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

  #361 (permalink)
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5-9 trades and recap

1. Long 1628.5 as it appears to be rejecting yesterdays value area and 1 ticked the OSLO only after second attempt. It has only printed pHi very weakly as well and failed a tick short on second attempt which is a negative. Scratched after 6 min and 1.5 MF vs .75 MA as it took out pHi by 2 ticks and printed 756 at my entry but then re-treated so thinking possible failure above pHi. Will look to get short. Would have been stopped.

2. Long 1628.5 again...sellers just not gaining any traction in prior value area so I went long. Stopped after 13 min and 1.25 MF.

3. Short 1626.25 1st dVWAP/prior vpoc on 2.5 pt move off lows which looks poor with almost 4k printed there. Working on premise that 2 tick of pHi is todays final HOD and market to move lower end of yesterdays range. Scaled after 21 min and .5 MA. No second scale. Max winner 1.75 pts.

4. Long 1630 IBHI on 2.25 pt pb. It printed the 1529.5 pHi 389 times then popped up so I took the long. Overall trend is in my favor but what works against me is that it popped above the ONHI then came back below it. Stopped after 24 minutes and 1.0 MF.

5. Long 1621 CHVN on massive 10 pt move down. Stepped in front of a bus on this one. Instantly 4 ticks against me. Buyers sweeping book up now. Scale given after 2 min. Second scale given. Max winner 5.25 pts.

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Recap
Wild day today. ES opened OAIR above value and after some chop and 2 ticking pHi a sell off was in order. After bouncing from pVAL and making new hi's, responsive sellers stepped in and wacked it, really gaining momentum once it was re-accepted into pRange. New lows were made, a bounce, a sell off and then a last minute rip into the close to bring it back inside value. When all is said and done, VA has shifted overlapping higher. Vpoc is the same as yesterday. Price closed lower but inside value on above average volume. The daily candles are still one time framing higher. Bull market still in effect. However, today did leave behind a poor low and maybe that will be the path to a real sell off.

I think I was fishing for a trade with those first two longs at 1628.5. Third trade I was surprised that I only got 1 scale out of and the market went back up to new highs. I really wanted to get short up there but it didn't go hi enough for me to want to short it because we had such a small IB and only 8 pts of range up to that point. Was my long at the IBHI stupid? They tried to hold it a bit but whether that news mattered or not they sure slammed it after. The long at 1621 was sweet. I was hoping that the market had sold off to there early on in the morning and it was what I was targeting with my third trade. I have scratched every day this week so far...

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  #362 (permalink)
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5-10 pre-market

Economic data: bernanke speech

ON Profile: ES traded back and forth last night in a 7 pt range with the low being yVAL (on TPO chart) and the hi being 1631 which was also yesterdays globex hi. Profile shape is roughly balanced but with more volume having traded near the lower end of the range. Vpoc sitting at 1626.25 which has been the vpoc for the last 2 RTH days in a row so definitely value agreement there.

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Yesterday was a wild day and I am not sure what to make of it. Last night had a swift rejection from 1631 and a lot of lingering near the lower end of the range. Yesterday had two strong buying responses from the 1621 CHVN area but left a poor hi behind. Daily candles are still one time framing higher. We are set to open OAIR inside value near the most traded price since the NFP break higher, 1626.5 so I am thinking we are headed for a choppy open. Im not quite sure how to tackle this one except wait for clues from the globex low and see if it is accepted lower then 1620 pLo is the target and possibly lower to 1613 CHVN. If they find nothing below the ONLO then the other side of balance is pHi 1632.25. ANother wildly rotational day is possible. All time frames are still trending higher.

Levels Above: 1626.5 mc vpoc, 1627.5 LVN, 1632.25 pHi

Levels Below: 1621 CHVN, 1620 pLo*, 1617.5 HVN, 1613 CHVN**, 1608 pb low

Hypo#1- ES opens OAIR and chops, explores lower to take out pLo but finds willing buyers then grinds higher before closing in middle of range.

Hypo#2- ES opens OAIR and pushes higher but fails near 1627.5 and explores lower down to 1613 for a close on lows.

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  #363 (permalink)
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Yesterday had two strong buying responses from the 1621 CHVN area but left a poor hi behind. Daily candles are still one time framing higher.

Do you mean "poor low" here? I try not to get too hung up on this idea of poor highs and lows, but in the right context it is very powerful, and I agree with you that yesterday's low does not really qualify as an auction that has found the last seller and is unfinished. If the selloff was indeed news/rumor related regarding QE and it turns out that this was simply a non-event, the the market should have responded straight back up the way it did on the late April twitter crash. But instead, it retested the low, and so far for the last few hours we are trading under the day's VWAP. My guess is that this low will not stand, even if only by a tick. Also, the vwap since the gap up from last Friday is 1619, and the -1 SD lines up well with the 1613 you mention. Could be a good downside target. But as you mention, we are one-timeframing higher. 2 out of the last 16 days have breached the prior day's low, so from that angle, it is dangerous to get too excited about a short scenario, but today is the best chance for it this month IMO. Given that 26.25/26.50 are the control prices for the last 2 days, and also 26.25 is the control price overnight, this could be used to give a directional bias, and if it looks like sellers are in control based on that, the 20 and possibly 13 are great downside targets. Good luck and good trading today buddy.

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  #364 (permalink)
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5-10 trades and recap

1. Long 1628 on 1.25 pt pb after ES ran up to VAH and pulled back but printed the 1627.75 LVN very weakly. This trade does not make sense, going to try and scratch. Scratched after 2 min and .5 MF vs 1.25 MA. Reason I scratched is because ES has done nothing but rotate from yVAL to VAH and my stop is at 1626.5 which is the mc vpoc and a magnet. Would have been stopped.

2. Long 1622.5 but I dont know why...It was just below the dVAL at the time I entered my order awhile ago and had some other confluence but now I don't see it. Scratched after 2 min and .5 MA vs .5 MF. Would have been a loser.

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Recap
ES opened OAIR inside value and chopped around before making a move lower to pLo then grinding higher into the close. Vpoc once again at 1626 so in three days it has moved in a 2 tick range. Value actually was slightly overlapping lower today. Price however closed up and on the highs and outside value on average volume of about 1.4 mill. Daily candle is still one time framing higher but today was an inside day. Next week is chock full of economic data so perhaps it makes sense the market consolidated today awaiting further info.

Really frustrating day for me as I just couldn't figure out what the market was trying to do. I wanted another long around 1621 but I also wanted to see what was beneath 1620 first and they didn't give it to me. I was really looking hard at 1620.75 long as it seemed to be struggling down there but I didn't pull the trigger. How could it stop a tick short of yesterdays double bottom?!? Thats the market. I shut it down after missing that bounce because I didn't know what other trade to do and didn't want to risk a loser into the weekend. So 5 days of trading this week and 5 scratches its time to forget about the market for awhile...

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  #365 (permalink)
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Weekend Update with profiler

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ES closed the week at an all time closing hi and just a few handles off the all time hi. We have all time frames trending higher, additionally the daily candles are still one time framing higher. The chart above shows the action since the non-farms breakout and its pretty clear to see that buyers and sellers agree on 1626.5 as the fairest price. A break of 1621 would seem to have little in the way of resistance until 1613 HVN which in my opinion would represent a great buying opportunity as it has confluence with the VAL. After that the next line in the sand is 1608 and below that it gets slippery. To the upside, well I don't have much to say as its uncharted territory. Up is the way until its not.

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  #366 (permalink)
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5-13 pre-market

Economic data: retail sales, biz inventories

ON Profile: We have a very balanced looking profile so far that is centered in the lower portion of pRange. For the most part it has stayed within the pVA. Range is narrow at 5.5 pts and volume is light at 158k. Vpoc sitting at 1624.25.

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Retail sales has just come out and ES likes it and is now on hi's. We are set for an OAIR auction right around pVAH and within spitting distance of 1626.5 mc vpoc so I am expecting a choppy open. Despite the initial weakness to the overnight session, I think the bulls still have the ball today as the current ONHI looks weak. Im not really sure what to say about today except nothing seems to have changed so look to buy the VAL and sell the VAH initially. All time frames are trending higher. A break below 1620.25 ends the one time framing higher on the daily candles and is significant IMO and targets 1613. Anticipating rotational day.

Levels Above: 1630.5 pHi/mcVAH*, 1632.25 all time hi

Levels Below: 1626.5 mc vpoc, 1621 CHVN**, 1617 HVN, 1613 mcVAL/CHVN**

Hypo#1- ES opens OAIR above value and responsive sellers push down to 1621 area again and fail, buyers grind into close.

Hypo#2- ES opens OAIR above value and buyers fail at ONHI and sellers push lower all day to 1613.

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  #367 (permalink)
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1. Sold 1629.25 2nd vwap on 2.5 pt move after naked close was tagged weakly. 1629.5 HVN from friday very prominent so possible reaction off it. Very rotational day so far. Scaled after 23 min and .5 MA. Filled in top 249 in queue after joining with over 1500 displayed (what a joke!). Second scale given with stop at original. Max winner 2.5 pts.

2. Sold 1630 after pHi tagged and decent selling response ensued after 4 pt move up. 2nd vwap at hi tick as well for possible resistance. Stopped after 9 min and .25 MF.

3. Long 1630 MP intraday single on 2.75 pt pb. Potential contextual problem here as ES made new all time hi's then back into pRange. This trade is near identical to trade I did on Thursday (which didnt work). Stopped after 22 min and 0 MF.

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Recap
ES opened OAIR right at the top of value from friday and made a move lower down to pVAL and grinded higher to new all time highs before stalling at 1.5X IB and rotating the rest of the day in the upper half of the profile. Value pushed completely higher and for the first time in 3 days we have a vpoc without 1626 as the handle. Price closed basically unch on very weak volume of about 1.0 mill.

5 day scratch streak is snapped. Once again a couple good trades passed me by because I don't know when to pay up. I didn't see a whole lot of opportunity today, maybe others did but if you missed the boat on the morning long there were only a few scraps left.

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  #368 (permalink)
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5-14 pre-market

Economic data: import/export

ON Profile: 8 pt range, double distribution profile so far on 200k volume. Yesterday's all time hi has been exceeded by a point. The low is the mc vpoc at 1626.5 to the tick. Vpoc is sitting at 1628 but I suspect it will shift up to 1632.25 before the open.

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ES has rotated in a ~12 range for 4 days now and building up some good energy for a move away. I dont know if today will be the break but with each passing day of balance the likelihood increases. We have a potential OAOR on tap but most likely I think it will be OAIR inside value. The ON profile has a distinct LVN at 1629.5 confluent with yVPOC at 1629 so I think that could possibly serve as a launch pad for a break higher today. Yesterday's low was right at the previous VAL and if they do the same thing today that would be 1627.75 so within stopping distance for a 1629 long. We will see. People say an all time hi made in ON session doesn't hold so if thats true all the more reason to look long today. All time frames are trending higher. The daily candles are still one time framing higher and a dip below 1623.25 will break that. If that happens, what does that mean? Will late longs start heading for the exit? Not sure, will be interesting to see.

Levels Above: 1633.25 all time hi

Levels Below: 1629 nvpoc, 1623.25 pLo**, 1621 CHVN*, 1613 CHVN/ mc VAL***

Hypo#1- ES opens OAIR inside value and sells off to 1429/7 area to pick up buyers who then auction it aggressively higher thru the day.

Hypo#2- ES opens OAIR and pushes higher thru ONHI and fails inviting aggresive sellers to step in and wack it.

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  #369 (permalink)
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5-14 trades and recap

1. Sold 1634.25 ONHI/2nd vwap. Possible open drive. Stopped after 2 min. Yep OD.

2. Long 1636 vpoc on 1 pt pb. Really wanted to wait for vwap at 1635 but this market seems so strong. Scaled after 2 min and .25 MA. Second scale given. Max winner 12.75 pts.

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Recap
ES opened OD right at the top of pVAH and never looked back until the 1.5 IB was hit and it rotated for a few hours before rallying into the close and making new highs again. Strong, clean break above balance. Vpoc and value shifted much higher. Price closed near the hi and above value with heavy volume at around 1.7 mill. Overall very strong day and still no sellers to be found.

I probably should not have taken that first trade given the OD above all time hi's after 4 days of balance. Funny how as strong as all the contextual clues the market was giving off, I'm looking at the DOM and saying "this doesn't look that strong, is this a real OD?". Maybe I shouldn't even watch the DOM anymore and just look at the chart? Second trade was great and with multiple lots on could really have produced some big runners. Rest of the day was just a whole lot of frustration. So I made no money today but I think there were some positives. I got on the trend after the first loss. I didnt fade all the way up and the level I chose to fade was a good one but I didn't get filled. My pre-market analysis indicated I could tell a big move was coming. Focus on the positive, learn from the negatives...

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  #370 (permalink)
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5-15 pre-market


Economic data: PPI, empire, housing

ON Profile: Very balanced profile last night and tight 4.5 pt range on average volume of 186k. The hi stopped a tick short of pHi and the low is just a few ticks below yesterdays vpoc. ON vpoc in the middle at 1646.75.

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Yesterday we had a clean, strong breakout from a 4 day balance area. You would think after a strong trend day the market would rest and be rotational but just to keep minds open I am reminded of september 13th which was a strong trend day up after 4 days of balance that was followed up by another open drive higher. The market eventually stalled that day and closed flat but the explosion out of the gate caught many off guard. So the ON session held on to all of the gains and held above yesterdays vpoc so bulls are still in control. I anticipate an OAIR inside value and think sellers will make the first push lower but it will be weak and then bulls step in and grind it higher thru the day until some late day profit taking. If somehow the bears are able to sink their teeth into the market today, I think they will have difficulty around the 1640 level and then I really expect a strong bounce from the 1633 pBAH level on first touch. If that level fails then we have a potentially significant breakout failure. Economic data out today could be important but i don't think so. All timeframes are incredibly bullish.


Levels Above: 1648.75 pHi

Levels Below: 1644.75 nvpoc, 1640.75 LVN*, 1638.5 MP single, 1633.25 pBAH***, 1629 nvpoc, 1626.5 mv cpoc***

Hypo#1- ES opens OAIR inside value and pushes lower to 1640 area to pick up buyers that grind it higher thru the day until profit taking at the close.

Hypo#2- ES opens OAIR and pushes higher but fails above pHi then rotates to other side of balance at 1640 to pick up buyers.

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