO is the Friday profile itself, and the 2013 profile that includes all the trading in this upper area.

But even if you want to use a 5 day, hide the bars and make it big enough to see, and walk 4 or 5 feet back from your monitor, and turn off the automatic lines; which areas stand out to you? Clearly, the 16s is the most important. Other than that, there is not a whole lot of consensus of value or rejection except for maybe 1497. Even above 18, all the way up to 24 the prices are pretty much equally traded. Yes, I see that 20 is the least traded up to 23.50 but it just does not stand out. To my eyes, it blends in with everything around it and is just not that special, certainly not enough to fade a move that has tested an important rejection area (10s) and has broken above the 16s/17s with only a 2 handle rotation in that area. This was a straight up breakout higher, and it's just not logical to fade it. But, you took a small loss, which is better than I can say for when I have faded strong moves.

One more thing: I don't know if you use the auto LVN/HVN feature in IRT, but IMO it just doesn't make sense. Just use your eyes, stand back, and look at what actually stands out to you; look for areas (think 4-6 prices) instead of individual prices, though sometimes a "zone" for me is just 2 prices or so.



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I clearly didn't comprehend what that bounce off 1510.5 did to context. To me, at the time, it was most likely just the market putting in the low, not a signal for everyone to load the boat and get on the bus... You mentioned that it seemed to be initiative buying off the low but selling off the then-17.75 hi seemed to be corrective selling, i understand the difference, but what makes you say that?

Technically both the selling from 17.75 and the buying from 10.50 was responsive. What I meant when I said that it was initiative/impulsive was that buyers looked particularly aggressive. This is hard to describe, because if you look at the delta on the plunge from 17.75 to 10.50, it was quite negative, about as negative as the move back up was positive. All I can say is, the move down looked like it was done around 11, but the move up looked like it was hungry and wanted to inflict some pain. There was just no real selling, bids were strong, and the market wanted higher. It's as if the early attempts to go higher just did not have the conviction, but now that 10.75 had been tested and failed to produce initiative selling, there was now conviction and there was an "all clear" for new highs. Clearly, the market wanted to go higher, from the open onward, but there just was not enough money ready to commit. When sellers did not show up enough at the new lows at 10.50, then the desire of the market to go higher had more backers, and they pushed it up convincingly. There was an 8 tick rotation at the VWAP at 14.25, but there was no reaction at the VPOC at 15; this alone was reason to be cautious of shorting. I know this is a bit vague, but it's the best I can describe.

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  #180 (permalink)
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Economic data: ISM

ON Profile: Distinct p-shaped profile on slightly above average volume so far (225k), with the majority of the action taking place above yesterdays hi and we are currently trading at 5 year hi's, above the 1428.75 RTH hi and 1430 ON hi. The low is 1424.5 which is no surprise given the significance that double top played last week. Vpoc sitting at 1429.5.



We are set for a gap up today, potentially opening above every single price traded in the last 5 years, globex included. The table is set for a potentially wild day. I think the gap up has to be respected and one should try and position themselves long. However, if this gap up were to fail and prices are accepted back into yesterdays range I think very aggressive sellers will be encouraged to participate and wack it down through yesterdays very thinly auctioned zone (1526-1518) en route to the 1516.5 mc vpoc and potentially lower and on a bigger timeframe could end up serving as a blowoff top for a much larger correction.

Levels Above: none

Levels below: 1530 prior 5 yr globex hi, 1528.75 prior 5 yr RTH hi, 1526 pHi, 1518.75 LVN, 1516.5 mc vpoc, 1510 CLVN

Hypo#1: ES opens OAOR and is met by responsive sellers that push it back to 1528.75 level before buyers step in and auction it higher through the day.

Hypo#2: ES opens OAOR and after initial push higher (to???) sellers step in and auction it lower through the day, potentially very aggressively.

Hypo#3: ES opens OD, go with!

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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.




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...

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 Private Banker 
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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)
 Profiler 
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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.



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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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.




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)
 Profiler 
Rio de Janeiro, Brazil
 
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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.



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.



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)
 Profiler 
Rio de Janeiro, Brazil
 
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No trades today.


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)
 Profiler 
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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.



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)
 Profiler 
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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.





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)
 josh 
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Nice job, enjoy the weekend!

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  #190 (permalink)
 Profiler 
Rio de Janeiro, Brazil
 
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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.



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?

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  #191 (permalink)
 COTtrader 
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Good trades on Friday - thanks.

Ken "COTtrader"

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  #192 (permalink)
 Profiler 
Rio de Janeiro, Brazil
 
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Economic Data: none

ON Profile: Not a lot going on last night. We have a very narrow 1.5pt value area and less than 5 pts of total range on pathetic volume (barely over 100k so far). The low is friday's vpoc to the tick. Not sure why the hi is the hi, other than buyers just disappeared there. Shape is somewhat bell shaped with a more prominent vpoc.



We have no news coming out today and the overnight session was lifeless so I am expecting the same for the regular session. Potentially a 5 pt perfectly balanced rotational session like last thursday is on tap. If thats the case, then look to play the outside in, if play anything at all. Obviously, if the market shows you something different then adjust accordingly. Market trending higher on all time frames.

Levels Above: 1543.75 LVN, 1547 pHi, 1550?

Levels Below: 1540.5 nvpoc/ONLO, 1539 LVN, 1535.25 nvpoc/mc vpoc**, 1531.5 LVN/swing low 3-5, 1529 LVN

Hypo#1: ES opens OAIR inside value and chops with first push lower down to ONLO/1539 to pick up buyers who grind it higher slowly, steadily all day.

Hypo#2: ES opens OAIR inside value and chops then pushes higher but fails around ONHI or pHi allowing sellers to step in and auction lower to ONLO and perhaps lower.

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  #193 (permalink)
 Profiler 
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1. Sold 1547.5 (2 ticks above pHi) on 3.25 pt move. Breadth 160 and tick +293. Reasoning for this trade is that expected rotational day and volume is pathetic so thinking move above pHi will not have legs and have seen sellers stepping in lately only on breaches of prior hi's. Admittedly I expected this to be a quick winner almost and its gone 2 ticks against me and sellers havent really appeared. Very weak print (242) on the hi at 1548 which is encouraging. 7 minutes in and responsive sellers nowhere to be found still and 19k have printed at my entry. Man 21 min. in and almost 30k traded now at 47.5 and only 1 tick in my favor. Buyers not letting up. 25 minutes in and finally some relief as 46.75s traded through but still tough slogging. 42 min in and back at entry, just unable to take out the 46.5s, really wanting to scratch this... Alright, scratched after 51 mins and 1.0 MF vs .5 MA. Would have been stopped 2 min later.




Recap
ES opened OAIR inside value and sellers made a small push lower to 1541.75 to start the day, failing to close the nvpoc at 1540.5, and then buyers just stepped in and slowly but surely auctioned it higher through the day. Value area shifted higher, vpoc shifted higher and price closed at the highs and above value. Volume was atrocious, at just over 900k-not exactly what you want to see from a market at new 5 year highs. After friday's doji, market followed thru with continuation higher.

It was a day of limited opportunities, at least in my eyes. The way the market opened, I thought for sure we had a rotational day on tap. But when my fade of pHi did not attract any serious selling my ears perked. So responsive sellers weren't around but this buying was occuring on horrendous volume, what is one to do? I did nothing. I wanted the short at 1550 but I wasn't filled the first time around and therefore didn't take it the second time. A lot of sitting around watching today...Today left a very poor hi in place. I expect that to be cleaned up in the globex session and possibly RTH tomorrow as well. Very distinct LVN at 1546.5 as well, could be a nice trade set-up tomorrow based off that.

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  #194 (permalink)
 Profiler 
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Economic data: none

ON Profile: ES traded in a 5pt range so far on weak/moderate volume. Yesterdays very poor high was taken out by a point quickly in the extra session and then sellers took over from there, though not aggressively by any means. The distinct LVN on yesterdays profile is currently serving as the ONLO. Vpoc sits at 1548.25. Overall shape is like a "b" and a little mental imagination suggests continued downside. Vwap has been acting as resistance all night.



I am expecting a balanced rotational day today with an OAIR inside/right at value (does value mean anything yesterday as its double distribution?). The globex extremes will be very important in todays action. It will be very interesting to see the action near the pHi and ONHI and whether there can be any meaningful acceptance above either. A peak above that gets slapped back inside pRange opens the door for a journey down to the 1544 nvpoc and potentially lower. Yesterdays LVN also coincides roughly with fridays hi and tonights ONLO so a lot of confluence going on there. Will this market continue to bounce off of it in search of sellers above or will buyers take a breather and allow some consolidation? Again, all time frames are pointing higher so that is the path of least resistance.

Levels Above: 1450.75 pHi/1451.75 ONHI

Levels Below: 1546.5 lvn/ONLO/fri hi**, 1544 nvpoc, 1540.5 nvpoc, 1535.25 CHVN**, 1531.5 3-5 LVN

Hypo#1- ES opens OAIR inside value and pushes lower to ONLO where buyers step in and grind it higher all day again.

Hypo#2- ES opens OAIR inside value and pushes higher but fails near pHi/ONHI and then auctions lower. If it can push through the ONLO then 1540.5 is on the table, otherwise bounce back up to high.

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  #195 (permalink)
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1. Long 1549.5 LVN/OSHI (tick above mid/vwap) on 1.5 pt move down. Breadth -40 and tick -300. Ok, I potentially forced a trade here but we have a double top at the IBHI, poor hi on volume profile with vpoc 2 ticks below it, ONHI stat still in play so I took the long. Negatives are that it only 1 ticked the poor hi yesterday and its a small rotation into it. Quickly 4 ticks against me, carumba. 12 minutes in and its gone 5 ticks against me. Vpoc shifted down to 1548.5 so buyers are here but nto making any progress and a weak low of this move has formed against me. Over 8k traded at 1548.25 and zero at my stop at 1548, wow, not going to hold. Stopped after 26 mins and 0 MF. Also suffered slippage on my stop as my dom froze when I tried to get out. Thats my fault as I switched to a manual stop and kept it that way even though a spike was likely based on volume that built a tick above. Lesson learned.

2. Long 1546 MP single on 5 pt move down. Breadth -180 and tick -460. Really expecting a reaction here at this area based on yesterdays profile but it ran through me 2 ticks already and has a poor low. I think context changed. Tempo and volume has picked up dramatically on this move down. My exit is 1 tick above the IBLO which could be problematic. Stopped after 16 min and .5 MA.

3. Shorted 1546.5 LVN on 3.25 pt move. Tick +600 and breadth -122. Oh man instantly against me 5 ticks. I thought mid/LVN 2 ticks above and IBLO 3 ticks above would provide solid resistance. Low looks solid and retest failed by a tick and now this move up has been strong. Scratched after 6 min and 1.25 MA and 0 MF. Debated whether to take 46.5 or 47 and went with 46.5 given the downside extension and wanted to err on more aggressive short side. Would have been winner...

4. Long 1546 vpoc on 1.5pt pb. I took this long based on the big ledge that formed here and the prior 4 pt move up through the mid/vwap. Breadth -110 and tick 74. Strong move off the low and poorly auctioned profile above. Very aware I am making up a trade here. Also, ES has repeatedly been rejected from 1547 area. 6 ticks in my favor but only 114 traded at my exit vs 1 tick MA 10 minutes in. Ah man back to entry... And scratched at 2:59 after 25 minutes in the trade and 1.5 MF vs .75 MA.




Recap
ES opened OAIR right at the VAH and pushed lower but failed ahead of the 1546.5 LVN then turned higher and took out pHi by 1 tick only and after hanging around for awhile sellers took over and auctioned it lower down to pLo to the tick. Definitely can tell it was only short term traders playing when those levels are respected so well. Dip buyers jumped in and took it back to the mid/vpoc where it closed. Pretty fugly profile overall but very prominent vpoc. We end up with value inside of yesterdays (technically speaking but I dont think yesterday had value). Vpoc shifted higher a bit. Price closed moderately lower. Volume was weak but much better than yesterday at 1.3 mill. Zooming out, really undetermined fair value around here. 1546 is mc vpoc of last 2 days but really not a smooth profile.

It sucks that I lost money today. I think I would do all 4 trades again- though I would modify the 3rd trade to enter at the mid where there was more confluence. I think the reasoning behind them was valid. Maybe not. For awhile I was pretty confused about the action today-really didn't have any clue what context was saying about what was most likely to happen next. I learned a lesson on stop management which will definitely help in the future. Just keep at it...

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  #196 (permalink)
 Private Banker 
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Sorry to see you had a rough go at it today. Have you ever considered looking at bigger picture market structure for your trade locations vs. volume levels? It may be a bit clearer for you.

Take a look at the confluence we had today with yesterday's high coupled with a 2 standard deviation move from VWAP at the open. We had the same set up at the excess low from yesterday which was a great trade back to VWAP. I'm not saying HVNs and LVNs are insignificant but there are instances like today that had the market fill in the low volume area from yesterday. Really no edge in trading from the middle of yesterday's profile today. Anyway, just thought I'd run this past you. Hope you have a better day tomorrow!

Cheers,
Ben




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  #197 (permalink)
 Profiler 
Rio de Janeiro, Brazil
 
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Ben-
thanks for the post. I would say I was totally aware of the larger context but I prioritized it completely wrong. I could also argue that i could tell you context but don't really understand what it means. Why was it a short off the hi? Yesterday left a poor hi and we had a really poor hi in progress today with vpoc 2 ticks off the hi at the time. All time frames are trending higher. Tempo was slow and volume weak but yesterday it was too and it just grinded higher. I thought the trade was long on the pullback from the hi. And then again at the LVN from yesterday I was still thinking long was the play. Was shorting yesterdays hi basically a layup? Because I don't get it!

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 roach1972 
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hey profiler i am new to the forum. iv been following your thread i really enjoy it thanks for put yourself out there. i also trade volume profile and dont think i am as advanced as u at it. so im not trying to give u advice. but i would ask if the context was unclear and confusing then why take a trade at all? even if the trade u were thinking of taking worksout so what it wasnt clear or obvious forget about it. im not telling u what to do thats more wht i tell myself. my tradeing hinges on context and if i have to look to hard to figure out what is going on i dont trade. keep up the good work. good luck!

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 josh 
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Profiler View Post
Was shorting yesterdays hi basically a layup? Because I don't get it!

I also had the dilemma of whether or not to short the high after it one-ticked and could not auction higher. I did not, as to me it was simply unwarranted risk. It felt right, but given the relative signs of strong demand at the open, I passed. It was a tough call, and given how "irrationally exuberant" this market is with the dow well above all time highs and the S&P not far from its own, a short as the market makes a new high just does not fit easily into my plan.

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 Profiler 
Rio de Janeiro, Brazil
 
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roach1972 View Post
hey profiler i am new to the forum. iv been following your thread i really enjoy it thanks for put yourself out there. i also trade volume profile and dont think i am as advanced as u at it. so im not trying to give u advice. but i would ask if the context was unclear and confusing then why take a trade at all? even if the trade u were thinking of taking worksout so what it wasnt clear or obvious forget about it. im not telling u what to do thats more wht i tell myself. my tradeing hinges on context and if i have to look to hard to figure out what is going on i dont trade. keep up the good work. good luck!

roachclip-
thanks for reading my blog. feel free to chime in anytime, it doesnt matter what stage of learning you are at, we're all here for the same reason. what you said is 100% true and i cant disagree. i was pretty confused most of the day but the trades i did i thought had edge so i threw it on. and im only risking 75 bucks to find out the answer so its not a big deal if im wrong.

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