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

  #431 (permalink)
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Platform: SC, S5T
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6-14 pre-market

Economic data: michigan

ON Profile: ES traded in a relatively narrow 8.25 pt range on volume of 228k which might be a lot considering the roll, tough to say. The hi was above pHi and the hi from 2 days ago as well by just a few ticks. The low was an HVN from yesterday to the tick. Vpoc currently at 1629.5. Profile shape is generally balanced with a poorer looking low and a nice tapered hi.

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Tricky day on tap considering I am still dealing with chart issues and we've had two back to back trend days of equal magnitude but opposite in direction. Overnight ES held on to almost all of its gains so you would think the bulls have the edge thus far, especially considering the last 3 days have a hi of 1633.75, 1632.25 and 1633.5 so I am leery of shorting that area and think acceptance above there targets 1642.75 nvpoc and potentially higher. To the downside, we have 1619.5 as the most traded price of the week and given that the emotions of the market I don't know if we can trust it to act as support but its all I can offer given my bogus charts. Michigan at 9:55 might cause chop for the first 25 minutes then a breakout. Longer term trends are wildly bullish, short term is balancing.

Levels Above: 1636.25 nvpoc, 1642.75 nvpoc, 1650 CHVN

Levels Below: 1619.5 mc chvn, 1614.5 MP single

Hypo#1- ES rotates lower to 1619.5 to pick up buyers then grins higher up through 1633 to 1642.

Hypo#2- ES pushes higher through 1633 level but fails once again then sellers push lower to 1619. I wouldn't rule out another move back down to 1605 or lower given the vol lately.

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

6-14 trades and recap

1. Sold 1627.5 IBLO/ledge on 4 pt move up. Prior move up stopped 2 ticks short then sold off 4 handles before finding support at dVAL then moving back up to here so not sure if this trade makes sense but there is good acceptance below the IB with an HVN at 1624.75 and we have a rejection from prior 3 day hi's above. The actual low itself does look pretty good though. Vpoc and mid/vwap are just above at 1628.25 so I am wrong above there. Scaled after 3 min and 0 MA. Second scale given. Man basically went 6 pts in my favor instantly.

2. Long 1618 below 1619.5 CHVN on 4.75 pt move down. Not liking how on this rotation down sliced through vpoc at 1624.75 as if buyers no longer felt that price was fair but took the trade because I was looking long in the area and it was a good rotation. Really a bit whippy, went 7 ticks in favor then instantly swept down then up... Scaled after 19 min and .5 MA. Second scale given.

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Recap
ES opened OAIR and moved above the 3 days of similar hi's we've seen then back into pRange giving sellers the cue to wack it a bit. We end up with a bit of a rotational day at the end and vpoc lower than yesterday and value higher but yesterdays value doesn't count so hard to say. Price finished just off the lows on better than average volume but it's hard to say because of the roll. So it seems that 1635 area is just too expensive as sellers keep emerging there but we didn't run all the way down to pLo so maybe we are putting in a bit of a floor here before taking out those 1635.

I'm constantly reminded every day I trade about a line from Daltons book: you must do the trade. I find I am able to spot good locations better each day and read context better but only about half the time am I actually doing the trade and that is disappointing. I need to work on that. Because he is right, actually doing the trade is the most important part which sounds obvious as if you dont put the trade on you aren't going to make any money. But it is about sacking up, casting your lot and seeing whether the market agrees or disagrees with you. Stepping in front of a bus, going long when the selling is vicious and putting real money on the line is the only way to make progress. And thus far I am not doing the trade as much as I need to to get where I need to be. Next week will be all about "doing the trade"...

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  #433 (permalink)
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Weekend Update with profiler


First off, it seems my charts are fixed now. If so, the solution was to exclude microsoft security essentials from scanning sierra chart files as it was interfering with SC's ability to download properly. I checked my windows update history and I did indeed have an MS essentials update on thursday night when the problem started. So if anyone has problems with SC in the future, this might be the solution. Ok lets go to the recently back-adjusted chart...

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We can see the market clearly likes 1620.5 the most and last week was spent rotating around it and indeed last weeks vpoc was the same as our mc vpoc. ES seems to be indecisive at the moment given last weeks action and desire to hang around the mc vpoc. Perhaps nobody is willing to pay to move the contract away from it ahead of next weeks important FOMC decision? I also included a downtrend line on the chart and it's not something that I really pay attention to or use actively but wanted to remind myself that in the short term it seems the big sell off from the all time hi is still kind of in control despite the fact that longer term trends are wildly bullish.

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  #434 (permalink)
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6-17 pre-market

Economic data: empire, housing

ON Profile: We have a p shaped profile with an 11.5 pt range on decent volume of 290k. The low is just below yesterdays vpoc while the hi is a tick below fridays hi and in the same area that has been the hi for 4 days running now. Vpoc at 1631.5.

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ES opened some 7 handles above fridays close with sellers making no real effort to close that gap as buyers ripped it higher up to the ~1634 resistance level that has held going on 4 days now. ES is set to open OAIR above value with a gap of ~12 pts above prior settlement- bulls are in control and market can do what it wants but I would be very surprised if that level holds once again. Maybe there are no buyers up there and we will peak above then fall back inside like friday-totally possible. But until that happens I will be looking long. Perhaps responsive sellers show up on the open trying to take it back inside value and fail then bulls step in and rip it up to 1641.75 CHVN. Longer term time frames are very bullish, shorter time frames are balanced to bearish.

Levels Above: 1636.75 nvpoc, 1641.75 CHVN*, 1645 nvpoc/1646.75 CLVN**, 1650 CHVN***

Levels Below: 1627.25 LVN, 1624.75 nvpoc*, 1620.5 mc vpoc**, 1615 CHVN, 1607 CHVN**

Hypo#1- ES opens OAIR above value and responsive sellers push to ~1626 to pick up buyers then grinds higher thru the day up to 1645 or higher potentially.

Hypo#2- ES opens OAIR and pushes higher but fails once again around 1634 level then sellers wack it down to pLo and potentially lower.

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  #435 (permalink)
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6-17 trades and recap

1. Long 1637, horrible entry, but it feels like bulls are in total control and we have a very poor hi above and I didn't think I would get a better price so I paid up. Instantly 5 ticks against me. Opening context was a large gap higher within range that had no real selling response from responsive sellers and acceptance above prior 4 day hi ressitance level. Scratched after 14 minutes and 1.75 MA vs 1.75 MF because it went 7 ticks in favor then came back to entry which I did not think it should have done if it was going to continue going higher. Would have been winner after an hour but max winner of 3.75 pts. A for idea, D for execution.

2. Long 1625.25 ledge ahead of 1624.75 nvpoc on 2 pt move down as part of an extended 8 pt afternoon move down. Debated waiting for the nvpoc but went with this because I wanted to be a little more aggressive. Scaled after 10 min and 1.5 MA. Second scale given. Dang, sick trade, ended up going for over 10 handles! A for idea, A- for execution.

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Recap
ES opened OAIR with a strong gap up and quickly moved above the prior 4 days resistance level but then kind of petered out. An afternoon swoon brought new lows and a strong bounce right back to the key resistance level. Overall, we have higher value and vpoc, and a very prominent vpoc at that. Price finished higher on heavier volume of about 1.8 mill. I think its very interesting that it closed right at that key resistance level...buyers just dont have the juice for a close over it yet. The daily candle has long wicks above and below the body. We have the fed on wednesday so maybe tomorrow we just balance around 1634?

I'm overall happy with my trades today. First one I got impatient and jumped the gun and ended up with poor trade location but the idea was right. Second trade was sick! Oh what I wouldn't give for my first real 2 lot trade to be one like that and start me off on the right foot. Speaking of 2 lots, if the next two weeks go well and I continue to feel like I am making progress and understanding the market then I plan to start trading 2 lots first week of july, maybe the second week if its really slow because of the holiday. Until then though its helmet on and keep plugging away

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  #436 (permalink)
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6-18 pre-market

Economic data: CPI, housing

ON Profile: Relatively tight 7.25 pt range on average volume of about 200k so far. Profile shape is pretty balanced exept the middle area is more of a box shape. Vpoc is currently 1634.75. More or less the overnight session just traded yesterday's value area.

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The data is out for today and ES is still within yesterdays value area. Ahead of tomorrow's fed meeting I am expecting a quiet balanced day with an upside bias. ES is currently set to open OAIR inside value but above that 4 day hi area of ~1634. I think yesterdays VAL might be a good spot to try a long while just above pHi may be a good spot for a short. Longer term time frames are super bullish while the short time frame is balancing.

Levels Above: 1641.75 CHVN*, 1645 nvpoc*, 1646.75 CLVN/ledge**, 1650 CHVN***

Levels Below: 1631.75 CHVN/pVAL*, 1623 CHVN*, 1620.5 mc vpoc***

Hypo#1- ES opens OAIR and pushes lower to 1631 area then grinds higher thru the day.

Hypo#2- ES opens OAIR and pushes higher and pops above pHi but fails then grinds lower down to 1631.


Last edited by Profiler; June 18th, 2013 at 09:55 AM.
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  #437 (permalink)
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6-18 trades and recap

1. Sold 1641.75 CHVN/pHi on 3.5 pt move. ES kind of grinding higher which I dont like but I took the trade. Not seeing immediate rejection, in fact it seems to be accepting prices here with 11k traded at my entry although its only gone 2 ticks against me. Went 6 ticks in favor but now back at entry and 2 ticks above again leaving pretty poor hi. Took out hi by only a tick and now 2 ticks back in favor but struggling to get below pHi. Vpoc shifted to 2 ticks below entry is that good or bad? Im thinking bad as we have 2 sided interest above pHi. Scratched after 39 min with 1.5 MF vs .75 MA. Good scratch, would have been loser.

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Recap
ES opened OAIR inside value and grinded higher all day. Value and vpoc established clearly higher. Price closed higher and inside value on average volume of about 1.5 mill.

I got completely caught offsides today, really did not expect this scenario to play out. Once it became apparent up was the way it didn't even offer up any decent long entries, to my eye at least. It traded between the first and second vwaps the majority of the day and on a trend day I could justify a long solely based off 1st vwap but not today. I think we have to assume that tomorrow the bernanke will be market friendly. However, if he doesnt give the market what he wants then todays buyers will be desperate to unload.

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  #438 (permalink)
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6-19 pre-market

Economic data: FOMC

ON Profile: ES traded in a 7.75 pt range with very light volume of only 165k which is typical for fomc day. The hi is just 1 tick above pHi while the low is 1641.25 which is a bit surprising as it didnt even explore the lower end of the top distribution from yesterday. Vpoc is 1644.25 but the profile shape is pretty boxy in the middle.

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I really don't expect much activity ahead of the fomc- maybe an OAIR inside value with a 4-5 pt range but to keep an open mind the last meeting had an 11 pt range before the news and then a further sell off after the release so anything is possible. Given that ES broke out of its 4/5 day range yesterday in a very deceptively strong rally and the overnight session held on to those gains, the bias has to be to the upside. However, just above is a very key level at 1650 CHVN and the other side of balance at 1655.5 CLVN/MP single. Maybe we get a move up to there and rejection and back down to 1600 and below? A close above 1655 would really indicate to me that a trip up to new all time highs is in order. We shall see. Longer time frames are bullish, shorter time frame is balancing.

Levels Above: 1650 CHVN**, 1655.5 CLVN/MP single***, 1658.25 CHVN, 1671.25 nvpoc

Levels Below: 1639.75 LVN, 1638.5 MP single*, 1633.5 pLo/4 day hi**, 1623 CHVN/big bounce from fri, 1620 mc vpoc**

Hypo#1- ES opens OAIR and chops around until fomc, then every man for himself, upside bias.

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  #439 (permalink)
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Posts: 617 since Jan 2013
Thanks: 321 given, 589 received

6-19 trades and recap

1. Long 1641.5 after ONLO taken out by only 2 ticks and this is pVAL and we already have 6 pts of range and looked like decent buying response off the low. I dont like how my stop is 1639.5 which is the LVN from yesterday and another potential buy pt but I thought I should jump in here. Scaled after 10 min and .25 MA. Second scale given. Max winner 5 pts.

2. Long 1638.5 MP single on 5.25 pt move down after fomc. Scaled after 3 min and 1.75 MA. No second scale.

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Recap
ES opened OAIR inside value and chopped around as expected ahead of the fed. Then shit hit the fan and ES sold off over 20 pts into the close. Value and vpoc ended up overlapping lower but the profile shape indicates further downward exploration may be needed to find a buyer. Price closed down near the lows and outside of value on heavy volume of about 2.0 mill.

Everything went according to plan ahead of fomc. I had an emergency doctors appt. today right before Bernanke started speaking so I was not around to participate in the real action but truthfully I don't know how I would have done. I really had an upside bias and suspected that if the news was bad then yesterdays long would hit eject and that appears to be what happened. We are back inside the 4 day range from last week and having been rejected from above it seems we would need to re-test the lows again according to auction logic but we shall see. On a side note, todays gains brings my trading PNL to positive! My account is still negative after commissions but it feels like progress has been made. Tomorrow is another day.

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  #440 (permalink)
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Posts: 617 since Jan 2013
Thanks: 321 given, 589 received

6-20 pre-market


Economic data: claims, homes, philly fed, LEI

ON Profile: All in all we have a pretty balanced profile in a wild overnight session. Range is big at 18 pts and volume is very heavy at 450k so far. Vpoc currently at 1611.75. Buyers were found at the 1607 CHVN/1606 HVN and we are not trading around vpoc, down 13 pts.

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Yesterday's selling was only cut off by the bell and as expected the ES went lower overnight in search of a buyer. ES is set to open OAOR but inside value of the balanced overnight session which to me indicates that perhaps sellers have been cut off, at least temporarily. Combined with the magnitude of the move from yesterday afternoon I am expecting dip buyers to give it a go. I think the key level will be the ONLO, if it is not broken or just merely probed below then accepted back above then the target above becomes 1620.5 MC vpoc with pLo just above it where I would expect rejection at least initially. However, if prices below 1606 are accepted then we look towards the 6-12 lo of 1601.25 and finally the remaining gap since the may non-farms report. Anticipating lots of volatility today. Longer time frames are wildly bullish, daily time frame is balancing and now we are near the lower end of that balance.

Levels Above: 1615 CHVN, 1620.5 mc vpoc**, 1622 pLo, 1625 HVN, 1631 CHVN*, 1635.5 4 day hi/afternoon hi/LVN**

Levels Below: 1607 CHVN/1605.5 ONLO**, 1601.25 6-13 lo*, 1590.5-1588.25 GAP**, 1586.25 nvpoc**, 1580.75 CHVN, 1576.5 CHVN***

Hypo#1- ES opens OAOR and sellers push to ONLO but fail where bulls grind it up to 1620.5/1622 and a decision has to be made to continue higher or turn lower again. Seeing 1635ish as potential hi of day if continues up.

Hypo#2- ES opens OAOR and responsive buyers jump in but fail near 1617 and then sellers enter and grind lower down to 1586 area.

Hypo#3- ES opens OD lower-jump on!

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