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

  #261 (permalink)
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Another 5 trades to throw in the stat pile. I did 21 trades this week and finish with a net pnl of -$12.50. Im deflated and have nothing else to say at the moment.

I would highly recommend you read"the peaceful warrior" by Dan mill man before you continue trading further. You can get it from amazon for 9.99 for kindle with taxes it should be covered by the 12.50 you made. That would be an awesome trade IMHO. You don't need kindle to read on kindle - kindle app is available for phones PC tablets etc


Last edited by garyboy275; April 7th, 2013 at 02:47 AM. Reason: correction
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  #262 (permalink)
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I would highly recommend you read"the peaceful warrior" by Dan mill man before you continue trading further. You can get it from amazon for 9.99 for kindle with taxes it should be covered by the 12.50 you made. That would be an awesome trade IMHO. You don't need kindle to read on kindle - kindle app is available for phones PC tablets etc

As luck would have it i am currently layed up in bed today with a stomach virus and will take you up on your suggestion. I know FT71 has suggested this book as well. Curiously, what about my statement on friday made you suggest this book?i dont see the connection to it based on the synopsis.

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  #263 (permalink)
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You can get it from amazon for 9.99 for kindle with taxes it should be covered by the 12.50 you made. That would be an awesome trade IMHO. You are a trader after all.

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  #264 (permalink)
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4-8 pre-market

Economic data: none, AA earnings

ON Profile: ES has a 7pt range so far on normal to lighter volume of 168k. The low is right at the LVN seperating the late afternoon pop into the close. The hi is just above the key 1551.5 CLVN. Profile shape is very boxy indicating unknown fair value. Both the hi and lo and poor with the hi being poorer having vpoc at 1551.5, 2 ticks below the hi

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Fridays action almost completely erased the poor non-farms report and now the ES has continued higher yet. Must be deflating for the bears. This week is the start of earnings season which could take volatility up a notch or two. But for today, considering AA doesn't matter much, I expect a quiet rotational day with an upward bias. We are set to open in proximity of the 1548.75 mc vpoc which is also basicaly pHi so I expect a test and the reaction to it could be very telling. A nice rejection of that clears the way for bulls to make further upside progress but lingering/acceptance indicates a little trip into pRange. I am anticipating an OAOR with responsive sellers making the first push. How far they get will give clues to how the day will unfold. Longer time frames are still bullish. Daily time frame is balancing. We rotated from the BAH to the BAL last week and are now right in the middle.

Levels Above: 1551.5 CLVN/ONHI*, 1554.75 CHVN/nvpoc**, 1560.25 CLVN**, 1563 CHVN

Levels Below: 1544 MP single/LVN*, 1542 nvpoc, 1540 CLVN*, 1535.25 CHVN

Hypo#1- ES opens OAOR and responsive sellers push to 1548.75 where buyers step in and auction higher through the day, potentially up to 1560.

Hypo#2- ES opens OAOR and ES pushes higher but fails at/above ONHI and sellers step in and auction lower, first to 1548.75 then 1544 and possibly lower.

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  #265 (permalink)
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4-8 trades and recap

1. Long 1544.75 LVN after bounce from 2.75 pt move down to 1544.25 MP single. 2nd vwap below at 1544.25. This is contrary to all the action that has taken place today so far but I think it is a good area for a long. ES opened right at the mc vpoc 1548.75 and instantly rejected it, sold off 1.5 pts, bounced back to it to the tick and rejected it again then made its way down here. Instantly 1 handle against me. Scaled after 7 min and 1.0 MA. Note: filled around 480 contracts in queue. No second scale.

2. Long 1546 mid/vwap on 2.25 pt pb. Vpoc 1 tick below. Ok, not sure if this trade makes sense as the day is looking rotational which are best played outside in. But this is first test of mid from above and the last auction up looked incomplete to me with a poor-ish hi. Scaled after 11 min and .5 MA. Second scale given after 2 hours of chop/

3. Sold 1550.75 on 5.75 pt move ahead of the 1551.5 CLVN. Had an order queued at 1551.5 but it printed weakly 1551.25 and the rotation is very extended so I jumped in here, for better or worse. This is a rotational day with weak volume and we are above the 2nd vwap here. Well if I was a bit more patient I would have gotten my 1551.5s... Stopped after 16 min and .25 MF. Would have been stopped on 1551.5 short as well. Really extended move here. Looking for another short at nvpoc above.
4. Sold 1560 CLVN/MP single on 7.5 pt move at 3:10pm. Maybe this is completely stupid but I couldn't resist taking this chance. I would definitely sell this level during RTH hours and given the rotation I decided to sell after cash close. Might take this into extra time. Into extra time we go, it did print 5 ticks in my favor and 2 against. Stopped after 34 min and 1.25 MF. Dang!

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Recap
Strange day! ES opened OAIR right at the mc vpoc of 1548.75 and immediately rejected and moved lower. After a re-test and rejection it moved lower and sought buyers and found them just below the LVN from friday concurrent with the VAH. Two hours of chop higher ensued forming a nice balanced profile. Then the IBHI was taken out and the market morphed into a trend day that grinded higher extremely strong, staying above 2nd vwap for the majority of the time. You could have used 2nd vwap as support! Buying continued into the bell and after and shorts got squeezed. No value on a day like today, vpoc got left behind at 1547 and price closed just off the hi. Volume was pathetic on this move at only 1.18 mill! This action feels like someone knows something or is related to Japan possibly collapsing before our eyes and their money moving over here.

Well it certainly sucked watching that thing grind higher into the close. Im happy with all my trades today. I'm not happy to have missed that 10 handle move higher into the close but I have never seen anything like that before and would never have considered using a 2nd vwap as support. Maybe I was too agressive on the first long, had I been a little more patient the market would have come to me and that would have been the trade of the day.

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  #266 (permalink)
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Then the IBHI was taken out and the market morphed into a trend day that grinded higher extremely strong, staying above 2nd vwap for the majority of the time. You could have used 2nd vwap as support!

.................. I have never seen anything like that before and would never have considered using a 2nd vwap as support.


Profiler After reading these comments in your post I thought you might find interest in these links. "Walking the Bands" isn't an easy thing to do but if if you have the cajones to hang on it can be quite profitable.

TraderFeed: Trending Markets and the Volume Weighted Average Price (VWAP)

TraderFeed: VWAP, Trends, and Consolidations: A Longer Timeframe Look

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  #267 (permalink)
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Profiler After reading these comments in your post I thought you might find interest in these links. "Walking the Bands" isn't an easy thing to do but if if you have the cajones to hang on it can be quite profitable.

TraderFeed: Trending Markets and the Volume Weighted Average Price (VWAP)

TraderFeed: VWAP, Trends, and Consolidations: A Longer Timeframe Look


Yes, I find Steenbarger is a well of info for trading and specifically trading ES.

Become Your Own Trading Coach

TraderFeed: Understanding Market Movement With VWAP

TraderFeed: Playing Moves Back to VWAP

TraderFeed: Tracking VWAP and Range Trading Days

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  #268 (permalink)
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4-9 pre-market

Economic data: wholesale inventories

ON Profile: Tight 4.75 pt range last night on ok volume (189k). Shape is pretty gaussian but with a thicker middle and shorter tails. The most important information to be gleaned from it is that all of yesterday afternoon's rally was maintained and even built upon slightly.

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Yesterdays breakout rally left many people scratching their heads, myself included. I can't explain where the strength came from or why but it did in fact occur and now we have to deal with it. Bigger picture, ES has simply been rotating from top of balancing to the bottom and back up again. We are now near the top of balance. Last time here we found strong responsive sellers off of 1566. Our BAH is 1568 and all time cash hi's are ~1570. Maybe today is the day we test that. I think the key level is 1560, yesterdays hi and the CLVN. If the ES is accepted back into pRange, I don't see much in the way of stopping it on a re-test of the 1548.75 breakout level. If pHi holds, I see a move up to new all time hi's. Will responsive sellers be waiting there again? So, for today, I am expecting an OAOR with responsive sellers making the first push. If they cant accomplish much I expect the bulls to step in and rip it higher to find sellers. If responsive sellers do manage to take it back into pRange and build acceptance, I think a trip back down to 1548.75 is in order. Longer time frames are very bullish, daily time frame is balancing.

Levels Above: 1565 LVN, 1568 BAH*, 1570 all time hi

Levels Below: 1560.5 pHi/CLVN**, 1553 CHVN, 1548.75*** mc vpoc, 1547 nvpoc, 1540 CLVN

Hypo#1- ES opens OAOR and responsive sellers push to 1560 and fail then bulls ramp it up to new all time hi's.

Hypo#2- ES opens OAOR and responsive sellers push into pRange and build acceptance, ultimately targeting 1548.75.

Hypo#3- ES opens OD, get on board!

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  #269 (permalink)
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4-9 trades and recap

1. Long 1558.75 1 tick below ONLO on 2.5 pt move down as this sell off kind of meanders down weakly and there is an iceberg bid at my entry so I jumped in. Instantly 4 ticks against me, dang. Stopped after 8 min and .5 MF.

2. Sold 1557 on 1.5 pt pb. Aggressive entry and really debating whether I am giving myself the best chance but sellers are def in control and accepting value in yesterdays range so my target is down to 1548.75. Really wanted to wait for the pb to mid/vwap at 1548.75. God damnit, stopped after 3 min and .5 MF.

3. Sold 1560.5 pHi on 3.5 pt move. 4000 lot iceberg order there so I joined. Scary trade as it seems this market is ready to rip up. Went 3 ticks against me but then some serious selling came in. Scratched after 10 min and .75 MA vs 1.5 MF. Didn't like how it came to my exit and printed only 44 then ramped right back up. And I am a bit shellshocked today. FUCK! Instantly came back down and would have filled me.

I am going to step away for a bit and get my emotions under control, just a bit off kilter today.

4. Sold 1565.25 LVN/3rd vwap on 3.5 pt move. Market getting extended again and above the 2nd vwap which is currently 1563.75. Very big passive seller at 64.5 on the way up. Stopped after 7 min and .75 MF.

5. Long 1566.75 on 2.25 pt pb from hi. First vwap below at 1566 printed only 28 contracts and we have a veyr poor hi above (over 8k at top tick) so I am looking to get long for possible ramp into close. Potential negative is that ES came back into the balance area after making new hi's and after being above 3rd vwap it is now just barely above 1st vwap. Stopped after 16 min and 1.0 MF. Unbelievable, worst day in months. Limit down.

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Recap
ES opened OAOR and after buyers pushed to 1562 a few times but no farther, bears stepped in and wacked it into pRange. A nice balanced profile developed inside pRange but similar to yesterday buyers auctioned it higher and a trend day began, often walking the dog with the 3rd vwap. New 5 year hi's traded but it stalled at 1569 with a poor hi left behind and sellers auctioned it down to the ONHI and just below. So, all in all, vpoc and value shifted higher. Price moved higher and closed inside value on average volume (1.4 mill).

Man I feel terrible right now. Right from the start I felt out of sync with the market and unsure of myself. The one good trade I did today I scratched. Ok I lost $300, not a problem if I felt like I learned something but I don't think I learned anything today. I'm questioning how much I've learned over the last 6 months because I am constantly doing trades that I should have done the opposite way! Today is done, tomorrow is another day...

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  #270 (permalink)
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Man I feel terrible right now. Right from the start I felt out of sync with the market and unsure of myself. The one good trade I did today I scratched. Ok I lost $300, not a problem if I felt like I learned something but I don't think I learned anything today. I'm questioning how much I've learned over the last 6 months because I am constantly doing trades that I should have done the opposite way! Today is done, tomorrow is another day...

Keep your chin up dude. You are going to do fine! I know how you feel, and all we can do is work on our market knowledge, execution, and mental/psychological things, and keep doing our best to improve.

A question: have you considered a larger target, yielding a better r/r? As it stands you have to win about 55-60% to break even and that's a tough proposition. Have you thought about setting targets based on market structure? Maybe you're doing an exercise or something, I don't know, just something to think about.

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