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

  #311 (permalink)
Elite Member
Rio de Janeiro, Brazil
 
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4-25 trades and recap

1. Sold 1578.5 pHi on top of 2.25 pt move down after it broke above OSHI only 3 ticks then back inside and printed OSLO for 3rd time anticipating that to get taken out. Scaled after 3 min and .25MA. No second scale given. ES with a nice bounce off lows that failed before VAH and nvpoc. Bottom in?

2. Sold 1582.75 CHVN/ONHI on 4 pt move after it printed 2 ticks above then back and a 3000 lot iceberg was a tick above. Negatives for this trade are that we were rejected from pRange and bounced strongly off the lows. Stopped after 2 min and .25 MF. Dumb trade.

3. Long 1584.5 IBHI on 1.5 pt pb. Why did I take this? Vpoc is sitting 3 ticks off the HOD and buyers have really taken control of this day with only 2 2 pt pulbacks since the low. That said, is this my best entry? I dont know but ptobably not, we will see. 25 minutes in it has gone 5 ticks for me and 2 ticks against but its not back to entry and I am thinking maybe it needs to go down first before it can go back up so I might get taken out. 35 min its gone 5 ticks against me... 67 minutes in it traded my stop but only 242 contracts so I am still in it. Vpoc shifted down to 1583.75. 105 minutes in it went +5 MF again and now back at entry. Annoying. Hard stop in at 83 now. Hi sure does look poor but market doesn't want to fill me. Scaled after 113 minutes and 1.5 MA. Second scale given.

4. Sold 1588 CHVN on 5 pt move. Bullish day so far and I took this because of the magnitude of the rotation and the fact that there is a big ledge at 1586.5 that I feel will be repaired before the day is over. This day could easily target 1593 all time highs as 2 hours are left. Scaled after 20 min and .25 MA. Second scale given.

5. Long 1582.5 mid/dVAL on 4 pt move. Looks like some longs are puking out here. Overall bullish day that had range extension higher so looking for some support here. Stopped after 11 min and .5MF. Took a 10 tick loser on this as I went with manual stop and it got away from me.

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Recap
ES opened a tick above pHi and chopped a bit before bouncing off prior days VAH and heading higher. Responsive sellers were laying in the weeds at 1588 and almost took it back down to lows but pHi proved to be formidable support. ES closes with higher value and higher vpoc. Price closed above pHi, inside value and right around the 1582.75 CHVN. Volume was average at 1.3 mill. The daily candle has a nice wick on top. The composite didnt change much after today.

I managed to make 2 ticks today which is better than none right? It seems to me that I am liking more and more taking trades at CHVNs and nvpocs better than CLVNs. I will have to do some stats this weekend but it seems CLVNs are for the birds. Im wondering if that selloff at the end of the day could have been predicted by the market structure up to that point? Or did that german news cause that to run farther than it normally would? Because I was thinking with value being established higher and prior range rejected that buyers would come in around the dVAL for an auction back up to dVAH but it didnt happen. Something to keep in mind.

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  #312 (permalink)
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4-26 pre-market

Economic data: GDP, michigan

ON Profile: We have a 7.25 pt range with a downside bias on light volume (175k) so far ahead of the important GDP number. The high is right around yesterdays LVN which was also the ONHI from yesterday and the CHVN in the neighborhood. The ONLO is the vpoc to the tick from 2 days ago when we had that nicely balanced profile. Vpoc is sitting at 1577.25 and overall profile shape is kind of like a "b".

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GDP just came out and its still shaking out but we may have an OAOR on our hands again but to the downside for a change. For now I an anticipate an OAIR below value open with responsive buyers making the first push attempting to get back into value. If they can build value there then I expect it to continue higher but if its rejected then 1570 is on the table and possibly even down to 1577 twitter low. Long term trends are higher, short term is balancing.

Levels Above: 1583.25 LVN, 1585.25 nvpoc, 1586 LVN, 1588.25 pHi, 1593 all time hi

Levels Below: 1575.25 nvpoc, 1570 CLVN*, 1554.75 CHVN

Hypo#1- ES opens OAIR and responsive buyers push to 1580 area and fail then bears take over and sell down to 1570 level, if buyers are found then bounce back up and balance, if not elevator down to 1557?

Hypo#2- ES opens OAIR and sellers push lower but find buyers around 1575 then bulls grind higher into the close.

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  #313 (permalink)
Elite Member
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4-26 trades and recap


1. Long 1577 after rotation down to pLo only took it out by 1 tick and 30 contracts and same open price as yesterday so maybe same game plan? Scaled after 7 min and .5 MA. Second scale given.

2. Long 1578.75 mid/vwap/open on 2.75 pt pb. This is also yesterdays afternoon pullback low so hoping it holds. Im viewing this as building upon the first trade and prior context of low being in for the day as it 1 ticked pLo. Stopped after 3 min and 1.25 MF. Dang.

3. Long 1573.75 (2 ticks above 1573.25 CHVN) on 3.5 pt move after seeing massive 10k iceberg bid a tick below then only 1 tick that. The low is poor for sure but I was looking for support in this area and someone is buying big here. Instant 5 ticks against me but strong buying response takes it right back to entry. Have to get through IBLO at 74.75 to get my fill. Traded my exit but only 44 contracts now back to entry. 38 min in and its at my entry and really want to scratch and try and get long a little lower but will just let it ride. Scaled after 53 minutes and 1.25MA. Second scale given.

4. Sold 1579 VAH/OPEN/ledge on 2.25 pt move. Filled in top 300 in cue. We have a strong bounce off lows and a rotational day so trying to fade the VAH which is a pt below but I thought this would be a better entry. Scaled after 26 min and 0 MA. No second scale.

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Recap
ES opened OAIR below value and put in a rotational day. Buyers were found at the 1573.25 CHVN and sellers were found as ES tried to enter prior value. Value and vpoc shifted lower along with price on weak volume (1.08 mill). Price closed inside value basically at vpoc. A poor hi was left behind so I think that will get cleaned up. Overall I don't think much was accomplished today.

I'm thinking of bumping up to 2 lots next week. My Win-Loss-Scratch ratio is 39.5/42/17.5 after 449 trades and my gross PNL is -$1025.50. So my expectancy is -$2.28. But letting winners run is a huge part of this game and if I trade 2 lots with a 6 and 10 tick target vs 6 tick stop that might bring me to even or possibly slight in the green. I will have to account for trades that hit first target but get stopped on second to really figure out projected expectancy. I guess I was hoping to have a 50% Win ratio on my trades before I bumped my size but maybe that is too aggressive. In my prior life as a scalper I had a 60-20-20 ratio. I don't know, it seems weird for me to be increasing my size as a losing trader though. Anyone have thoughts on this?

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  #314 (permalink)
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Good trading today. By now you have enough sample of live trades to calculate your expectancy if you did take 2 lots and scaled 2nd one at 10 tics. In my opinion it can make a huge difference since effectively you are riding on back of the same trade but getting 6:10 odds or overall your expectancy with win 40 loss 42 scratch 18 goes from currently -12tics per 100 trades to positive 136 tics (not calculating the commissions ) however on any downturn your drawdown will be bigger too. Thats assuming every trade that was a winner would also give you your second scale too but I wouldnt be surprised if that % is over 60%. Maybe you can do the homework for that this weekend before you jump in with 2 contracts.

A while back I recommended you trade in direction of gap. The biggest moves generally come in that direction. Maybe look into that too.

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  #315 (permalink)
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At Profiler, I'm curious to see how much your expectancy increases at 10 ticks. Please keep us posted. You may also wish to consider trying 12 ticks.




garyboy275 View Post
Good trading today. By now you have enough sample of live trades to calculate your expectancy if you did take 2 lots and scaled 2nd one at 10 tics. In my opinion it can make a huge difference since effectively you are riding on back of the same trade but getting 6:10 odds or overall your expectancy with win 40 loss 42 scratch 18 goes from currently -12tics per 100 trades to positive 136 tics (not calculating the commissions ) however on any downturn your drawdown will be bigger too. Thats assuming every trade that was a winner would also give you your second scale too but I wouldnt be surprised if that % is over 60%. Maybe you can do the homework for that this weekend before you jump in with 2 contracts.

A while back I recommended you trade in direction of gap. The biggest moves generally come in that direction. Maybe look into that too.


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  #316 (permalink)
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Ok so I ran the numbers this morning and this is what I came up with.

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I only started recording whether or not I got a 2nd scale after a month or so since I started so thats why total trades and PNL are different from what I posted on friday but the % winners and losers are insignificantly different I would say and unless I calculated expectancy wrong, I should definitely not be increasing my size to 2 lots and taking a 10 tick second scale. So I either need to make a higher % of winning trades or really let the winners run.

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  #317 (permalink)
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What about
1. If you moved stop to breakeven after you got first scale ?
2. How many of your second scale would run for a bigger target ?

The second one is subjective-I wouldn t recommending curve fitting here but its good to keep stats on how far a trade runs after you exit. When market conditions change you get bigger moves in direction of trend change.

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  #318 (permalink)
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garyboy275 View Post
What about
1. If you moved stop to breakeven after you got first scale ?
2. How many of your second scale would run for a bigger target ?

The second one is subjective-I wouldn t recommending curve fitting here but its good to keep stats on how far a trade runs after you exit. When market conditions change you get bigger moves in direction of trend change.

I'm not sure about either of your questions, I will have to start keeping track of that so I can calculate it. Kind of wondering if it makes sense to maybe do a 4 tick scale then 3 pt second scale or something. I guess I am frozen at the moment about what to do so just will continue to do what I have and hopefully get better while keeping track of more information...

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  #319 (permalink)
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Profiler View Post
I'm not sure about either of your questions, I will have to start keeping track of that so I can calculate it. Kind of wondering if it makes sense to maybe do a 4 tick scale then 3 pt second scale or something. I guess I am frozen at the moment about what to do so just will continue to do what I have and hopefully get better while keeping track of more information...


Its just a mental state. Stay focused and positive. ITs easy to get frustrated in trading. I d say continue doing what you are doing. These markets havent been the easiest to trade anyways. Check fridays action- fills gap and then breaks below IBL, retraces for another short down to 73.50 area. I know its an HVN but then retraces back into IB and goes all the way back to IBH.

Keep an eye for a good break under 73.50 could be a decent roll into 65 then 55 area. Maybe a new channel developing-keep an eye on it-hourly chart and daily below

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  #320 (permalink)
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4-29 pre-market


Economic data: personal income/spending, homes

ON Profile: ES is trading +6 at the moment after opening lower. Volume is extremely light at only 132k. The low is right at the CHVN/location of iceberg bid from friday while the hi so far is the LVN from Thursday's profile at 1583.25, which is above pHi. Vpoc is sitting at 1581 and most of the volume has changed hands above it/pHi. Profile shape is like a "P".

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We have some important data out coming out every day this week so that could really impact the day's trading. Today we are looking at a possible OAOR or an OAIR above value. I'm anticipating responsive sellers on open and depending on whether or not they are able to build acceptance inside prior value will be the key to the day.

Levels Above: 1583.25 ONHI/LVN from 4-25, 1585.25 nvpoc, 1586 LVN 4-25, 1593 all time hi

Levels Below: 1577 nvpoc, 1573.5 CHVN, 1570 CLVN, 1566.75 CHVN, 1554.75 CHVN

Hypo#1- ES opens OAIR above value and responsive sellers make first push to 1579 VAH or 1577 nvpoc to pick up buys who auction it higher thrue the day.

Hypo#2- ES opens OAIR above value and buyers push but fail at ONHI and sellers auction lower thru the day.

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