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

  #231 (permalink)
Elite Member
Rio de Janeiro, Brazil
 
Futures Experience: Beginner
Platform: SC, S5T
Favorite Futures: Es
 
Posts: 617 since Jan 2013
Thanks: 321 given, 589 received

3-21 trades and recap

1. Long 1545.5 mid/vwap on 2.5 pt move. Market open gap down and made weak effort at pushing lower and grinded up to pLo/CLVN. Major caveat to this trade is we are seeing strong reaction by sellers to the pLo/CLVN at 1548 and ES was unable to push even 1 tick into range. Stopped after 3 min and 0 MF.

2. Sold 1543.25 on 1.75 pt move off the low. Low looks poor-ish to me but it did occur at a known level and has a small print at exact tick. Overall, market started strong but then failed to break into prior range then came down to other side of balance. 1543.5 was an LVN from 3-19 that market bounced off on open this morning so I am selling it from a move below. Scaled after 21 min and .75 MA. No second scale.

3. Sold 1548.25 on 3 pt move and day so far looks balanced. This is second time up here and sellers were aggressive the first time. Scaled after 26 min and .75 MA. Second scale given.

4. Long 1538 nvpoc on 4.5pt move after it printed super small (44 lot) on tick below and popped up. Stopped after 2 min. Stopped to the tick on a weak print (168) and then instant spike up!

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ES opened OAOR down about 6 handles and made no real push lower out of the gate so responsive buyers stepped in and auctioned it up to the pLo to the tick where it was confidently rejected. Rotation to other side of balance at 41 ensued then counter-rotation back to the high of the day. ES pushed a handle into prior range this time but go no further and while rejection was slower this time it definitely happened as ES sold off down to 1536.5 before aggressive buyers stepped in. At the end of day, we have lower value and lower vpoc. MC vpoc is maintained at 1550 though but its very close so I guess it doesn't really make a difference. Price closed down about 10 handles and outside if value which is interesting. Volume again decent at 1.58 mill but not crazy.

My first trade was horrible. I really don't know why I actually went through with it to be honest. I know why I did it but I am pissed I didnt give enough priority to the strong rejection at pLo to the tick. Next time. Second trade was somewhat risky and not sure if it was legit. Third trade I was thinking the day was looking pretty rotational and volume was weak and against the backdrop of the strong selling response the first time around that they might still be interested. It wasn't quick but it worked and trade location was great. My fourth trade, man that one stings. Normally I take those on first touch, blind, but today I actually held back and let it go through and with the super weak print a tick below and the extended rotation into it combined with a rotational looking day I went in. Unfortunately I got taken out. Work in progress...

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  #232 (permalink)
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Posts: 617 since Jan 2013
Thanks: 321 given, 589 received

3-22 pre-market

Economic data: none

ON Profile: We had some range extension down below yesterdays lo but strong responsive buyers were found there and now we are comfortablly back inside pRange and near session hi's, possibly due to some news. We've got 8.75 pts of range and 180k of volume. A little backing and filling would turn profile shape into a perfect bell curve but for now we have a distinct LVN zone between 1540-1542. It seemed for much of the night upside was contained by yesterdays VAL but moments ago it broke through.

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We have no economic data today (not until next tuesday for that matter) and a generally un-exciting overnight profile along with march madness going on- for which I will be ducking out early as well- so I am anticipating a slow, rotational session. Of course, anything could happen and cyprus could collapse into chaos on a moments notice and take spoos down with it. However, I am thinking maybe the 1540-47 balance area defines the range for today. We shall see. I expect an OAIR inside value. Longer time frames are still very bullish but daily time frame is balancing and possibly even slightly bearish.

Levels Above: 1545.5 CHVN, 1547.75 CLVN, 1549/1550 pHi/CHVN, 1551.5 CLVN, 1553.5 CHVN (WTF is up with these levels literally 2 pts apart, can they really be trusted???)

Levels Below: 1539.75 CLVN/LVN*, 1538 CHVN, 1535.25 CHVN/ONLO**, 1531.5 pLo/LVN from 3-5, 1527.25-21.25 gap zone**

Hypo#1- ES opens OAIR inside value, pushes lower to 1540 CLVN/ON LVN/pVAL to pick up buyers and then grinds higher.

Hypo#2- ES opens OAIR inside value, rotates up to 1547.75/1549 pHi and stalls out then falls down to 1540, possibly lower.

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  #233 (permalink)
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3-23 trades and recap


1. Long 1547 mid on 2 pt move. Scratched after 2 min since i am walking out the door. We have a nice looking hi above at a known reference point which is a negative. However, on way down, it struggled at vpoc indicating buyers still found value there and buyers have controlled the day thus far so I am still going to give them the benefit of the doubt. Will report back later on whether it was a winner or not. Was a winner with only 2 ticks heat and a scale...

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Recap
ES opened OAIR inside value and chopped around for the first 30 minutes before grinding higher through the day. Value and vpoc both shifted higher and price closed on highs, above value. Volume was ok at 1.33 mill. Very nice bell curved profile shape with extremely long tails. Cyprus news and UK downgrade aside, ES is once again within spitting distance of 5 year and all time highs.

I don't have much to say about yesterdays trading, or lack thereof. I wanted that first pb to mid around 945 because the market was looking strong and a poor-ish hi was in place but the cyprus news just slammed it down so fast I had to pull it. Cyprus news is getting tiresome and maybe I should have taken it but oh well. The one trade I did do...would have been a winner. I had to leave though. ES really bounced off the 1551.5 CLVN the first time around but then that ramp at the close took it up and back through it and into the upper balance area where it settled.

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  #234 (permalink)
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Weekend Update with profiler

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I think its easy to see that longer time frames are still very bullish. The day time frame is currently balancing and still respecting the gap zone of 1527.25 to 1521.25.

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From the volume profiles, we can see that despite last weeks uptick in volatility, value has clearly shifted higher. Given that longer time frames are still very positive, I think its likely that the market continues to explore higher. Strong buying has been found in the lower 1530s but I can't say that selling above 1550 has been particularly aggressive yet. News out of europe or wherever could change the situation but for now it seems up is still the way.

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  #235 (permalink)
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3-25 pre-market

Economic data: none

ON Profile: Last nights profile brought to you by the letter "P". We have a 12 pt range on decent volume (194k). Cyprus news sparked a rally and breakout to new 5 year hi's. Vpoc sitting at 1558.25 which is above this years regular session hi of 1557.25. Very thin stem and the vwap has been acting as support on the pullbacks.

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We are headed for a gap up open, possibly at new 5 year hi's. I am expecting an OAOR but an OD in either direction is entirely possible as well. I expect responsive selling initially and the quality of that to determine the day. If they are unable to make a strong move and return it at least back to pHi then we have a potential strong up directional/trend day. However, if they can push it back into range and it is accepted there, then potential is for rotation all the way through it down to 1543. Longer time frames are very bullish. Daily time frame had been balancing but this could be a breakout from balance.

Levels Above: 1559 all time cash closing hi, 1570 all time cash hi

Levels Below: 1557.25 BAH, 1552.5 pHi/CLVN, 1550 mc vpoc, 1547.75 CLVN, 1542 nvpoc, 1540 CLVN/LVN 3-21**

Hypo#1- ES opens OAOR and responsive sellers push first but fail around/before pHi and buyers step in and grind it higher thru the day.

Hypo#2- ES opens OAOR and buyers fail early allowing sellers to push into pRange where it is accepted allowing sellers to take control and push it to 1550 and below to possibly 1540.

Hypo#3- ES opens OD. Go with!

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  #236 (permalink)
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Platform: SC, S5T
Favorite Futures: Es
 
Posts: 617 since Jan 2013
Thanks: 321 given, 589 received

3-25 trades and recap

1. Long 1556.25 mid/vwap on 2.25 pt pb. Very poor hi in place, bullish albeit slow action from open as gap up held and prior range not touched. Stopped after 2 min and 0 MF. That sucked.

2. Long 1550 mc vpoc on 5 pt move down, really nasty selling going on. Why did I take this long? I should be looking for a short I think. Trying to scratch. Ok out after 2 min and .75 MA vs .25 MF. Would have been loser.

3. Sold 1547.25 on 2,75 pt move up. Very weak print on the touch at 1547.75 CLVN so I sold here. Very strong move down today so far and I have been unable to get in on the short side so I waited for a 3 pt move up or so to enter which prolly means the downside is over. The low below does look decent. 1st vwap is also right here and has been acting as a decent sell pt thus far. Stopped after 11 min and .75 MF.

4. Long 1540 CLVN on 2.5 pt move down after it printed the gap close weakly and bounced it up. 2nd vwap 2 ticks below for possible support. This is the bottom of the balance area from 40-51.5 so looking for a reaction here. Dang, 4 ticks in my face right quick. Now 4 in favor, this thing buckin like a bronco. Scaled after 12 min and 1.0 mA. Second scale given.

5. Sold 1543.75 prior intraday low/ledge/1st vwap on 4.5 pt move. So we have a nice reaction off the low from a known level which works against this trade but overall today sellers have been in control and this is a nice rotation to sell. Tick popped to over 800 on this, maybe due to late shorts getting squeezed? See if it works. Scaled after 5 min and .25 MA. No second scale though...

6. Sold 1547 vpoc on 5.5 pt move. There must be some news out. Damn, tried scratching and reloading at mid 1548.5 but missed it. Stopped after 6 min and .5 MF.

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Recap
ES opened OAOR on a gap up and made new 5 year hi's but ran out of buyers. Market fell back into prior range and the rout was on. Buyers were found at the key 1540 CLVN. Overall value shifted lower as did vpoc but only by 1.5 pts. Todays action shifts the mc vpoc back down to 1545.5 from 1550. Price closed 5 pts lower inside value on heavy volume of 1.97 mill. At one point it looked like the market would absolutely fall apart but buyers came in once again.

Tough day of trading. Once again I became fixated on a very poor hi. I think me and the whole S5 chat room got long the mid on the first pullback from the hi's which made me wonder if it was destined to fail. Once it entered into prior range I was jones'in for a short at pHi but it never came back. So frustrating. I didn't try my first short until spoos had already sold off 15 handles. And then I tried two more after the bottom was in and the context changed to bullish. Serenity now!

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  #237 (permalink)
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3-26 pre-market

Economic data: durable goods, consumer confidence, home sales

ON Profile: Small 4.75 pt range overnight along with moderate volume (172k). The low is yesterdays vpoc to the tick and the hi is the 1551.5 CLVN to the tick. Vpoc sitting at 1549.75. Shape is somewhat balanced but looks incomplete to the upside.

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We have some important data out today that could change things. For all the volatility and volume yesterday and the ES down 20 pts from peak to trough at one point, net change on day was only down 5 and it closed inside value. I think that is a win for the bulls. As it stands, I'm looking for an OAIR inside value and a rotational day. Yesterday's profile was very poorly auctioned between 1549 and 1557 and a very poor hi was left behind so I am inclined to believe the most likely thing to happen today is the ES re-auctions that area. Longer time frames are decidedly bullish while the short time frame is balancing.

Levels Above: 1551.5 CLVN/ONHI, 1553.5 CHVN/MP single, 1558.5 pHI/all time cash close hi, 1570 all time cash hi

Levels Below: 1547 nvpoc/CLVN, 1545.5 chvn, 1540 CLVN*, 1535.25 CHVN**

Hypo#1- ES opens OAIR and chops around waiting for 9am numbers after which it rejects from 1547 area and pushes higher, finding resistance near 1554 then pHi.

Hypo#2- ES opens OAIR and chops, finds rejection at 1551.5 or 1554 and rotates lower to find buyers, potentially near 1540 again.

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  #238 (permalink)
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Posts: 617 since Jan 2013
Thanks: 321 given, 589 received

3-26 trades and recap

1. Long 1553.5 vwap/mid on 2.25 pt pb from a very poor hi with over 7200 at top tick. Horrible flashback from yesterdays trade entering my mind. We had an OAIR above value that held the 1551.5 key CLVN from above twice. Even poor 9am numbers were unable to take it out by a tick. Volume is lackluster thus far. 5 min in and over 10k traded at entry but only 200 a tick below and vpoc has shifted to me. Not the reaction I was hoping for. Scaled after 14 min and .25 MA. Second scale given.

2. Sold 1555.75 2nd vwap on 4.5 pt move on very balanced day. Ok new type of trade for me, just trying to play the balance. Really would have rather played it from long side given my bias though. 25 min in and its gone 3 ticks against and then come all the way to my exit but traded only 41 while some icerberg bid has bot over 5000 the tick above- super annoying. If this thing goes back to entry I will scratch it. Scratched after 41 minutes and 1.5 MF. Would have been loser.

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Recap
ES opened OAIR above value and just rotated the majority of the day. There was never any serious attempt to get back into prior days value area. Late day levitation took the ES to new 5 year hi's. Value shifted higher, vpoc shifted higher. Price closed higher, above value but on poor volume (1.27 mill) and managed to poke 1 tick above yesterdays very poor hi. ES is now at the top of the balance area and filled in yesterdays thin area.

Not much to say about my trades today. I think both had edge. I should have taken more to experiment with tight balance days like today. That buy at 1551.75 I did not do gets my goat. I had the mouse hovered over 1551.5 and it was offered for like a minute but I just couldnt pull the trigger. So thats why I took the short just because I had to sack up and do it. Not much changes on the composite after today. The CHVN at 1553.5 gets a little more prominent. The poor hi from yesterday looks even poorer after today. Maybe tomorrow we can open with a gap up and OD higher on big volume?

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  #239 (permalink)
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3-27pre-market

Economic data: homes

ON Profile: I was anticipating an open out of range today but not to the downside! ES traded in a tight range the majority of the night, popped above yesterdays hi and went to the same 1560.5 it printed 2 nights ago where sellers stepped in and lowered the boom. The low currently stands at 1548, a tick above the 1547.75 CLVN. Vpoc is sitting right at the 1551.5 CLVN that was key yesterday. Volume above average at 262k. The ON range is engulfing yesterdays RTH session. Profile shape is double distribution with a large LVN zone seperating the two areas and a minor bump in the middle at yesterdays vpoc.

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The action overnight has thrown me for a loop. We have two very poor hi's around 1558.5 in the RTH session and two probes above that level in globex that have invited aggressive sellers. Last time it probed above and failed it had to go down to 1540 to find buyers who then promptly rallied it back up. Yesterday below 1551.5 was deemed unfair and now we are possibly set to open below it. I think the key for today is the 1551.5 level again. If prices below are deemed unfair and ES is auctioned back into yesterdays range and finds acceptance, new highs beckon. If not, then I look to see 1540's again and possibly lower. Potentially a really interesting day on tap. Given that longer time frames are still decidedly bullish and that we don't have an excess rejection during RTH, I think ES is accepted back into range and works its way back up to new hi's.

Levels Above: 1551.5 CLVN**, 1553.5 nvpoc/CHVN, 1558.75 pHi/1559 all time cash closing hi, 1570 all time cash hi

Levels Below: 1547.75 CLVN/ONLO*/1547 nvpoc, 1545.5 CHVN, 1540 CLVN**, 1535.25 CHVN

Hypo#1- ES opens OAOR/OAIR below value, probes lower to 1547 area to pick up buyers who auction it up to 1551.5 area, if accepted new 5 yr highs targetted, if not, down to 1540.

Hypo#1- ES opens OAOR/OAIR and pushes up to 1553.5 nvpoc and finds rejection and sellers auction it lower to 1540 area to find buyers.

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  #240 (permalink)
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Posts: 617 since Jan 2013
Thanks: 321 given, 589 received

3-27 trades and recap


1. Sold 1556.5 LVN from yesterday on 4.75 pt move with 2nd vwap a tick above. Direction is obviously up today making this a fade but the rotation is good, daily range is over 10 pts so far and 2nd vwap is right there so I put it on. Scaled after 11 min and .25 MA. No second scale.

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Recap
ES opened OAOR with a big downside gap and it became apparent pretty quickly sellers had nothing left to give and the ES grinded its way higher through the day. Value put in a bullish engulfing day, vpoc shifted up a few points and price closed near upper end of range. Volume was pretty weak at 1.2 mill. On the compisite, the vpoc shifts up slightly higher from 1545.5 to 1548.5. 1551.5 continues to be an important CLVN and the 1558.5 level continues to shut off buyers as 3 days in a row we have the day hi within a tick of it. Just another day hanging out in balance for ES.

I was unable to trade for the majority of the day due to other stuff going on. However, I was around in the morning and wanted to take a few of those longs i posted on the chart but pussed out. Waiting for confirmation...sack up man!

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