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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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  #381 (permalink)
london united kingdom
 
Experience: None
Platform: Sierra Chart, S5T
Trading: ES
 
para6ut's Avatar
 
Posts: 58 since Jun 2012
Thanks: 1,226 given, 90 received

Profiler,

Great thread, really like your style and trading, and how well structured everything is, I wish I can be so consistent

Please forgive me if you have already mentioned this - have you thought about/ tried / tested some method of confirmation of reversals? For example - footprint, delta, ' trade stalking' or say volume histogram on a time based chart? Or you prefer PA type of analysis ? Did you see Peter Davies webinar on the subject, and if you did - do you think it is just information overload?

I quite liked FT71's ES rotation stats, I see you do too - do you think this is enough by itself?

And finally - how does sierra compare to i-rt in your opinion?

Thanks and all best,

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  #382 (permalink)
Rio de Janeiro, Brazil
 
Experience: Beginner
Platform: SC, S5T
Trading: Es
 
Posts: 617 since Jan 2013
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1. Short 1665.5 pHi on 3.25 pt move up. I missed the short here on the first time up and then got filled in first 41 contracts on second time up. Doubting whether I should have taken this trade as the OSLO was only taken out by a tick and I am only really leaning on the fact that pHi was taken out by 1 tick. Scratched after 10 min and 1.25 MA vs .75 MF. Would have been loser.

2. Long 1667.5 after no fill on 1666.5 mid/vwap. Christ, filled on 1666.5 now. Stopped on original long. Stopped on second long. Unbelievable... so I made a mistake and got double filled but I think a long was still valid.

3. Sold 1662.25 IBLO on 1.25 pt pb. Oh man, 3 ticks against me instantly. Why did I do this trade? Well I really thought 1659.75 would trade today and instead of being a responsive buyer I thought I would take a trade into it and cover there. I want to scratch this trade now. Stopped after 15 min and 0 MF. What a horrible trade. I am my own worst enemy...these are the types of trades I need to eliminate.




Recap
ES opened in the upper balance area from friday and put in a rotational neutral day. Value and vpoc once again shifted higher. Price closed about unch and inside value and below pHi on average volume of about 1.4 mill. The daily candle gives us a doji. Maybe, just maybe could this doji mark a short term top? I sure don't want to bet against this market based on a doji candle but time will tell.

What a crappy day for me. I missed the first short by 40 contracts that would have given a decent little winner then get filled on second time up which would have been a loser had they not been nice enough to give me a scratch. The second trade where I decided to pay up after not getting filled then 2 seconds later get filled on my original and stopped on first fill...that sucked. I thought that area would be good for a long but it seems I stepped into a trap or I was just plain wrong. There was so much confluence up there with IBHI, LVN, vwap, mid and good acceptance above with a poor-ish hi. Third trade just completely horrible. Here's a question: where was the first legit long of the day and why?

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



para6ut View Post
Profiler,

Great thread, really like your style and trading, and how well structured everything is, I wish I can be so consistent

Please forgive me if you have already mentioned this - have you thought about/ tried / tested some method of confirmation of reversals? For example - footprint, delta, ' trade stalking' or say volume histogram on a time based chart? Or you prefer PA type of analysis ? Did you see Peter Davies webinar on the subject, and if you did - do you think it is just information overload?

I quite liked FT71's ES rotation stats, I see you do too - do you think this is enough by itself?

And finally - how does sierra compare to i-rt in your opinion?

Thanks and all best,

Thanks for the kind words about my blog, feel free to post questions or comments any time!

No I haven't looked into or tried testing reversal confirmations nor have I seen the webinar by peter davies.

About rotations, they are definitely NOT enough by itself. (In fact I am beginning to question whether they matter at all to be honest.) By that I mean it seems context is king. If you have a firm grasp of it and are looking to put on a trade, then having a big rotation to lay into is nice confluence. But if you have a level listed on your chart that you dont really know why is a level and you have a 6 pt move into that level without considering where the move came from and all sorts of other questions that you dont know the answers to, then over the long haul it's not going to be a winning strategy.

I am really liking sierra now after struggling at first. IRT has a lot of bells and whistles but none of that is going to turn you into a winning trader, IMO. SC gives ME everything I need (plus the footprint which IRT does not have) and at 30% the cost so its a no-brainer for ME. Some people prolly dont care about paying an extra 50 a month and getting some extra functionality. Its up to you but if you are asking me if I recommend it I most certainly do!

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  #384 (permalink)
Rio de Janeiro, Brazil
 
Experience: Beginner
Platform: SC, S5T
Trading: Es
 
Posts: 617 since Jan 2013
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indextrader7 View Post
I'm seeing nice improvements man. Keep up the great work!

thanks man! i wish my pnl reflected that progress!

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  #385 (permalink)
Market Wizard
Quebec
 
Experience: Intermediate
Platform: NinjaTrader wt Rancho Dinero's profiling tools
Broker: AMP/CQG
Trading: ES, NQ, YM
 
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Profiler View Post
...Here's a question: where was the first legit long of the day and why?

I would say, the most conservative long entry was at the daily RTH open at 1662.75. I always make the one minute opening range very prominent on my chart as it is an area which does not demand any research and is quite obvious to identify every day. The day is always judged by how far price went from it. In most of your charts, i never see this area clearly identified. After the open, price made a higher high (1666.00) and pulled back to the one minute opening range area (1662.50-1663.25. The strength of the push that created that swing high (1666.00) was stong enough to expect a pullback to an obvious area which coincided with the opening print and a past high volume zone created Sunday night (1662.50).

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  #386 (permalink)
Rio de Janeiro, Brazil
 
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Posts: 617 since Jan 2013
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trendisyourfriend View Post
I would say, the most conservative long entry was at the daily RTH open at 1662.75. I always make the one minute opening range very prominent on my chart as it is an area which does not demand any research and is quite obvious to identify every day. The day is always judged by how far price went from it. In most of your charts, i never see this area clearly identified. After the open, price made a higher high (1666.00) and pulled back to the one minute opening range area (1662.50-1663.25. The strength of the push that created that swing high (1666.00) was stong enough to expect a pullback to an obvious area which coincided with the opening print and a past high volume zone created Sunday night (1662.50).

i always take note of the opening swing (i use a more subjective approach to it than 1 minute though) but i erase the lines before posting to keep the charts clean. im not sure i follow why that was the place for a long though, could you explain it better? are you suggesting to buy it on first touch down or did you wait for the OSLO to be 1 ticked only and then get in on the upswing?

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  #387 (permalink)
Legendary Market Wizard
Georgia, US
 
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Trading: ES, HSI, Nikkei
 
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Profiler View Post
Here's a question: where was the first legit long of the day and why?



The overnight market is balanced most of the session, then around 8:00 drops down and then back up, continuing into the open. At this point the structure has shifted a bit from balance to a long bias. However, the volume off the 1-tick of Friday's high was expanding so I got short at 64.50. I was wanting it to drop, but at the VWAP and overnight VPOC sellers just did not push hard enough. Buyers ate it up. Here's your long if you were looking long. Since I was short, I gave it another try but gave up on it and reversed to long. I added when 65 continued to hold. I got flat somewhere in the 69s.

The "why," if it's not clear is, VWAP after a move from -2SD to +2SD in less than an hour, and failure to break below the open and below the overnight VPOC. Also, TICK was creeping up after 62.50 was first touched, and the tick down to 62.25 just didn't bring in much volume. Though I was short and wanted lower, it was clear when the 62.50 held that we were probably going higher.

I also bought 67s and took a loss when it slammed down. The thing about that is, note that when 66.75 gave way, it blew right through the VPOC and the VWAP, and note the lack of volume until it got below that point. To me that says that buyers are not interested in these prices and demand lower. At that point you have to consider that maybe they will try to take out the LOD and also test the -2SD of VWAP. So, I got short, scaled, added, and wiggled around a bit more into the close, which you had to figure was probably going to be around the VPOC/VWAP given the time of day and relative balance. When you shorted at the end of the day, the market had already had several pushes and tried its best, but it just wasn't deep enough and couldn't "stick" -- each time buyers bought it back up before value could be established, so it showed that there wasn't enough selling interest to keep it down and build value. I added short at the VPOC/VWAP at 65s, and it held nicely, but there just was nothing doing really, though short was my direction of choice into the close.

A bit of a tough day to trade because we really had one good move up, and one good move down, but jumping on either one of those provided some good opportunities.

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

Economic data: none

ON Profile: Pretty balanced looking profile with a poor-ish hi and lo. Tight range of 4.75 pts on light volume of 163k. The hi is right where the ES kept getting rejected yesterday afternoon confluent with fridays hi and yesterdays vpoc. The low is a tick above yesterdays low. So no new information to process and market awaits the bernanke tomorrow. Vpoc sitting at 1663, just 2 ticks above where it was 2 nights ago.



We are looking at an OAIR inside value right around yesterdays vpoc. There is a distinct LVN at 1666.75 confluent with yVAH which might serve as a nice location for a short right off the bat but given expected choppy open might be best to wait it out. I think we have another rotational day on tap. All time frames are positive.

Levels Above: 1666.75 LVN/VAH, 1670.75 pHi

Levels Below: 1659.75 MP single/VAH, 1656 nvpoc, 1648 HVN, 1640 ledge, 1638.5 MP single

Hypo#1- ES opens OAIR inside value and chops, pushes lower to 1659.75 then grinds higher into the close.

Hypo#2- ES opens OAIR and chops, grinds up to pHi but fails then sells off to 1663.

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  #389 (permalink)
Rio de Janeiro, Brazil
 
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Platform: SC, S5T
Trading: Es
 
Posts: 617 since Jan 2013
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1. Sold 1666.75 LVN/pVAH on 1.75 pt move. Instantly 6 ticks against me. Stopped after 3 min and 0 MF. Took a shot.

2. Long 1663.5 after 1662.5 pVAL traded and strong buying response. Stopped after 1 min and .5 MF.

3. Long 1662 dVAL. The low looks good from a known spot and we have a nice ledge above at 1663 that has been bumped up against 3 times now so I took the long. Negatives are that developing value on the day is lower. Scaled after 1 min and 0 MA. They threw me a bone! Second scale given.

4. Short 1665.25 mid/vwap/LVN on 3 pt move. Stopped after 2 min and .5 MF.




Recap
ES opened OAIR and put in a very rotational day today. End result is higher vpoc and value once again. Price finishes incrementally higher and inside value on average volume of about 1.4 mill. Of note is that the daily candle one time framing higher ended today and to my surprise there were no sellers to be found and anyone who did initiate shorts ended up finding themselves squeezed shortly thereafter. ES still strong like bull.

I can't say that I am really disappointed with my trades today aside from the last one. First one maybe was stupid because it had just printed that area prior to open and got a nice reaction off of it so maybe asking for another one was pushing it. Second trade I was early on a long. Third trade was great and I wish I had traded with that bias longer instead of taking that mid trade. The mid had some things working for it but overall I don't think it was good because there was a decent ledge that had formed around 1664.5 and we had a nice low that formed from a known location. Really annoyed the market couldn't go one more tick lower btw...

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  #390 (permalink)
Rio de Janeiro, Brazil
 
Experience: Beginner
Platform: SC, S5T
Trading: Es
 
Posts: 617 since Jan 2013
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Economic data: home sales, the bernanke, FOMC

ON Profile: Kind of a balanced profile overnight as ES traded in a 6 pt range on light volume of 140k. The low is the 1664.75 LVN to the tick and hi is mondays hi to the tick. Vpoc sitting at 1668, same as yesterdays rth session.



I am actually surprised ES traded in as wide a range as it did ahead of the bernanke. Given how little progress was made below yesterdays settlement and that we are now trading above yesterdays vpoc, it seems the bulls are in control and almost as if they might just be waiting for fomc to come out and rip this higher again. Yesterdays profile (MP) looks pretty fugly so maybe we chop around for the first few hours ahead of the FOMC and repair it then blast off. I anticipate an OAIR inside value with a 3-4 handle range until FOMC and then a potential big move, favoring higher. Maybe the bernanke's speech will cause some movement itself though but for now I will assume it wont. All time frames trending higher.

Levels Above: 1673.25 pHi

Levels Below: 1668 vpoc, 1664.75 ONLO/LVN, 1659.75 MP single/CLVN**, 1656 CHVN*, 1648-46.5 CHVN

Hypo#1- ES opens OAIR and chops for 3-4 hours then ignites higher after FOMC.

Hypo#2- ES opens OAIR and chops then sells off down to 1656 where it bounces.

Hypo#3- ES opens OAIR and and chops then sells off agressively after the fomc down to 1640 potentially.

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