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

  #11 (permalink)
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Forgot to mention--you did not mention this in your post, but I'm sure you are aware of the house vote today around lunch time.

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  #12 (permalink)
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@josh

what prior hi were you referring to? friday's was 81 so i assume you mean monday but i am not including it as underlying was closed. at any rate, did this end up being a typical OAIR in your eyes?

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  #13 (permalink)
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1. Long 1488 OSHI on 1.5 pt pb as OSHI appears to be holding. Breadth -160 and negative all morning while tick is mostly positive. Very tight day range so far and hi is currently 1489.5 so possible rejection of yHi in move to explore lower. Stopped after 5 min and .25 MF.

2. Sold 1487 mid/vwap/1 tick above OSLO on 2.5 pt move up off low. Vpoc 1 tick above. Breadth -200 and tick +100. A poor looking low is currently in place but that could be just buyers now willing to let it drop any further. Scaled after 15 mins and .5 MA.

3. Bot 1489.5 IBHI/LVN on 1.5 pt pb from hi. Breadth -111 and tick -300. We have a neutral or neutral extreme day thus far and perhaps poor breadth doesn't bode well for this trade/day becoming neutral extreme. Scratched after 29 minutes at cash close with .5 MF vs 1.25 MA.
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Recap
Spoos opened OAIR above value and made a weak push towards pHi before sellers auctioned it down to pVAH area. A pretty poor low formed there but sellers could do no better and as usual buyers slowly crept in and took it higher. We now have 3 consecutive neutral extreme days and new 5 year highs. Surprisingly buyers could not take out the ONHi which is a first in awhile. Overall today was extremely boring. Value was established overlapping higher. Vpoc shifted up about 6 pts. Price closed higher and at or above value. Aapl earnings after the bells has changed that situation though. Volume was a paltry 933k. Is this the new normal?

I don't know what to say about my trading performance today. Perhaps my first long was a force given that breadth and volume was so poor and expectations were for a rotational day. My second trade was legit and third trade I think as well. Any thoughts?

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  #14 (permalink)
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Add regular volume bars to your chart. Two very large 3 min. volume spikes at 7:30 am pt. on down bars. Looks like the big boys were very active (potential buying). Add a little Wyckoff to ur volume profiling.

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  #15 (permalink)
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@Hawk9

yes, I normally have regular 3 min volume bars but im temporarily trading off my laptop so screen space is limited. What are these wyckoff things you speak of? how does it help you?

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  #16 (permalink)
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Economic Data: claims, LEI

ON Profile: So much for aapl getting wacked and taking spoos down with it. ES is trading down a measly 3 handles which certainly is a sign of strength. What would it do if aapl was up $50? After initially dropping some 8 pts and trading to the 1482.75 CLVN to the tick, buyers have stepped in and lifted it higher up above yesterdays vpoc. Its building a small balance area around the 1486.75 CHVN with vpoc at 1487. I still think sellers will step in at the open but I'm not expecting them to get very far.

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Closing Swing: 1491-1488.25

Levels Above: 1487.25 nvpoc, 1491.25 LVN/pHi, 1495.75 CLVN, 1502.75 CHVN

Levels Below: 1482.75 CLVN/ONLO, 1480.75 nvpoc*, 1476.5 mc vpoc, 1473.75 nvpoc

Hypo#1- Spoos open OAIR, chop around a bit then sell off to 1480.75 nvpoc then bounce back to close 1487.

Hypo#2- Spoos open OAIR, chop around a bit then push higher above pHi and find rejection around 1495.75 CLVN.

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  #17 (permalink)
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1. Sold 1496.5 on 4.75 pt move. Breadth +396 and tick +600. Moved it 3 ticks above 1495.75 CLVN given strength of market. Scaled after 5 minutes and .25 MA. Second scale given.

2. Bot 1496.75 IBHI on 1 pt move down. Breadth +340 and tick 0. Anticipating IBHI to hold and new highs made as internals are all strong with tick most positive all day and breadth strong as well. Breadth is off highs though. Stopped after 14 min and 0 MF. Breadth continued declining to 310 and tick after being mostly positive all day began to straddle the zero line. This trade was probably an avoid for several reasons.

3. Long 1492.5 mid on 5.25 pt pb. Breadth +239 and tick around zero. Breadth continuing its steady decline from +400 high. Stopped after 7 min and .75 MF. Longs abandoning ship now.

4. Sold 1487.5 open price with breadth +100 and tick +300. Stopped after 4 minutes and 0 MF. Man I am trading like a donkey today.

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Recap
What a day. Spoos opened right at yesterdays vpoc and had an open drive higher. Breadth and volume were all very high and off to the races it went which is just mind boggling considering aapl opened down 50-60 bucks. What was reason for this? Shorts panicking when a huge aapl gap down cant even put a dent in the ES???

At end of day, we have value higher once again, vpoc higher and price higher. Volume was significantly higher than previous day and the highest in weeks. Today however the daily candle has a nice long wick on top meaning finally we have reached a point where sellers felt comfortable stepping in and pushing back.

As for my trading, man terrible... I recognized within 2 minutes we had an open drive and yet was too afraid to jump in and just buy something. I tried to buy the first pb to mid but only a few hundred printed so no fill. I went long and short a point off the high/low of the day in total rookie moves. I think my mid trade was legit but just didnt work out.

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  #18 (permalink)
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Profiler View Post
Economic Data: claims, LEI

I still think sellers will step in at the open but I'm not expecting them to get very far.

Hypo#1- Spoos open OAIR, chop around a bit then sell off to 1480.75 nvpoc then bounce back to close 1487.

Hypo#2- Spoos open OAIR, chop around a bit then push higher above pHi and find rejection around 1495.75 CLVN.

@Profiler

I'm not sure if you do this, but it helps to look at the bigger picture even trading smaller timeframes. Here is a chart of the ES since the 16th. What is fairly obvious is we have been in a fairly pronounced uptrend. Successively higher or overlapping value and POC and closes generally above the value area high or close. For this reason I'd only be looking at longs below the days value area as a starting point. Today was a little different with the close at the VAL and POC.

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In this type of market I believe the low hanging fruit is buying below value in an uptrend. After the drop my system generated an auto buy signal at the swing turn below the VAL for the day. See blue arrow. Although the swing down was a little steep for my liking it's a valid signal worthy of further evaluation.

I see you like to use the tick. Here is the tick for the last two days. Yesterday there were no opportunities as evidenced by a fairly neutral tick in the early part of the session and a fairly obvious balanced profile.

Today was a different story. Notice the tick on the drop at about 9.30 am. The bottom chart shows a 13 period ema of the tick. We could see it going into severe negative. For a buy signal to be valid I want to see evidence of a few things. The overarching theme is I want to see longer timeframe participants cutting off the downward move by forcing short covering and providing further momentum buying. A trader needs to look at what buyers and sellers are doing and continually reassess who is in control in my opinion.

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This is done by looking for a fairy aggressive swift upwards movement of the tick and a confirming cumulative delta story. We saw a fairly aggressive movement on the tick.

Let's now look at the delta. We could see fairly aggressive selling on the swing down. Notice the 10.46 am and 10.48 am bars. No buying at all as shown by the closing delta being 7590 and 7281 which is over 90% of the delta low. We could also see the 10.48 bar close in only 3 minutes. So our thesis here is buyers have stepped aside and we wait to see what will happen. We could see involvement on the reversal 11.10 am bar. We know that it is likely at least a proportion of the last swing down consists of laggards and weak handed shorts so we should expect at least a small momentum pop as some of these exit. We want to also see newly initiated longs to ensure a sustainable move. There was nothing on the profile that supported momentum buying in my opinion.

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So when you say "you still think sellers will step in at the open but I'm not expecting them to get very far" what is the basis of this assumption? Also what are the mechanisms you are using to test these assumptions as the day unfolds? It's not clear to me your criteria when evaluating the trade prior to pulling the trigger so you may find it useful to expand your trade decision criteria.


Cheers
DJ

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  #19 (permalink)
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@djkiwi

thanks for the reply DJ. I'll be first to admit my analysis is sub-par and needs to get to a higher level. I know this but also I am constantly thinking in my head "i dont even know what questions to ask" to tackle the subject of how to get better. what am i looking for? what should i notice and what is significant?

So what was my thinking when I said I didnt expect sellers to get very far? Well, first of all, I do look at bigger picture daily and the uptrend is obvious. I combined that with the fact that the last 4 days spoos have opened with a small sell off that buyers stepped into and grinded higher the rest of the day. Secondarily, everyone was keyed on the aapl gap down so I thought it would give further reason to potential sellers looking at an unch open on the ES (even though over last 4 months aapl has decreased ~40% while ES continued on to 5 yr hi's showing no relationship). So I was expecting them to auction it lower to that prior vpoc at 1480.75.

As far as my criteria for pulling the trigger on a trade, I am just trying to use real basic stuff. Buying IBHI, mid, fading moves to a nvpoc or a CLVN. Trying to think about what day type is unfolding. For example today with my 2 trades off the IB, I was expecting the directional movement to continue. First it seemed like a trend up day but then we had the reversal and at the time the daily candle had a huge wick above and it seemed we had an upside breakout and failure so I was expecting it to go from one side of balance all the way to the other. Turned into a neutral day...

So please, keep the feedback coming, I am all ears. Some charts of yours don't make sense to me as I dont look at renko or delta so if you want to show them to me, please be sure to explain it very well.

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  #20 (permalink)
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@Profiler

Actually, to tell the truth I think I'm going to hurt you more than help as our styles are so different I may end up confusing you and sending you on a wild goose chase.

As a first step I'd suggest you have a good read through the posts of @Private Banker and also study the webinars of @FuturesTrader71. He also has a website. FT71s style appears to be a very close fit and Privatebanker shows a master at work on the day timeframe. A couple of things stand out:

1. You don't seem to be sure what type of trader you want to be. Do you want to be a scalper or day trader?
2. You seem to be good at identifying the right levels but seem to be unsure what to do when price gets there. If you study the posts/videos of PB and FT71 that should help.

For what it's worth I'd strongly suggest you consider moving from scalping to daytrading as you will likely experience the same algo issues as the fesx but probably worse.

Cheers
DJ


Last edited by djkiwi; January 25th, 2013 at 01:16 AM.
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