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

  #391 (permalink)
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5-22 trades and recap

1. Sold 1671.25 pVAH/ONHI on 3.25 pt move after an OAIR open. I am wrong at pHi which is fine. I do not like how market found support at the 1668.25 ledge from yesterdays MP profile. Scratched after 4 min and .5 MA because of no confidence in myself. Would have been loser.

2. Sold 1682.25 on 5.5 pt move up after what looked like finally a selling response. Took 1 tick winner after 3 min and 0 MA vs 6 MF because it just ripped up in my face back to entry after not giving exit fill. Also would have been a loser.

3. Long 1677.25 vwap on crazy move down, this is a nasty selling response, stepping in front of a bus. Scratched after 2 min and 1.25 MA vs .75 MF. Would have been loser.

4. Sold 1677.25 vwap after 5.25 pt move up. Man, crazy market, not sure if this will hold since it just bounced off pHi. Scaled +8 after 2 min and .75 MA. Second scale given.

5. Sold 1681 HVN on 4 pt move. This is also above dVAH. Vpoc below at 1677.25. Scaled for 8 tick winner after 5 min and .75 MA. Second scale given.

6. Sold 1668 IBLO on 5 pt move up right after fomc was announced and it looked like nobody wanted to buy above it. Scaled after 1 min and .5 MA. Second scale given.

7. Long 1655.5 CHVN on 3.75 pt move. Really expecting bounce here off this support. Scaled after 1 min and .25 MA. Second scale given.

8. Long 1650 CLVN/ 2X IB low. Stopped after 3 min and .75 MF. Should have waited for my 1648-46.5 zone...

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Recap
ES opened OAIR right at that ledge from yesterday and moved higher, aggressively after the bernanke started speaking only to put in a massive reversal and get slammed. Oddly enough we end up with higher value and vpoc but I am guessing we ignore that on a day like today? Price closed significantly lower on massive volume of about 2.7 mill. The daily candle gives us an outside reversal down day. This is a day to take notice. Will the market brush it off? We shall see.

Today started off real shaky for me as a I scratched my first 3 trades and they would have all been losers but then ran off 4 winners in a row. The last trade would have been icing on the cake and I should have followed my morning levels of 1648-46.5 but the 1650 seemed so sexy with the double IB and CLVN. Whatever, still my best day ever. When the HFTs turn off their algo's it sure seems like the market trades better or more pure to auction logic and today offered up multiple good set ups of which I didn't even take half because admittedly I wanted to preserve a nice winning day.

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  #392 (permalink)
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Looks like you had a good day, nice job!

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  #393 (permalink)
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5-23 pre-market


Economic data: claims, home sales

ON Profile: Yesterdays sell off continued in globex. We have a massive 26.25 pt range and very heavy volume of over 500k. Support was found at the 1633 breakout area and resistance was the 1657.75 CHVN or the 1659 VAL from yesterday. Vpoc sitting at 1637.5 and profile shape is like a "b" so for now it seems buyers were found.

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Might help to zoom out a bit after a big day like yesterday and see what we are working with.

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Really a lot of ground covered since yesterday morning about an hour into the day, over 50 pts top to bottom! We never got a vpoc shift at the end of the day yesterday and I mused about it in my recap as to the meaning of it and it seems the reason was peoples perception of value changed greatly and it was searching for value... and it searched all the way down to 1633 so far. It would seem a test of the 1626 mc vpoc is likely but whether thats today or next week is unknown.

We are looking at an OAOR with a massive gap down. Dalton says go with the gap. 1646.5/48 has capped downside on 2 days in the last week so that might be a tempting spot to short. If ES can break into pRange then 1656 becomes the destination and possibly higher. Between 1633 and 1643 is pretty murky however as it is very thin. The ON vpoc at 1637.5 might act as support on first test lower. If it can get below 1633 then 1626 is the destination. I think the ideal situation would be responsive buying on the open, and hopefully up to 1646 area to initiate shorts and then a trip down to 1626.

Levels Above: 1646.5 pLo**, 1657 HVN, 1660 LVN*, 1664.5 CHVN

Levels Below: 1632.75 ONLO/breakout level *, 1629 nvpoc, 1626 mc vpoc***, 1621 CHVN, 1613 CHVN**

Hypo#1- ES opens OAOR and responsive buyers push to 1646 pLo where aggressive sellers come in and auction it down to 1633/1626.

Hypo#2- ES opens OAOR and sellers push lower but fail around 1637.5 ON vpoc and buyers grind it higher thru the day up to 1657.

Hypo#3- ES opens OD lower, go with!

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  #394 (permalink)
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5-23 trades and recap

1. Long 1636.75 after open OAOR and push below OSLO only went 1 tick. We also opened right near the 1st vwap to downside. Scaled after 1 min and 0 MA. Second scale given.

2. Long 1636.25 1st vwap as it appeared on footprint there was buying absorption and vpoc is above at 1639.25 and we are balancing. Scratched after 7 minutes due to the housing number. Would have been a loser.

3. Sold 1646 after pLo printed weakly twice. Instantly swept 5 ticks against me. Stopped after 4 min and .25 MF.

4. Long 1646.5 pLo/ 1st vwap on 5.25 pt move. Lots of acceptance in pRange but we have a nice looking hi in place and maybe the move up has already been made. Still thinking ultimate destination for today is 1656 though. LVN below 1665.25 might provide support. Scaled after 13 min and .25 MA. Second scale given.

5. Long 1643 mid/vwap (ETH) on 3.5 pt move down. So we are back in the IB and in a downtrend since the hi and therefore not sure if this trade makes sense but I still think there is more upside left in the day up to 1656. Scaled after 2 min and 0 MA. Second scale given.

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Recap
ES opened OAOR and chopped a bit before the number and then staked a path higher towards the 1656 CHVN but didn't quite make it there. We end up with value and vpoc some 30 pts lower than yesterday. Price closed down but inside yesterdays range on very high volume once again of about 2.2 mill. For now, the breakout area of 1633 has been strongly rejected. I think next target is up to 1656 and then a decision will be made as to whether that is too expensive.

Lots of trades offered up again today, I wish I had earned the right to be trading multiple lots as these last 2 days have really offered up big potential winners. First trade today for me was a new type of trade that I lifted out of PB's playbook and it worked. A market with a big gap down that formed a balance session overnight and opened right at the -1 vwap with an eye towards back to vpoc and thats where it went to the tick. I am wondering if that short I took at pLo was a sucker play given the context. Do you only want to make a trade like that if it moves there right away before exploring and rejecting lower prices? Have to file that one and see how it plays out again. There were other trades I wanted to take but I still struggle with confidence. Two good days in row, at least pnl wise, so hopefully this continues. Funny how on good days I feel like I am getting this figured out and bad days I feel like I suck, ha.

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  #395 (permalink)
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Nice job P. Especially nice how you shorted and lost, and then had the objectivity to then buy soon after for a winner. It may seem small, but that takes seeing what's happening, instead of seeing what you wanted the last trade to be, and is the mark of a real winner. Kudos and congrats.

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  #396 (permalink)
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5-24 pre-market

Economic data: durable goods

ON Profile: Another wide ranging globex session gives us 16.5 pts of range. ES initially explored higher and took out pHi by a point but then sellers came in and knocked it down to yesterdays high volume area around 1639. Profile shape is kind of double distribution like with vpoc still up at 1651.25 but possibly shifting to 1642 before open. Volume is good at 267k but not nearly as high as yesterdays 500k.

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Yesterdays session filled in the upper part of the low volume area between 1633 and 1643. For now, 1633 is deemed as too cheap. Further, the 1646.5-48 area filled out with 1648 being the most favored price on the day. Monday is a holiday so it might go dead around lunch time into the close. We are set to open inside yesterdays range and value area so it could be choppy off the bat. I think todays key level will be the ONLO. If there is more business to be done below that then I think 1633 is in the cards but if its rejected then I still want to target that 1656.25 CHVN. Longer time frames are incredibly bullish. Daily time frame is balancing.

Levels Above: 1648 nvpoc, 1656.25 CHVN**, 1660 CLVN, 1664.5 CHVN**

Levels Below: 1638.75 ONLO*, 1632.75 BO level, 1629 nvpoc, 1626.5 CHVN***, 1620 CHVN, 1613.5 CHVN**

Hypo#1- ES opens OAIR inside/at VAL and sellers push to ONLO where they fail then auctions higher thru the day to 1656.

Hypo#2- ES opens OAIR and responsive buyers push to nvpoc 1648 where sellers enter and push lower thru the day to 1633.

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  #397 (permalink)
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5-24 trades and recap

1. Long 1639 -1 vwap after opening below and coming back into vwap value and leaving poor-ish high behind at 1642. Scaled after 30 seconds and .25 MA. No second scale.

2. Long 1641 eth vwap on 3 pt pullback from a poor looking triple top hi. This is second pb to eth vwap though and my stop is at 39 where vpoc is so not great context with respect to that but it is trending higher. Scratched after 4 min and .25 MF vs 1.0 MA. Just felt like I was paying up too much to get long. Would have been a winner.

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Recap
ES opened OAIR below value and chopped a bit before making a move lower to pLo but failing and then grinding higher the rest of the day. Vpoc and value shifted overlapping lower. Price closed on the hi and above value on good volume once again but significantly lighter than the previous 2 days at about 1.6 mill. The 1633 area is still seen as too cheap but this makes for a double bottom now.

Not happy with my trading today, or lack there of. There was some good opportunity, basically any long taken on a 3pt or greater pullback would have worked. Time to relax and get ready for the heat-pacers game tonight...

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  #398 (permalink)
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Holiday update with profiler

Hope everyone is enjoying the holiday, its a bit different being in a foreign country on days like these. My grandpa served in WW2 as part of the merchant marines in the south pacific and I tip my hat to him and everyone else who served anywhere/ anytime. Lets go to the charts...

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The chart shows how last week changed the composite. Most obvious is the range extension upwards and subsequent rejection. However, also very noticeable is the filling in of the breakout area from 1633 to 1640 and the sharpening of the LVN at 1633. Market tested the 1634 level twice now and buyers found it too cheap. On a possible test of 1633 this week, will the market bounce or go through? Tough question... I will play for the bounce first time but I am not as confident about buying 1633 as I was last week (and which I did not get filled obviously...). 1626.5 is currently the mc vpoc but 1656 is not too far behind and I suspect one days of trading around there will shift the vpoc up.

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Bigger picture since the beginning of the year puts things into perspective. The 1546.5 mc vpoc is just gigantic compares to our 1626.5 and any meaningful pullback would have that as a destination. Long and medium term time frames are wildly bullish still while the daily time frame is balancing.

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  #399 (permalink)
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MP single


Profiler View Post

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.



Profiler,

Could you please help me understand what MP single print means ?
I kind of understand the MP meaning i.e. one letter print , for example 'A' - price shot up from the open and never revisited the area again, but in VP?

Much appreciated,

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  #400 (permalink)
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para6ut View Post

Profiler,

Could you please help me understand what MP single print means ?
I kind of understand the MP meaning i.e. one letter print , for example 'A' - price shot up from the open and never revisited the area again, but in VP?

Much appreciated,

Good question. I will refer you here for the definition of a single print. As it relates to volume profile is a very interesting question though and it made me think about how to refine it possibly. In the chart I attached, you will see the latest single print that was left behind and it occurred on this last wednesday. You will see that on the volume profile chart that nothing really sticks out. However, often times it seems as there will be confluence between the two as an LVN will be left behind. See the bottom chart for that.

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Why is an MP single print important? Well, it is an area where something happened. Something changed or a new participant entered the market and took price away from where it was and was strong enough to never let it revisit that price the rest of the day. So if the market does come back to that price another day it might be reasonable to expect that same participant to enter again and move it away. I can tell you that since I have started keeping a detailed log of my MP single print trades, they are more than 70% successful. My stat computer is currently down so I cant give you the exact % and I will say my sample size is small as well but these things really seem to matter. Hope this helps.


Last edited by Profiler; May 27th, 2013 at 06:17 PM.
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