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

  #421 (permalink)
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6-7 pre-market

Economic data: nfp

ON Profile: NFP is out and ES is up about 8 pts from the close. Range is 15.25 pts and volume is very heavy at 428k so far. We have a potential double distribution forming and vpoc is still in the lower one at 1622.

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ES is set to open OAOR with a gap higher on the news. A ~1630 open places us near the upper end of the balance area centered around 1626 CHVN with extremes at 1635 and 1618 and given the bullish bias it will be interesting to see how much higher bulls can push it or if it gets rejected back to 1626 and possibly lower. I will look to fade 1635 area but if it is accepted then will try long up to 1624/45/47 area and possible higher. If 1618 cant hold then I look for a move back to 1613 CHVN and 1608 nvpoc.

Levels Above: 1635.75 LVN 6-5**, 1642.75 nvpoc, 1645.5 breakdown area, 1647.75 CHVN**, 1651 nvpoc*

Levels Below: 1626 CHVN, 1618 HVN, 1613 CHVN/1611.5HVN**, 1608 nvpoc*, 1605.25 LVN/dbl btm

Hypo#1- ES opens OAOR and pushes higher but fails at 1635.75 and sellers auction lower down to 1618 and possibly lower before buyers step in.

Hypo#2- ES opens OAOR and responsive sellers make first push but stall around 1626/1621 where bulls auction up to 1635 and possibly higher.

Hypo#3- ES opens OD higher.

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  #422 (permalink)
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6-7 trades and recap

1. Sold 1631.5 1st vwap/ dVAH after opening out of balance then coming back into value and bouncing. Stop at HOD. Stopped after 1 min and 0 MF. Dang.

2. Long 1637 dVPOC on 1.25 pt pb. Market strong like bull and counting on LVN at 1635.75 to hold. Had to plug my nose on this buy. 13 pt IB which is wide so maybe not a whole lot of RE today. Scaled after 1 min and 0 MA. Second scale given.

3. Sold 1638.5 (2 ticks below IBHI) as it seems to be unable to gain any traction above IB. Tight 6 tick stop 2 ticks above HOD with target below 1635. Scratched after 3 min because the hi looks so poor. Would have been loser.

4. Sold 1638.25 vpoc after market re-entered IB on good selling response after almost tagging 1642.75 nvpoc. Big ledge below at 16367 I am hoping fails. I am wrong above IBHI/last swing hi of 1640. Scaled after 55 min and 1.5 MA. Second scale given after about 3 hours.

5. Long 1633.25 ONHI/mid/dVAL/eth vwap/OPEN on 3.25 pt move down. Very pronounced vpoc above at 1637.5 and some general confluence around this level so I decided to take the long here. Small ledge below at 1632 that might offer further support. Scratched after 4 min and 1.5 MA, I think I can buy this back a bit lower and get a little extra wiggle room.

6. Long 1632.75 for reasons above. Scaled after 5 min and .5 MA. Second scale given. Rotation back to vpoc super fast. Eventual new highs made- max theo winner 11 pts!

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Recap
ES opened OAOR with a gap higher on non farms report. The gap fill failed just before final target before bulls auctioned it higher and built value around 1638. Value and vpoc shifted completely higher. Price closed higher and inside value on heavy volume of about 1.8 mill. Profile shape ended up being p-shaped with a very prominent vpoc at 1637.5. Additionally, price has rallied some 45 handles since yesterday morning's low which is pretty significant and we are now in the balance area defined by the 1647.75 CHVN with 1652.75 LVN being upper edge and 1633.5 being lower end. So the sellers who entered on Wednesday at 1629 aggressively were not present today. The next area where sellers entered aggressively was 1645.75 but that was a second test so I don't think it will hold again. Perhaps 1647.75 0r 1656 will bring out the sellers again.

I escaped today with a positive pnl. Had I known 1626 CHVN rejection would still be contextually significant I would not have taken the first trade and in fact probably would have been long at 1626 on the nose but I didn't and probably should have. Mental error and I paid the price. Second trade worked but I give myself a D for execution because I pulled my 1636.25 bid at last second which would have been a better entry counting on the 1635.75 LVN to hold but I pussed out. It sucks the market didnt give me the 1642.75 nvpoc fill, that would have been a sick trade, oh well. I could have entered lower after no fill but I struggle at that... The last trade I did was awesome and I notice awais on twitter did the same one which makes me feel good when I am doing the same trades as other good traders are doing. I end the week positive both today and overall and thats good. Looking forward to a good weekend out of town then back at it monday morning!

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  #423 (permalink)
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6-10 pre-market


Economic data: none

ON Profile: We have a p-shaped profile that has extended above pHi by a few points. 12.25 pts of range on average volume of about 200k so far. Vpoc is at 1645, a pt above pHi. The low coincides with pVAL and the hi is right around the 1645.75 breakdown pt from last week as well as just below the 1647.75 CHVN.

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ES popped above pHi but has since re-treated back into pRange. ES is set to open OAIR inside/around VAH. With no data on the table today I think we have a rotational day on tap that explores the boundaries of the current balance area we are in, bounded by 1652.75 CLVN to the upside and 1634 to the downside. Friday's p-shaped profile had a very prominent vpoc which i anticipate will be re-visited today and potentially offer up support for the initial exploration higher. If that does not hold, the combined profiles from thursday and friday are quite thin down to 1611.5. The composite does offer support around 1629/26 and 1613 though. Longer term time frames remain extremely bullish while the daily time frame is balancing.

Levels Above: 1647.75 CHVN*, 1651 nvpoc**, 1652.75 CLVN**, 1656 CHVN, 1661.5 MP single/LVN**

Levels Below: 1637.5 nvpoc*, 1632 afternoon low/composite ledge, 1629 CHVN, 1626 CHVN/pLo**

Hypo#1- ES opens OAIR inside value and pushes lower to 1637.5 nvpoc and bounces up to 1647.75 and is rejected then sells off down to 1626.

Hypo#2- ES opens OAIR and sells off to 1632 to pick up buyers then grinds higher thru the day up tp 1647.75/1651.

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  #424 (permalink)
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6-10 trades and recap

1. Sold 1647 right on open after looks like immediate rejection of 1647.75 CHVN. Scratched immediately, some crazy fills going on, will re-add higher if I can. Would have been winner but had to take 6 ticks heat.

2. Sold 1647.75 after 1648.5 traded. Really looking for responsive sellers off open here back to 1637.5 nvpoc. Scaled after 2 min and .75 MA. Second scale given. 5 pt theo winner within first 13 minutes. Stopped 3 ticks short of my target but basically did exactly what I thought!

3. Sold 1643.25 mid on 5 pt move. We have a very poor low and acceptance inside pRange so I think it makes sense. Stopped after 8 min and .25 MF.

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Recap
ES opened OAOR with an upside gap that quickly got filled. Vpoc and value shifted overlapping higher. Price closed incrementally higher and inside value and inside pRange on average volume of about 1.5 mill. Today had no break of the IB which makes it a non-trend day and this occurs only about 4% of the time. Really neither a motivated buyer or seller showed up today. Market did digest and hold the gains from the past 2 days.

Really happy the trade off the open worked out today just as I wrote it up when I put it on. I expected a seller to be present around 1647.75 and combined with the gap open I thought the trade made sense. First entry might have been a little aggressive but it would have worked too. Alternatively, it sucks I didn't get the long off 1637.5 nvpoc because I was really expecting a bounce there as described in my pre-market report. The mid trade...Ive said it before but didn't get a chance to run stats this weekend to confirm but I am close to dumping that set up. Today is a scratch and tomorrow is another chance to earn some money and make progress.

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  #425 (permalink)
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6-11 pre-market

Economic data: inventories

ON Profile: Sharp sell off overnight caused by some Japan news. We have 17 pts range on heavy volume of 303K so far with ES sitting just a few ticks off lows as I write. ON vpoc at 1628. Profile shaped like a b. The hi is just a tick above yesterdays settlement price so clearly sellers were in control from the start. The low is just 1 tick below friday's low.

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ES is set to open with a big gap down today right around the 1626 CHVN where it found support on friday for what eventually turned into a 22 pt rally (including yesterday). Will buyers defend this level again? I am inclined to believe yes though perhaps the open gap from 1624.25-1625.75 gets filled first. I think we get responsive buyers on the open and their first order of business is to get above the 1633 CLVN and then tackle the 1637.5 nvpoc that was left open yesterday where I initially expect rejection. Entirely possible late in the day for a drive thru and back into pRange though. If 1626 does not hold then we have minor support around 1621 and then nothing until 1613/1611.5 where I expect big buyers to be waiting. Longer time frames are bullish and daily time frame is balancing.

Levels Above: 1633.5 CLVN, 1637.5 nvpoc/pLo**, 1642 nvpoc*, 1647.75 CHVN***

Levels Below: 1626 CHVN**, 1624.25 gap fill, 1621 CHVN, 1613 CHVN*/1611.5 HVN*, 1608 nvpoc**

Hypo#1- ES opens OAOR and responsive buyers immediately step in and aggressively auction it higher up to 1637.5 where it either pauses and resumes trend up late in day or balances rest of day.

Hypo#2- ES opens OAOR and auctions higher up to 1633 and fails then searches lower down to 1613.

Hypo#3- ES opens OD- go with.

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  #426 (permalink)
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6-11 trades and recap

1. Long 1627 OPEN after poking thru by 5 ticks and seeing potential big absorption on footprint on pullback. Super dicey trade for me. Scratched after 2 min and .5 MA vs .5 MF as I just feel like there has to be a better opportunity to come along. Would have been winner but no second scale- im happy with scratching that.

2. Sold 1637.5 nvpoc on 4.5 pt move up. Debatable whether to wait for pLo prints but I went and took it. Stopped after 2 minutes, total stop run. Used auto stop and had 1 tick slippage. Should have waited for pLo to print. Dang now 8 handles lower and I was stopped at exact hi tick...

3. Long 1629.75 IBHI/MP intraday single/LVN on 3.5 pt move down. Scratched after 5 min and 1.75 MA vs. 25 MF, will try and add lower. Would have been loser.

4. Long 1628.5 after scratching above trade. Scaled after 8 min and 0 MA. No second scale.

5. Long 1626.75 open. Why did I put this trade on? Scratched after 1 min... Would have been winner.

I think I am going to take a break for a bit, not sure why I am doing trades in addition to possibly fighting market context...

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Recap
ES opened OAOR and initially found buyers in the mornings who then turned into sellers in the afternoon. After the bell, we have value and vpoc decidedly lower. Price closed right around where it opened and inside value on heavy volume of about 2.0 mill. Profile shape looks like a fugly double distribution with the main LVN at 1634.75. Daily candle looks like a doji with a much longer wick above then below indicating some indecision about where to go from here.

Man I traded like a clown today, really just didn't have any confidence about what I was doing on any of my trades except for the nvpoc short which I ended up getting stopped out of on the exact hi tick of the day that would have eventually turned into a possible max winner of 12 pts. But I deserved that. First of all, I went in blind, didn't wait to see how it would trade there but that isn't so bad. Whats bad is that I knew with pLo just 3 ticks higher it was likely that there would be a touch there so I should have waited for that to happen before selling. Finally, I need to stop using auto stops. Time and again I have turned a full loser into a scratch or winner by using a manual stops instead of auto and today was another example of a trade I could have saved. End of day I finish down 12 bucks so I appreciate the cheap learning experience...

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  #427 (permalink)
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6-12 pre-market

Economic data: none

ON Profile: Kind of a p-shaped profile with a 10.75 pt range and light volume of 190k. The low is below pClose by just 1.25 pts and the hi is just below yesterdays HVN and a previous vpoc at 1637.5. Current vpoc is 1635, just above pVAH and the LVN from yesterday.

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Yesterday was an indecisive day for the ES, pushes higher and lower were both rejected and it closed right where it opened. So far the ES has pushed higher overnight into the upper distribution of yesterdays profile. We have no data out today and are set for an OAIR open which doesn't set the table for a wild day. On the composite, we are set to open near the 1634 CLVN which coincides with the 1634.5 LVN/VAH from yesterday so it will be interesting to see if that confluence plays any role today in dictating a direction. We have a 7 pt gap higher so I am inclined to give the bulls the bias. Longer term trends are exremely bullish, shortest term is balancing. Overall expecting a rotational day.

Levels Above: 1637.5 CHVN, 1642 nvpoc*, 1647.75 CHVN**, 1651 nvpoc/1652.75 CLVN*, 1656 CHVN**

Levels Below: 1634.5 LVN/CLVN??, 1626.5 CHVN/1625.25 nvpoc, 1621 CHVN, 1613 CHVN/1611.5 HVN**

Hypo#1- ES opens OAIR and weakly pushes lower then bulls step in and grind higher to 1642 nvpoc or possibly 1647.75 where sellers step in and knock it down to open.

Hypo#2- ES opens OAIR and pushes higher to 1637.5 CHVN and fails then grinds lower to 1625 to pick up buyers.

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  #428 (permalink)
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Thanks: 321 given, 589 received

6-12 trades and recap

1. Long 1634 LVN/CLVN/on vpoc/eth vwap on 4.5 pt mvoe down. Responsive sellers in control so not sure if this trade makes sense as the ONHI was taken out but only by a few ticks. Stopped after 6 min and 1.0 MF.

2. Sold 1634...okay I might be getting spun around here but if my second hypothesis is correct then the market is pushing towards 1625.25 nvpoc after being rejected from 1637.5 CHVN and pushing into pVA. We have a poorish low but maybe that means a buyer was found? Scaled after 2 min and .5 MA. Second scale given almost instantly after that.

3. Long 1626.25 after 1625.25 nvpoc printed weakly and we have a wide IB. This could be considered 2nd or 3rd test down here though which is not good. Stopped after 3 min and .25 MF. Sellers in control today so far at least.

4. Long 1624.5 dVAL on 2.25 pt pb after strong vertical bounce off lows of 1622.5. Potential problems are that it failed 2 ticks into the IB and dropped out again combined with fact that sellers are in control today. Stop is at LOD. Scratched after 3 min when it spiked 4 ticks against me then popped right back up. No confidence in the trade/myself... Would have been a winner, but just one scale so thats fine.

5. Long 1620 1.5 IB on 4.5 pt move down. Scratched instantly, I am just constantly buying today and the market keeps going down... Would have been a loser.

6. Long 1613.5 CHVN after 1612.25 printed. Was 1611.5 bid but petered out before it got there- expecting a bounce in this area despite trend down day type as we are quite extended so far at 26 pts range. Scaled after 4 min and .25 MA. No second.

7. Long 1613 CHVN after only 1 ticking the low and what looked to be like an aggressive bid come in to the market. 3 min into the trade its gone 5 ticks my way but it should be higher if it truly was the buying response i was looking for. Scratched after 7 min, not behaving as I thought it would. Would have been loser.

8. Re-bot 1613 after my 1611.5 traded and I was not filled there or 1612. Scratched after 2 min and 1.5 MA as now have double bottom. Would have been loser.

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Recap
ES opened OAIR above value and began an all day sell off shortly after the bell. Value and vpoc firmly lower although it was a very trend-like day so value did not quite exist. Price closed ~17 pts lower but due to the fact they opened +10 it seems like they got crushed. Volume was heavy at about 2.1 mill. Profile shape is fugly, kind of triple distribution-like. The daily candle is a nice big red bar that travels from one CHVN (1637.75) thru the MC CHVN (1626.5) and finally finds its footing at the 1613 CHVN but only barely so.

Terrible day, I give myself a capital F for how I traded today. Trend down day, albeit a sneaky one for the first 12 handles or so, and I have 7 buys and 1 sell. The 1 sell just happened to be the best trade of them all too. Market was kind enough to serve up a juicy entry around 1621.75 and I pulled my offer because I wanted to wait for 1624 HVN instead. I am extremely lucky to escape with a scratch but make no mistake I completely and totally fucked this day up. I don't know if anyone could have anticipated a trend day given the recent context and I know I sure didn't. Maybe there was great info to be gleaned from yesterdays doji combined with the strong move down off the open today? Tomorrow is another day...

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  #429 (permalink)
Elite Member
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Posts: 617 since Jan 2013
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6-13 pre-market

Economic data: claims, retail, biz inventories

My charts are totally messed up today so no post this morning and perhaps no trading if I can't fix it.

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  #430 (permalink)
Elite Member
Rio de Janeiro, Brazil
 
Futures Experience: Beginner
Platform: SC, S5T
Favorite Futures: Es
 
Posts: 617 since Jan 2013
Thanks: 321 given, 589 received

6-13 trades and recap


1. Long 1606 mid on 4.5 pt pb after 7.5 pt move up. I think overall day context supports long as the market opened OAIR, dipped below pLo then re-entered range 7 pts. Scaled after 4 min and .5 MA. Second scale given.

2. Sold 1616.25 LVN/afternoon hi from yesterday on 4.25 pt move. Market grinding higher so this is a fade and not sure of it but I wouldn't call this a strong rally so I took a shot. Stopped after 12 min and .5 MF. Just wouldn't go down...

3. Sold 1623 HVN on 7.5 pt move up- feel like I am stepping in front of a bus that is moving deceptively fast. Scratched after 19 min and .75 MF vs .5 MA, this thing just won't go down. Would have been loser after going 7 ticks my way as soon as I scratched it. Done for day, no need to fight this market two days in a row...

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Recap
ES opened OAIR and quickly went below pLo and then popped back into pRange and beginning a steady grind higher through the day reversing all of yesterdays selloff. No value today and vpoc shifted all the way to the top at the close. Price closed just off the hi and I am not sure how volume was today due to the roll. Wild back to back trend days. Really don't know what to make of this action besides the fact that if you thought bears had the advantage after yesterday you were wrong.

I dont know how I am supposed to evaluate my trading today. I got long at 1606 and after going 2 ticks against me initially it never traded that price again and theoretically gave me a max winner of almost 28 pts. But I trade 1 lots and never made another buy and ended up making zero dollars so I guess overall I traded like crap. Maybe the best buy was after the dip below pLo it re-entered and went up to 1607 then pulled back to pLo for the backtest and held. Probably should have gotten long there. That roughly coincided with the mid and vwap as well. Still have to figure out my charts as I had two computers going today with some charts being back-adjusted and some not making for an awful lot of mental math being done.

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