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

  #241 (permalink)
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Platform: SC, S5T
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Posts: 617 since Jan 2013
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3-28 pre-market

Economic data: claims, GDP, PMI

ON Profile: ES sold off early based on potential Cyprus drama but apparently nothing happened is now back on hi's right at the 1558.5 level that has acted as resistance 3 days in a row now. The low is 1549.75 which is an LVN from yesterday so they were able to take it beneath the 1551.5 CLVN that has been key lately but not for long. Vpoc sitting at 1558.25, just 3 ticks off the hi which usually means a pretty poor hi is in place. Volume is good at 221K. Overall shape is blocky indicating nobody really knew how to price the headline risk.

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How many times will sellers continue to step in at 1558.5? ES has been balancing between 1535 and 1558 for 3 weeks now and are poised to open right at the top of the balance area which leads me to believe a potentially strong upside breakout is in the cards today. PMI is an important number that could propel this move. Additionally, today is the last day of the month which could produce wild action at the close, especially ahead of a 3 day weekend. My expectation is for a probe above balance, potentially even an OD. If this probe is accepted with heavy volume, potential strong trend up day as it is with longer term time frames. However, if its a weak probe not supported by volume/breadth etc and is rejected back into balance, the bottom could fall out.

Levels Above: 1558.5 triple top, 1570 all time cash hi

Levels Below: 1556.5 nvpoc, 1553.5 CHVN, 1551.5 CLVN*, 1549.75 LVN/ONLO, 1545.5 CHVN, 1540 CLVN**

Hypo#1- ES opens OAIR/OAOR pushes lower to 1546.5 nvpoc then buyers step in aggressively to push it above balance area hi. If accepted, potential trend up day, if rejected back into prior range, sell!

Hypo#2- ES opens OAIR/OAOR and pushes through hi's only to fail and have aggressive sellers step in and auction it lower targeting 1551.5 first then 1540.

Hypo#3- ES opens OD up, go with!

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  #242 (permalink)
Elite Member
Rio de Janeiro, Brazil
 
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3-28 trades and recap

1. Long 1558- ES opened at and immediately rejected yesterday vpoc and pushed higher. Pulled back to 1557 then rallied a bit and it seemed buyers were absorbing at 1558 so I jumped in. ONHI at 1559 above which is a good target. Goes to my target basically instantly and prints over 500 but not filled and now back to a tick above entry. Stopped after 7 min and 1.5 MF, damn.

2. Short 1561.5 after pop to 1562.5 and strong selling response. WTF, I dont want to be short here. Scratched immediately. Would have been winner.

3. Long 1560.75 1st vwap on 1.25 pt pb. Tons of volume printed here, lots of absorption by buyers and it finally gave way but only printed 1560 low weakly then popped up so i got long. I can see a trip down to mid at 1558.75 though which would be nice confluence with prior BAH. Dang, stopped after 6 min and 0 MF. Bad trade, too aggressive considering current hi only 1 ticked previous hi and amount of volume printed at entry.

4. Long 1558.75 mid on 2.75 pt move about 10 mins after I was stopped on prior long. If this mid fails the whole day context changes and we have a potential failed breakout on our hands. Scaled after 20 min and .5 MA. Second scale given (after about 2 hrs).

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Recap
ES opened OAIR and immediately pushed above the recent triple top at 1558.5 but fell back into range prior to a bad PMI number. Buyers quickly found their footing though and grinded it back up through the hi's and above the recent globex 1560.5 double top which caused a stop run. An early afternoon dip to the mid was bought and auctioned higher into the close. Value shifted completely higher, vpoc moved up about 5 pts. Price closed at the hi, above value. Volume was pretty garbage, were it not for the 200k that printed in final minutes thanks to end of month games this breakout would have been made on absolutely pathetic volume. For now, the breakout stands and people have four days to think about what they want to do and with all time hi's just ~6 pts away it would be a real surprise to not see that get taken out.

I made some bad decisions today. First trade, I am ok with it. It was aggressive but we had a unique opening with lots of potential energy so I went with it, almost got my scale too. Im pissed I did not get long at either 1555 or 1557 as I saw lots of absorption. My first sale was wack. It would have been a winner actually but I still don't like it and am glad I scratched it. Sometimes at tops or bottoms I notice a very strong response where I know thats it and I thought I saw it here but after thinking about it I did not, but it was close. My third trade again was aggressive but a poor decision, way too much volume had printed around 1560.75 and the time of day plus the attraction of mid/pHi below should have told me to back off. I am glad I re-longed it again though at the mid because that trade with multiple lots was awesome. I need more awesome trades...

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  #243 (permalink)
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2. Short 1561.5 after pop to 1562.5 and strong selling response. WTF, I dont want to be short here. Scratched immediately. Would have been winner.


LMAO! I know the feeling effin funny to read maybe just caught me off guard. :hehehe

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  #244 (permalink)
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Longer term time frames are still wildly bullish. Daily time frame was balancing until yesterdays session which broke higher and closed above balance, at the hi. Volume was nothing to write home about though and we will have to see if this break holds and the daily time frame can transition from balanced to bullish leading to all time frames being bullish.

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From the composite, we can see the break above balance. A failure to hold this breakout will target 1553.5 and then the mc vpoc of 1548.75. To the upside, the last remaining reference point we have is ~1570 which correlates to the all time cash hi. It certainly would seem likely the market tags it and takes a peak above to see if there is more business to be done up there.

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

4-1 pre-market

Economic data: ISM, construction

ON Profile: We have a tight 4.75 pt range on very light volume (58K) as it is a holiday in europe today so not much going on last night. I think the main takeaways from the session are that the low, while poor, held above the prior balance area hi which keeps the breakout intact but also that the hi is below pHi so its an inside day so far. Vpoc sitting at 1560.25.

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Looking ahead this week we have the non-farms data on friday which will be the focal point. Economic data out at 9 today could make some noise but I doubt it. I am expecting an OAIR quiet rotational day today. I think the main key will be if yesterdays breakout is respected- can the ES stay above ~1558.5? If so, then the levitation towards 1570 all time hi is expected, if not then we have a potential failed breakout on our hands and we look down to 1553.5 CHVN first then 1548.5 mc vpoc.

Levels Above: 1570 all time cash hi

Levels Below: 1558.5 BAH**, 1553.5 CHVN, 1551.5 CLVN*, 1548.5 mc vpoc**, 1540 CLVN**

Hypo#1- ES opens OAIR and rotates down to 1558.5 BAH to pick up buyers then grinds higher in an excruciatingly slow day.

Hypo#2- ES opens OAIR and pushes above pHi but fails then looks lower to 1558.5 and possibly lower if it is accepted back inside prior balance.

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  #246 (permalink)
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Posts: 617 since Jan 2013
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4-1 trades and recap

1. Long 1553.5 CHVN on 7.75 pt move. I took this on a blind long given the magnitude of the move even though this is a fade trade on a day controlled by sellers. Really would like a push up to IBLO to get short there. Scaled after 7 min and .25 MA. Second scale given.

2. Sold 1557.75 vwap/IBLO on 1.5pt move. So i passed on the first move up to here because I thought it might get to mid then didn't get filled on way down. Took short on second time up on poor rotation, risky but it seems to have some good things working for it: prior balance area hi at 1558.5 stopped the last move up and vpoc below at 1555 and sellers in control today, though its been balancing for the last few hours. Scaled after 17 min and .25 MA. Second scale given.

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Recap
ES opened OAIR inside value and pushed higher for a peak above pHi but only got 2 ticks inviting sellers to come in and auction it lower. A poor ISM spiked it lower and the ES moved lower to find buyers and found them at 1553.5 CHVN. Sellers were able to hold it back within prior balance area for the duration of the day. Value shifted completely lower along with vpoc. Price closed lower. Volume was very poor at just over a mill. So we find ourselves back in prior balance area with a potential failed breakout...cause for concern? As of now I say no, buyers are still in control and if sellers were serious today we would not have balanced the rest of the day after 10am.

Im satisfied with my trading today but could have done waaay better. Disappointed I missed the short from 1564.5 after it 2 ticked the pHi and I had my mouse ready to wack it but the ISM out shortly gave me pause as I didn't want to jump in close to the release. It was the trade of the day though for sure... I missed another potential long at 1558.5 prior balance area hi right after the number which would have given two scales but again, bad number didn't want to jump. Vwap was holding a lid on any bounce today and you could have sold it like 3-4 times and taken max 3 ticks heat.

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  #247 (permalink)
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4-2 pre-market

Economic data: factory orders

ON Profile: I wasn't expecting to see this profile when I woke up. ES rallied quite a bit overnight then settled into a range between 62.5 and 63.25 for the last few hours. I can't see any particular reason why the hi and low are where they are other than so far its an inside day compared to yesterdays session. Volume is above average at 218k but nothing excessive.

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ES is now trading back above the prior balance area high of 1558.5 after being rejected from it yesterday. I am anticipating an OAIR above value with responsive sellers making a push back towards yesterdays value area. 1558.5 will be a potential roadblock, if that fails then ES targets 1555 nvpoc then other side of balance at 1551.5. If 1558.5 holds then new highs are targeted.

Levels Above: 1565 pHi, 1570 all time cash hi

Levels Below: 1558.5 BAH/CLVN*, 1555 nvpoc/1553.5CHVN, 1551.5 CLVN**, 1548.5 CHVN*, 1540 CLVN***

Hypo#1- ES opens OAIR above value and responsive sellers auction it lower to 1558.5/1557, if it holds then 1565 targeted, otherwise 1555 then 1551.5 are targets.

Hypo#2- ES opens OAIR above value and pushes higher but again fails near 1565 and sellers auction it down/thru pLo.

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  #248 (permalink)
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Platform: SC, S5T
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Posts: 617 since Jan 2013
Thanks: 321 given, 589 received

4-2 trades and recap

1. Sold 1563.5 on 2pt move after ONHI was only 1 ticked with weak print and expecting responsive sellers to enter (though I expected them to enter earlier on open...). Potential negative is that my stop puts it right at yesterdays hi to the tick which could easily be a magnet. Its gone 4 ticks in my favor almost instantly but now 2 ticks against and a poor hi is forming. Stopped after 15 min and 1 MF.

2. Long 1564.5 vwap, tried pulling order got filled. Scratched instantly. The reason I had the bid here is because market looks strong and I am looking for the vwap to act as support again. Would have been winner...

3. Long 1565.5 vwap on 2 pt pb and a small print on the tick below and what looked like buying absorption at 65.5 and 65.75. The day has been controlled by bulls but the last 2 hours have been dead and balancing and they have not made any more progress. Nevertheless, there is a poor hi above and vwap has held today each time and below is 1565 pHi which might provide support and 1564.5 mid which might as well. 40 min in and its gone 2 ticks against (buyers holding up 1565 pHi) and 6 ticks in my favor but only printed my exit weakly. Massive iceberg buyer of over 8000 at 66 just now and if I cant get a fill off a bounce on that I am toast I think. Took a partial profit at 66 for 2 ticks after 57 minutes...just didnt like this trade. Would have been a loser.

4. Sold 1563.25 on 1.25 pt move off bottom. Man horrible trade location but I didn't get filled on the re-trace to the mid and ended up chasing. Instantly 4 ticks against me. Come back and gone to my exit price and 474 print, no fill. Scratched after 30 min. Would have been a winner.

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Recap
ES opened OAIR/ORR and moved higher thru pHi and to new 5 year hi's but were unable to make any progress after 10am. After balancing for a few hours longs were forced to puke after sellers managed to take it thru the mid. On the brink of a total collapse buyers stepped in and auctioned it back into the value area on the close. Value shifted higher along with vpoc. Price closed inside value and below pHi. Volume was nothing special at 1.35 mill. The profile's shape doesnt really give the feeling that traders know what the ES is worth now, ie vpoc doesnt really stick out like a sore thumb. From 63-67 prices are pretty equally fairly accepted (1565s not included).

Man I traded like a donkey today. I was fixated on responsive sellers coming in off the open but they didn't show. My scratches were just garbage. Let the trades work even if they are/will be wrong! I was just rattled today overall and had no confidence. Sigh.

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  #249 (permalink)
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4-3 pre-market

Economic data: ADP, ISM

ON Profile: Tight, low volume 4 pt range so far. The upside is contained by pHi and the low stopped 2 ticks short of the VAL. Profile is mostly bell-shaped with vpoc right at 65.5. Market apparently waiting for the ADP report or ISM.

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ES continues to be unable to attract serious, aggressive sellers. Yesterdays late afternoon sell off appeared to be a case of late longs not getting paid and being forced to puke once the contract auctioned below the mid. Of course buyers were there to relieve them of their pain and auction it back up. A poor-ish hi was left in place from yesterday and the ES is currently sitting just a few handles below it. Barring a calamitous ADP or ISM, which IS possible, I think the poor hi gets repaied and new all time cash hi's are on tap for today. I am expecting an OAIR inside value open with a small push lower that buyers jump on and grind higher through the day.

Levels Above: 1568 pHi, 1570 all time hi

Levels Below: 1565 LVN, 1562.75 CHVN*, 1558.5 CLVN**, 1553.75 CHVN, 1551.5 CLVN**

Hypo#1- ES opens OAIR inside value and chops for 30 minutes before ISM with a push lower to 1562.75 CHVN that buyers grab on to and auction higher up to and thru all time hi. Re-entry into pRange opens door for downside.

Hypo#2- ES opens OAIR inside value and pushes higher thru pHi and fails, on its own or due to ISM and sellers auction it lower to 1562.75 and then 1558.5. If that level can't hold then 1553.75 and 1551.5 are on the table.

EDIT: I think its possible once new all time hi's are made, some serious profit taking could be in store. Will keep my mind open to the possibility so I am not caught flat footed on a reversal.

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  #250 (permalink)
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Thanks: 321 given, 589 received

4-3 trades and recap


1. Long 1561.75 on 4.5 pt move. Wanted long at 1562.75 CHVN but lots of volume traded at 1563 so I figured more downside was in cards. Saw some absorption at 1562 then weak print at 1561.5. Stopped after 10 min and .75 MF. Profile looking trend-ish down.

2. Sold 1559 pLo on 1.75 pt move up. Very poor low in place with a triple bottom and almost 8k on bottom tick. I was unfilled on first attempt up here and this is third attempt which sucks. This could easily rip in my face. Vpoc shift to 1558.25, is that bad? Man lots of swirling context in this trade. Scaled after 15 min and .5 MA. Second scale given.

3. Long 1553.5 CHVN/2nd vwap on 5.75 pt move down. I took this on a blind given confluence of factors. As I look at the vwap, I take it back as an additive factor as it has just stair-stepped down with the ES as opposed to it being far away and ES swoons to it. Pretty quickly 6 ticks in favor and over 500 print my exit but no fill. Now back to entry . Scaled after 12 min and .25 MA. Second scale given.

4. Long 1552.25 after 1551.5 CLVN held on second test with weak print. Dang, instantly 5 ticks against me. Just looked at MP chart and market is still one timing down... Stopped after 12 min and .5MF, did a manual stop and screwed myself with a 9 tick loser, 3 ticks slippage.

5. Sold 1550.75 on 3 pt move up. I was cued at 1551.5 CLVN but only 75 printed there and ended up moving my order down 3 times. 1st vwap is here too to provide possible resistance. Lots of size was chewed through on the offer to get up here. Man this is annoying, its gone 5 ticks against me then 6 ticks my way and printed my exit 5 times but weakly and no fill, getting worried. And as soon as I write that I get filled after 31 min and 1.25 MA. Second scale given.

6. Sold 1548.75 1st vwap on 4.75 pt move. Ok this could be a stupid trade but its a big rotation and trend day down. Time of day is bad (245) and it looks super news-y with a strong reaction off the low. Stopped after 3min and .5 MF. Oh well. Done for the day.

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Recap
ES opened OAIR inside value and trended lower all day save for a bounce off the low. There is no value area (meaningful at least) but vpoc shifted down to 1548.75, a healthy 18 pt move down. Price closed right at vpoc. Volume was heavy at 2.04 mill but I don't think it is insane volume. So we have a dramatic big red candle on the daily chart and we are now firmly back in the 1540-1551.5 balance area. Might we finally test the gap zone of 1527-1521 soon?

I made some bad trades today but I also made some good ones and even though I finished down, it was small and if I was trading 2 lots, all my winners would have given second scales and therefore I would have been positive. FT71 made mention that many people in brokerage were violating their risk parameters and getting crushed. I know what thats like all too well and it sucks. If you aren't on the right side of a day like today, no risk control can ruin your month or worse, blow you out. On my losers I could feel myself saying "watch me get stopped right at the exact bottom only to watch it reverse and make new all time hi's" but look back on my chart and see how much more the market fell after I was stopped. So keep risk controlled! And I say this knowing that I too will lose my discipline one day and get "got", I just need to make sure it is manageable.

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