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

  #271 (permalink)
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josh View Post
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.

all my trades theoretically have larger targets for when i eventually trade multiple lots, definitely not trying to just shoot for 1.5 pts on winners. but for now im mainly trying to work on identifying good trade locations and just putting on a 1 lot to get in the market with some skin in the game. so far i would grade my trade entry locations a C-. just stay in the game and keep working hard until the light switch is flipped though...

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  #272 (permalink)
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4-10 pre-market

Economic data: fomc minutes

ON Profile: We have an 8 pt range on normal volume (170k). The low is yesterdays RTH open and above the 1559.75 CLVN seperating the upper and lower distributions. The hi is yesterday's hi to the tick. Vpoc sitting at 1566.5 which coincides with an HVN from yesterday. Overall shape is like a "p".

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Bizarre day yesterday, once again. Two days in a row the ES spends the morning balancing then breaks out and trends higher. Yesterday left a very poor hi in place and overnight the ES has touched it to the tick. I have to believe it is extremely likely to be taken out today. Value between 1560 and 1569 is somewhat undetermined. We have a CHVN at 1566.75 and one at 1563.25I am anticipating an OAIR above/at VAH rotational day. I think responsive sellers will make the first push but buyers will be waiting, looking for the 1569 target. What happens above there is anyone's guess. A rejection back into pRange sets the table for another sell off back to 1561.

Levels Above: 1569 pHi/ONHi*, 1570 all time cash

Levels Below: 1563.25 CHVN, 1559.75 CLVN*, 1554.75 MP single/CHVN*, 1549 MP single/mc vpoc***

Hypo#1- ES opens OAIR above/at value and responsive sellers push lower to 1563 to pick up buyers then grinds higher through the day.

Hypo#2- ES opens OAIR above/at value and pushes higher through pHi but fails and re-enters pRange where sellers step in and auction it lower to 1560 level.

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  #273 (permalink)
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4-10 trades and recap


1. Long 1569.25 mid/pHi on 2.25 pt move down after an OTD open. Looks like this OTD could be fizzled out already, we shall see. Iceberg bid of 3k at my entry before I jumped in. Scaled after 3 min and .5 MA. Second scale given. Might have a directional/trend day today but I doubt it, strength seems to be subsiding. Well it it just pushed to 73.75 so what so do I know?

2. Sold 1575 on 2 pt move up. Last 2 new highs have been made by only 1 tick and this last hi at 1575.5 pulled back a handle so I jumped in on a 2 tick push up. I realize the day has been strong thus far so this is definitely a fade trade. Scratched after 9 min and 1.0 MF vs .5 MA. Doubts crept into my head with no real reason to fade at this location other than weak context. Would have been loser.

3. Sold 1575.75, ok this is the silvester as over 7k printed on the offer at top tick so I joined it. Taking a flyer on this type of trade. Instantly 3 ticks against me. Stopped after 10 min and 0MF. Offered one up to the trading gods on that one. No reason to get short until this market gets done one timin up.

4. Long 1581.5 1st vwap on 1.5 pt move down. Vpoc shifted to 1583 and I missed a long here the first time down. Overall context so far is strong trend up day. However, it may be weakening as the last bounce traded up to the vpoc and printed it weakly and we now have a lower hi in place. HOD looks ok on the profile but it is a double top. Its gone 5 ticks against me and vpoc has shifted to 1580.75. FML. Scratched after 18 min and 1.25 MA vs .25 MF. Looks like buying finally kicking in now. Would have been winner...

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Recap
ES opened just below pHi made 2 downticks and then off to the races for an open drive. It made one pullback to the mid before blasting off for good. Solid trend up day though it did lose elongation at the hi. Vpoc solidily higher but value did not exist today. Volume was heavy than average at 1.71 mill but not insane. Price closed near the hi and overall its a clean/strong breakout from the balance area it has been lingering in for the last 5 weeks. The trend higher continues...

I made no money today which sucks. But I did do the trade of the day by buying the pullback to mid. If i had been trading multiple contracts I have to say I highly doubt I would have been able to hang on all day. There were so many times where I swear I saw the top put in and weakness creeping into the market. But it never came close to the mid after the initial pullback. It barely went underneath the 1st vwap at the end of the day. This market was super strong and its funny how it can make you think you see weakness. My second trade was stupid. Third trade was just an experiment and I paid for it but I'm not bothered by it. Last trade...I suspected I should have waited on my long a bit given the way it was acting but I wanted in and it would have paid me still if I had just held on.

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  #274 (permalink)
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4-11 pre-market

Economic data: claims, import/export

ON Profile: Pretty nicely balanced session last night with a smallish 5 pt range and light volume (158k). Yesterdays hi was taken out by 1.25 pts and the low lines up with an HVN from yesterday or just short of the afternoon pullback. Vpoc lines up almost to the tick with yesterdays. Overall, the market has accepted yesterdays move and is waiting for further info.

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Yesterday we had the strong/clean breakout from the balance area that we had been oscillating in since march 5. The question is what will be our next balance area? How much higher will ES go before sellers push back? Beats me. VP/MP now has no upside reference points to lean on so I think the ONHI and IB extensions will have to be the source of our cues. To the downside, we have some LVNs left behind by the trend that might act as support and I expect the prior BAH of 1569 to be very strong support. Im thinking today is a rotational day that digests yesterdays gains. Looking for an OAIR in the middle of the ON profile. A push to the ON hi is what I am most interested in, failure sends it back to 1582.75 and possibly to 1575.5 MP single. Acceptance means more vertical price discovery.

Levels Above: 1585.75 ONHI

Levels Below: 1582.5 nvpoc, 1575.5 MP single/LVN, 1572.75 MP single, 1569 BAH high/breakout level***

Hypo#1- ES opens OAIR and chops around, pushes lower weakly to ONLO to pick up buyers and then grinds higher through the day.

Hypo#2- ES opens OAIR and pushes up to ONHI but fails and is then re-accepted in pRange targeting 1575.5 MP single.

Hypo#3- ES opens OD up?

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  #275 (permalink)
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Profiler, you are getting more and more adept at interpreting price behavior in relation to volume profile. I have noticed sharp improvements in your analysis. Just wanted to tell you i like reading them.

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  #276 (permalink)
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Profiler, one more source to learn is at J. Dalton web site. Their private member section is free since a few days ago. You might like to subscribe. There are always a few clues i get from reading his S&P morning update.

Dashboard - Guest Members Resource Center - James Dalton Trading

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  #277 (permalink)
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4-11 trades and recap

1. Sold 1589.75 on 4.25 pt move after a 1.5pt spike and absorptive seller sitting at my entry. Really no other justification for this trade. Wow this strength is ridiculous, 5 ticks against me. Now back to entry. Stopped after 13 min and .25 MF. Stupid trade.

2. Long 1588.75 above the IBHI on 4.25 pt move. Wanted IBHI long but it stopped 2 ticks short and printed weakly. Very strong day so far but finally sellers stepped in from 93 level and this is biggest rotation down on the day. My stop is 1 tick below vwap which isn't ideal placement but I paid up. 5 ticks in my favor pretty quickly. Now back at entry. Now 4 ticks against me at IBHi, where I really wanted to get long...Scaled after 63 minutes and 1.25 MA. The long at IBHI exact was the best trade location, not mine. Second scale given.

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Recap
ES opened OAIR and pushed weakly lower only to fail a tick before the ONLO when buyers stepped in and ripped it higher. For awhile the buying was pretty crazy but around 1592 the buyers ran out of steam. From there it turned into a rotational day between the hi and the mid. Vpoc and value shifted higher, above pHi. Price closed higher, inside value and above pHi. Volume was average at 1.45 mill. Overall yesterdays breakout was built upon as the we are in vertical price discovery mode. No aggressive sellers found yet.

Disappointing day today, the market just wouldn't let me in where I wanted to get in on 2 really good trades. Then I did one totally stupid trade and one ok trade that I was fortunate to not be stopped out on. Frustration about all these scratch days is building within me. I need to let something go within me and just pay up more often when I don't get my exact price...

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  #278 (permalink)
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4-12 pre-market

Economic data: retail, PPI, mich, biz inventories

ON Profile: ES has a 7.5pt range on average volume (184k) so far. Not really sure why the hi is where it is but it appears that in selling off, the ES rejected value at yesterdays vpoc and searched lower for the building CHVN at 1582.75 to find buyers. Profile is shaped like a "b" which indicates long liquidation, according to Dalton. Vpoc is at 1582.75.

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Yesterday added to the gains from the prior day's breakout but it lost steam and turned rotational at the end and closed inside value. The last 2 days combined have formed a double distribution separated by the 1585.5 CLVN with CHVNs at 1588 and 1583.75. The overnight session rejected the top distribution and is now building value in the lower one. We have important data out today which could impact the market meaningfully and lead to chop within the first half hour but I am anticipating an OAIR below value, possibly OAOR. I think responsive buyers make the first push higher and the strength of that will be the key. A weak push and sellers/profit takers have the ball to take it below pLo at 1581 and if they can build value there 1575 is targeted with 1569 breakout level the extreme target. All time frames are bullish.

Levels Above: 1583.75 LVN/ON vpoc, 1585.75 CLVN*, 1588 CHVN, 1593 pHi

Levels Below: 1581 pLo, 1577.75 CLVN, 1575.5 MP single*, 1572.75 MP single, 1569 breakout level***

Hypo#1- ES opens OAIR below value/OAOR and responsive buyers push to 1583.75/1585.5 and fail allowing sellers to step in and have at it. If they are able to build value below pLo then they can push to 1575.5 area or lower but I expect buyers to be waiting t auction it higher.

Hypo#2- ES opens OAIR/OAOR and sellers push lower but fail and buyers grind it higher through the day targeting 1582.5 then 1588.

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  #279 (permalink)
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4-12 trades and recap

1. Long 1581.25 pLo/2nd vwap on 1.5 pt move after low was taken out by 2 ticks and printed weakly then bounced back up. Rotation sucks but I think overall context supports the trade as we have a rotational day unfolding thus far and a poorish hi above. Scaled after 2 min and .25 MA. Second scale given.

2. Long 1577.75 CLVN/bottom of balance area from breakout day on 5pt move down. Stopped after 1 min and .25 MF. Brutal.

3. Long 1579 ONLO on top of a 1.75 pt move up. New type of trade for me here, not comfortable with it. ES has traded up to here 3 times now and been rejected. This is 4th time. Very distinct LVN zone separating it and IBLO at 1580.5. Debated playing it from short side at IBLO which lines up with mid/vwap and pLo at 1581 and vpoc at 1581.5 but given the resistance faced in breaking through 1579 up. I'm not sure if sellers would have power to send it right back thu. Scaled after 2 min and .25 MA. Second scale given so it was the right call as the short would have given one scale only.

4. Long 1580.5 mid/vwap/lvn on 3.25 pt move. Ok so now my exit from the trade above is my entry. Last move up stalled before near VAH but we have a series of higher hi's and lower low's in place despite the profile being rather blocky and the day being rotational I took the long considering for me to be wrong it would have to go below the ONLO at 1579 which I don't think is likely, but possible. Scaled after 12 min and 0MA. Second scale given after about 2 hours. 1579 level held as expected, only printing weakly at 1579.25.

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Recap
ES opened OAIR below value and responsive buyers quickly stepped in and attempted to bring it back into prior value but failed at the CLVN separating the 2 distributions on the composite. Sellers wacked it, aided by poor michigan numbers, and took it down to the 1575 MP single to pick up buyers. From there buyers brought it back inside the IB and held it there for the rest of the day. Value and vpoc shifted lower. Price closed lower and inside value. Volume was average at 1.46 mill. Profile shape looks incomplete to the upside so I'm thinking sunday night explores higher? 1582.5 has established itself as the most fairest price since the breakout.

I had some decent trades today but it could have been better. I missed that long at 1575.5 which is really frustrating because it was the trade of the day. I lost money this week but i end it on a positive note so thats good...

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  #280 (permalink)
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Weekend Update with profiler


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We've got all time frames extremely positive right now. The daily and possibly weekly charts had been balancing for the last month but this week's breakout switches everything to vertical price discovery mode again. I see no reason to want to be short other than on an intraday basis. The only reason to be short on a longer time frame basis, IMO, is because you think its run up too far, too fast and thats not a good reason in my book.

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The composite shows the break from balance and what people are thinking about prices above. So far 1582.50 is getting a lot of love. Above that 1588 is forming a little HVN and in between those two is pretty devoid so I am thinking that area is going to be auctioned thoroughly soon. The hi at 1593 looks weak to me as if it wasn't sellers stepping in aggressively but rather bulls getting tired and taking profits around there. Yesterday's action had a solid buying response from the 1575 level. It will be interesting if the 1569 breakout level gets tested, I expect it to hold but the last two breakout areas were never even revisited. Long and strong is the way right now.

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