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

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

Ken "COTtrader"

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  #192 (permalink)
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3-11 pre-market

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.

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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)
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3-11 trades and recap


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.

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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)
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3-12 pre-market

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.

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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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3-12 trades and recap

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.

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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)
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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)
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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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  #198 (permalink)
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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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  #199 (permalink)
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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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  #200 (permalink)
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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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