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Learning to trade the ES using volume profiling


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Learning to trade the ES using volume profiling

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  #351 (permalink)
Rio de Janeiro, Brazil
 
Experience: Beginner
Platform: SC, S5T
Trading: Es
 
Posts: 617 since Jan 2013
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1. Long 1613 nvpoc on 6.5 pt move down off the hi. Sellers in control, kind of stepping in front of a bus. So we opened above pHi, made new all time hi's then sellers stepped in pretty aggressively and knocked back into pRange and now nvpoc. Instantly 5 ticks against me but not 4 ticks in favor. Scaled after 6 mins. Second scale given.

2. Short 1615.75 vwap/pHi/mid on 4 pt move up off lows. As of now it looks like market is trying to break back above pHi and hold but given the confluence of things here I decided to try the short. Stopped after 26 min and .5 MF.

3. Sold 1620.75 2nd vwap on 5 pt move. Scratched after 10 min and .75 MA vs .25 MF. Will try to re-short above at 1623.25 1.5 IB as I need something else to lean on besides 2nd vwap to short at all time hi's. Could have stayed in this trade for the rest of the day without a scale or stop...




Recap
ES opened OAOR with an upside gap and after making new all time's sellers stepped attempted it to push it back into pRange and were successful but only momentarily as buyers jumped in somewhat aggressively near the nvpoc and pVAL and quickly auctioned it back above pHi and to grinded it higher thru the day. Value and vpoc shifted higher again. Price closed near the hi and above value. Volume once again poor-ish at just about 1.3 mill. Today left a very poor hi. Market keeps working its way higher with no sign of aggressive sellers...

Another day, another scratch. First trade was hard to take as sellers were really wacking it. Again, it reinforces my desire to take trades from CHVNs as opposed to CLVNs. Second trade...again, strong bounce off lows and based on past experience I would not have taken it if it was just the mid but it had confluence with pHi and vwap and context of being rejected from above pHi already I thought it would hold but it didn't. Third trade was desperation for a trade to be honest. I had a few other trades that I missed out on I marked on the chart.

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  #352 (permalink)
Legendary Market Wizard
Georgia, US
 
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I know people have different opinions about this, but whatever your reason for wanting to buy 1615, was it strong enough to just go to market and buy? Missing a fill by a tick has always frustrated me. By 3 or more ticks, and I don't consider it close enough, but if I miss a fill by 1 or 2 ticks then that is frustrating to me. So, I started just buying, if my belief in the trade is strong enough, if it looks like I've missed the entry. Said another way, if 1615 is a strong buy, is 1615.25 at least good enough to get in and lose 2 or 3 ticks on the entry?

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  #353 (permalink)
wa/ usa
 
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josh View Post
I know people have different opinions about this, but whatever your reason for wanting to buy 1615, was it strong enough to just go to market and buy? Missing a fill by a tick has always frustrated me. By 3 or more ticks, and I don't consider it close enough, but if I miss a fill by 1 or 2 ticks then that is frustrating to me. So, I started just buying, if my belief in the trade is strong enough, if it looks like I've missed the entry. Said another way, if 1615 is a strong buy, is 1615.25 at least good enough to get in and lose 2 or 3 ticks on the entry?

Other thing is if you get a fill chances are it's got more of a chance to go thru your price. BTW the low iirc was 1615.25 before that I am not sure though. (when it based before hitting 1618 coming off the lows) 15.25 was also the previous day close

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  #354 (permalink)
Rio de Janeiro, Brazil
 
Experience: Beginner
Platform: SC, S5T
Trading: Es
 
Posts: 617 since Jan 2013
Thanks: 321 given, 589 received


josh View Post
I know people have different opinions about this, but whatever your reason for wanting to buy 1615, was it strong enough to just go to market and buy? Missing a fill by a tick has always frustrated me. By 3 or more ticks, and I don't consider it close enough, but if I miss a fill by 1 or 2 ticks then that is frustrating to me. So, I started just buying, if my belief in the trade is strong enough, if it looks like I've missed the entry. Said another way, if 1615 is a strong buy, is 1615.25 at least good enough to get in and lose 2 or 3 ticks on the entry?

problem for me is determining if something is a strong buy, which I am not good at. but i agree, this is something i will have to do.

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  #355 (permalink)
Rio de Janeiro, Brazil
 
Experience: Beginner
Platform: SC, S5T
Trading: Es
 
Posts: 617 since Jan 2013
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Economic data: none

ON profile: We have a pretty balanced profile so far on light volume (113k). Yesterday's very poor hi was 1 ticked and the low is at 1518 which doesn't really stand out to me for any reason. Vpoc sitting at 1620.25. So the market has held on to yesterdays gains and nothing seems to have changed as market awaits new information.



Yesterday sold off down to the 1513 MC vpoc level and bounced and closed leaving a very poor hi behind. The ON session only 1 ticked it making me suspect the market is just a little too long at the moment and might require a little sell off to shake out weak longs and then take out the poor hi. Perhaps another sell off down to 1613 is in order today first before taking out the poor hi. Or not, ha. Alternatively, if market cleans up the poor hi early on but then dips back below it sellers will have a small wind at their back down to 1613 and perhaps lower. All timeframes are positive so bias is to the upside.

Levels Above: 1621.75 pHi

Levels Below: 1617.5 HVN, 1613 mc vpoc*, 1609.25 poor low from 5-6, 1605.5 BAL

Hypo#1- ES opens OAIR and pushes higher but fails at pHi then sells off to 1613 to pick up buyers and grinds higher into the close.

Hypo#2- ES opens OAIR inside value and pushes above pHi but finds nothing then sellers auction lower thru the day.

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  #356 (permalink)
Rio de Janeiro, Brazil
 
Experience: Beginner
Platform: SC, S5T
Trading: Es
 
Posts: 617 since Jan 2013
Thanks: 321 given, 589 received

1. Long 1626.25 dVPOC/1st vwap on 1.25 pt pb off hi. We have a very poor hi in place with a triple top and over 80k traded at top 3 ticks so I was looking for a long and the last pullback didn't make it to the IBHI so I went aggressive here. Day has been very strong overall but rotational for the last few hours. LVN 2 ticks below might provide support. Stopped after 52 min and .5 MF...

2. Long 1623.75 dVAL/vwap on 3.75 pt pb. So I re-bot shortly after getting stopped. IBHI is 2 ticks above along with an LVN so I would have gotten long there had I not bot at vpoc. Scaled after 33 min and 1.25 MA as it stopped 1 tick short of B period low and reversed. Second scale given. And now it makes new hi's...




Recap
ES opened OAIR and chopped around a bit at the open before taking out pHi and never looking back before meeting resistance at 1.5 IBHI and then rotating. An afternoon dip was then bot and rallied back into the close. Value and vpoc once again moved higher. Price closed at the hi and above value. Volume was normal at about 1.4 mill. ES strong like bull.

I missed the first half hour or so but I don't think it matters as I don't think there was a trade (that I would have done). Once it became clear up was the way I tried getting long a few times but was not aggressive enough. I'm fine with the two trades I did take although the afternoon pullback went further then I expected. ES is now up 40 pts since non-farms on Friday and has made no attempt at filling the gap yet. Sure seems frothy up here and I would love to get on some sort of reversal in the next few days but who knows when or from where it will happen. Another scratch day...

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  #357 (permalink)
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Profiler View Post
problem for me is determining if something is a strong buy, which I am not good at. but i agree, this is something i will have to do.

Well, if 22 was good enough to buy today, why not 22.25? And if 24.25 was good enough to put your order in, why not 24.50? I know we can extend this and at some point it becomes unreasonable, but we're talking about 1 tick. You were already willing to buy relatively high. So why not 1 tick higher? The question is, "do I want to be long?" And the answer to that question should not be determined by 1 or 2 ticks. That's my point. I see today for example you were looking to buy the LVN, which you always are doing. But look at 24.50; it had held earlier quite a few times, and had almost as little volume as 24.25. If you really want to get in, 24.50 is cutting it close as it is. This is a pretty strong drive up, and you cannot be as picky about your prices. The fact that you can't get in is all the more evidence that you SHOULD be in, and 1 tick shouldn't matter. I know there are many different types of professional traders, but I would strongly bet that the VAST majority do not have the attitude of "oh well, it missed my fill by a tick, I'll just watch it go 30 ticks without me." If they want to be long, they will get long, if they see that there is a good chance they will not get a fill at the price they want. Not based on anything objective, but it's not rational to not get on a bus because it pulled 50 feet from the bus stop instead of all the way to the bus stop, and then sit doing nothing 2 miles from your destination where the bus is headed.

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  #358 (permalink)
British Columbia
 
Experience: Advanced
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Buses rarely exhibit liquidity vacuums..

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  #359 (permalink)
Rio de Janeiro, Brazil
 
Experience: Beginner
Platform: SC, S5T
Trading: Es
 
Posts: 617 since Jan 2013
Thanks: 321 given, 589 received

Economic data: claims

ON profile: Kind of a b-shaped profile last night. Yesterday's squeeze into the close continued after hours but sellers have since found their footing and ES is now back inside pRange and trading nears lows right around yesterdays vpoc. Only a 5.5 pt range so far and volume is light/average at 140k.



ES has just been rallying like crazy since non-farms and you can't help but feel this is getting extended. Overnight we have a peak above pHi that enticed responsive sellers to get involved and we now have a projected open near the globex low. Might we have our first red day in a week? I am anticipating an OAIR inside value open and will be looking towards the nvpoc at 1626.5/ LVN/VAH at 1627.5 as a potential resistance on the day. Acceptance above that targets pHi and above. To the downside is a thin area until a ledge at 1621 which is our mc vpoc for the week so that might be a decent bounce spot. If buyers can't hold there then we are looking down to the 1613 mc vpoc since the breakout.

Levels Above: 1626.5 nvpov, 1627.5 LVN, 1629.5 pHi

Levels Below: 1621 CHVN*, 1618.5 pLo, 1615 LVN, 1613 mc vpoc**

Hypo#1- ES opens OAIR and pushes lower down to 1621 CHVN to pick up buyers then grinds higher into the close.

Hypo#2- ES opens OAIR and is rejected from 1626.5/27.5 and sellers finally step in and grind lower all day.

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  #360 (permalink)
Legendary Market Wizard
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syxforex View Post
Buses rarely exhibit liquidity vacuums..

What's your point? That a bus does not "pull back"? I agree, but neither does a market when it has the notion to move. The spirit of my point is this: 1 tick should not make the difference in the entry price when going for 8, 9, 20, 30 ticks on a trade. The "wait for your entry at all costs" mentality is illogical, when considered in the context of risk/reward. Risking 1 or 2 more ticks on the entry when the plan is to capture significantly more, is like watching a market go 20 ticks in your favor, stop 1 tick shy of your target, and let it come all the way back to breakeven. It serves no purpose.

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