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

  #451 (permalink)
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You're sharing awesome stuff in here! Thanks! Have a good night!

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  #452 (permalink)
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1. Long 1557.5 below 1558 CHVN on nasty selling, stepping in front of a bus here. Sellers in control so far this morning but this is a level I had and ES is down 27 so I took a chance. Scaled after 1 min and .25 MA. Second scale given.

2. Long 1557 for same reason as above plus the low was one ticked only. Going to hold this one for 4 pts as its gone 8 ticks instantly my way. Ah man I screwed this up, it went 12 ticks my way and then all the way back to new lows... Taking 2 pt winner now. Scaled after 4 min and 1.0 MA. Second scale given...would have had my 4 pt winner if I held.

3. Long 1559 HVN/-1 vwap just above dVAL thinking the low of day is in and above 1564 needs to be explored. Scratched after 3 min and 1.0 MA because I dont think context is right. It just got rejected from the dVAH and failed to hold the mid/vwap and feels weak. Would have been loser.

4. Long 1557 dVAL/IBLO after ES made new lows and had nice buying response then popped back into IB by 2 pts so I bot the pullback. Maybe I am swimming upstream here but I really think those 1564's will get taken out. Scratched after 5 min and 1.75 MA. Maybe we need new lows to really get people caught offsides before we can rally? Dang, would have been a winner.

5. Long 1560.25 vwap on 2.5 pt pb after ES pushed above vwap by a few handles then got rejected at mid and back to vwap. Still working this long these, for better or worse. Scaled after 6 min and 1.0 MA. Second scale given.

6. Sold 1579.5 pVAL/LVN ledge on 3.25 pt move up with the ES now 26 pts off lows. Maybe this thing is headed to 1584 nvpoc but decided to take a shot here. Scaled after 3 min and .75 MA. Second scale given.

7. Long 1569 ledge on 3.75 pt move down. Scaled after 4 min and .25 MA. No second scale.

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Recap
ES opened OAOR just below pLo and after 27 pts of range finished lower. Vpoc and value shifted entirely lower, no overlapping at all. Price finished down some 17 pts and closed inside value right around vpoc which shifted up at the close. Heavy volume once again of around 2.4 mill. Poor low left behind albeit a nice long wick (above and below actually) on the daily candle. Sellers still firmly in control despite a nearly 100 handle sell off since last wednesday afternoon which seems unreal.

Well if you cut and paste my two hypothesis' this morning you could put together a spot on trade plan for the day! I didn't expect the weakness out of the gate, I thought a move up to 1578.5 first then weakness so I waited for long opportunities and they came. However, the final low of the day really was garbage and I didnt think that would hold, was really hoping for a final flush to 1552 then the big squeeze. I don't know if that low will be revisited tomorrow but I am pretty sure it will be revisited. Nevertheless, I'm satisfied with all my trades except for the last one which gave a scale thankfully but really would be hard pressed to justify it. I just thought it would work to be honest and thats not valid for now at least. So yeah, my best day ever trading this method! Tomorrow is another day.

Just now saw this, way to go! You nailed it yesterday!

Cheers,
Ben

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  #453 (permalink)
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6-26 pre-market


Economic data: GDP

ON Profile: Large 18.75 pt range on ok volume of 220k so far. The low is a pt below pVAL/HVN at 1574 and the hi is currently a tick below that 1592 level that served as breakdown area on 6-20 and afternoon hi on 6-21. Pretty fugly profile shape with not a lot of concensus on value. Vpoc currently at 1588.75 but that is very likely to change to any number of prices before the bell given the shape of the profile. The majority of the night was spent in the lower half of the profile until an early morning rally.

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ES is set to open OAOR with an upside gap. Dalton says go with the gap but I am hesitant to do that because we are at an area where sellers are likely to respond. 1588 is the top of our balance area pre-may non farms breakout. 1592 is a the level that the market really broke down at when ES re-entered the balance area. 1596 is the nvpoc from that day. We are now ~40 pts off the lows from 2 days ago (which looked like a terrible low to me). If sellers really want to keep this party going then the low to mid 90's area is a place to do it. 1599.5/1600 above also is an area I expect sellers to respond, if they are serious. This is first time up here so even if ES closes over 1600 I still think shorts will work for at least 1 scale to get risk off. If the bulls do win the day then its quite possible the correction is over and the market can continue up to new all time highs again. Longer time frames are very bullish, short term is negative.

Levels Above: 1592 ONHI/6-20 single/6-21 aft hi*, 1596 nvpoc**, 1600 HVN/CLVN***, 1607 CHVN, 1609-1622 gap**

Levels Below: 1582 nvpoc/ledge/mc vpoc*, 1576.5 CHVN, 1570 pLo, 1566.5 nvpoc**

Hypo#1- ES opens OAOR and pushes higher up to 1596 where sellers re-enter and wack it down to possibly 1566.

Hypo#2- ES opens OAOR and fails at 1592 and sells off to 1582 where buyers re-enter and grind it higher up to 1600 on the day.

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  #454 (permalink)
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6-26 trades and recap

1. Sold 1594.25 mid on 4 pt move off lows. Not very excited about this trade but I took it as my overall expectations were negative for the day. IBLO was only taken out by 4 ticks and IB is only 6 pts wide which does not bode well. After typing this I decided to scratch it and wait for a better set up. Would have been a nice winner with scales.

2. Sold 1597.75 IBHI/dVAH as this thing is struggling near the hi and sellers are def absorbing. Will use a 4 tick stop only, tight leash, and look to re-short above 1600 if stopped. Scratched after 8 min and going up to hi for 3rd time.

3. Sold 1599.25 after nice looking sell response from 1599.75. Christ it was a trap. 2 pts against me super fast. Took 3 tick loser after 15 minutes and it wouldnt give me the scratch. Would also have been a winner had I held...

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Recap
ES opened OAOR and sellers made an attempt to close the gap but failed and ended up closing incrementally above the open. Value and vpoc completely higher on the day. Price closed higher and inside value, around vpoc for second straight day on average volume of about 1.5 mill. Another near-perfect doji on the daily candle which makes for 3 in a row.

Another morning out the window thanks to tech problems at OEC as the DOM went down for about an hour. I actually had a 1596 offer in the market before it went down but somehow it was not filled. CME says I am flat so I have to believe them. Neither of my hypotheses played out today. Sellers existed off the open but not as strong as i suspected and they couldn't even touch pHi. Maybe it has to do with quarter end window dressing? Volatilty also dying down which means trades will have to be held for longer than 30 seconds now which sucks, I liked knowing virtually instantly whether I was right or wrong. Well tomorrow is another day...

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  #455 (permalink)
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6-27 pre-market

Economic data: claims, income/spending, homes, the bernanke

ON Profile: We have an 11.5 pt range so far on light volume of only 180k. The low is only 2 ticks below the close indicating yesterdays sell off into the close was just people balancing positions and not new selling. The hi is currently 5 pts above pHi. Profile shape is a weird double distribution looking thing with a nice lower balance area but a toothy upper area bounded by a sharp ledge at 1603. Vpoc for the moment at 1598.25 in the lower balance.

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ES set to open OAOR with an upside gap for the 3rd day in a row (4th if you consider just OAOR). No selling occurred after the bell as ES balanced with an upside bias for most of the night then broke higher. An open around 1604 would be 50 pts above the low and 45 below the swing hi of 1649 so over 50% of the decline has been re-traced. Yesterday closed inside the gap zone left from the may NFP and we are now inside the post may NFP balance area so it will be interesting to see if it is accepted and perhaps the decline is over. I will continue to favor the short side until we close above 1599. The Bernanke is speaking today which could make things interesting. Based on the turmoil he caused last time I am guessing his wording will be more careful today. Longer term timeframes are very bullish. Daily timeframe is undetermined?

Levels Above: 1607 CHVN**, 1609-1622 GAP, 1615 CHVN*, 1620.5 CHVN***, 1622 6/19 lo*, 1624.75 HVN

Levels Below: 1601.25 pHi, 1597 nvpoc*, 1588.5 pLo/87.75 gap, 1581.75 nvpoc/mcvpoc***, 1576.5 CHVN

Hypo#1- ES opens OAOR and pushes up to 1607 CHVN/ONHI and fails and sellers knock it down to 1597 nvpoc and possibly lower.

Hypo#2- ES opens OAOR and sells off to 1597 nvpoc then grinds higher thru the day.

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  #456 (permalink)
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The Bernanke is speaking today which could make things interesting.

You sure about that?

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  #457 (permalink)
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yeah I messed that up, the bernanke is not speaking today. rather its dudley, powell and lockhart.

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  #458 (permalink)
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6-27 trades and recap

1. Sold 1607.25 CHVN/OPEN after OAOR and not OD up. ES opened at 2nd vwap and am taking a chance it is a gap and crap. Stopped after 10 min and .75 MF.

2. Long 1609 vwap/gap on 3 pt pb off hi. Concerned about the sharpness off the sell off into this but otherwise ES opened OAOR and moved higher with minimal selloff. Took 4 tick loser after 5 minutes after going 7 ticks against me. Would have been a winner had I just stayed in this trade instead of puking and reversing. Classic trader panic move.

3. Reversed short at 1608. Wow, I am losing control here. Took 4 tick loser after 8 min and 0MF. Going to take dog out for a walk now as I am not thinking right...

4. Long 1610.25 vwap/mid on 3.75 pt move down from double top. Sharp decline which I dont like but overall the market is trying to move higher today. Vpoc shifted to a tick below entry and ltos of volume printing here which I dont like. Scratched after 31 min and 2.25 MA. Would have been a loser.

5. Long 1607.25 dVAL after IBLO was only 1 ticked then ES moved 2.25 handles back into VA. Got filled on some weird spike down. Scratched after 8 min and 2 MA... Looks like a nice low now. Would have been a winner had I held it.

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Recap
ES opened OAOR with an upside gap for the third day in a row and closed with the third doji in a row. Vpoc and value entirely above prior. Price closed higher and right at/just below the VAL on extremely light volume of about 1.3 mill. ES also closed inside the upper balance area of this year ranging from 1599-1681. ES has now rallied 55 pts with successively lighter volume each day. Only a 9 pt range which is the smallest range in at least a month off the top of my head. Summer is here? Calm before the storm?

I nearly went off the rails today. The classic puke and reverse made an appearance today though I was lucky it didn't do much damage. Not that it could anyways as I am a 1 lot trader but the behavior is classic and usually pretty destructive. On another note, I switched from a hard stop to a manual stop about a month or so ago and I am so glad I did. Today alone I had two trades go 8 or more ticks against me which would have triggered my hard stop for a full loser but with a manual stop I used judgement and held on and was able to scratch both. That saved me 16 ticks just today. Sometimes I end up taking a 10 tick loser instead of 8 but overall I have saved much more using the manual and I am glad I switched. As for my trading, well I got clowned today and that happens. I don't think my context was good today or my levels. The market also didn't offer up much opportunity today. Tomorrow is another day...

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  #459 (permalink)
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6-28 pre-market

Economic data: PMI, Michigan, 3 fed heads

ON Profile: Generally balanced profile last night with a 9pt range and light volume of 184k so far. Yesterdays entire range was traded to within a tick on both sides. Vpoc currently right in the middle at 1610.25 and value area has shifted higher a bit. Curious LVN at yesterdays vpoc.

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We are now on day 4 of the bounce. I expected sellers to come out yesterday and I was wrong. The 3rd gap up in a row held just like the prior ones. I know I said I would change bias from short to long with a close above 1599 but the fact we have rallied 50 pts straight in 3 days with no real selling makes it hard for me to act on. Today we do not have a gap up which is a change. In fact as I write this ES is on the ONLO which may lead to an OAOR opening to the downside. Let's assume we open OAOR, I would expect responsive buyers to enter initially but perhaps that LVN at 1608 nvpoc will be a nice place to reject from for more downside with a range of maybe 1597-1608? Based on the declining volume and range each day I think today will be a lot like yesterday: small range and rotational. Acceptance above pHi/ONHI will target 1620.5 mc vpoc at which point I would really expect sellers to enter. Acceptance below pLo/ONLO will target 1597 nvpoc initially. It is the last day of the month and 2nd quarter and I don't know if that statistically translates in a higher percent chance of an up day or not but the media sure makes it seems that way. I do know that the last 5 minutes before cash close will have some wild action though. Longer term time frames are very bullish. Daily time frame is balanced.

Levels above: 1608 nvpoc/ON lvn*, 1614.25 pHi/onhi**, 1620.5 mc vpoc***, 1622 6/19 lo, 1624.75 hvn

Levels below: 1601.25 pHi, 1597 nvpoc*, 1588.5 pLo/87.75 gap, 1581.75 nvpoc/mcvpoc***, 1576.5 CHVN

Hypo#1- ES opens OAOR and responsive buyers push to 1608 where sellers appear and drive ES lower to 1597, possibly lower.

Hypo#2- ES opens OAOR and sellers push to 1601/1597 where buyers enter and grind higher thru the day.

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  #460 (permalink)
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6-28 trades and recap


1.Long 1597.5 after 1597 nvpoc printed weakly. ES opened OAOR and below -1 vwap so def out of balance which makes this fade not so great but it was a level i had pre-market so I took the trade. Scratched after 5 min and 2.0 MA vs 0 MF. Would have been a loser.

2. Sold 1598.75 2 ticks below mid/vwap with lots of absorption going on there and trying to figure out if there is any more downside left in this move. The low does look nice. Vpoc just shifted to entry-not good. Very distinct ledge 2 ticks above. Stopped after 11 min and .75 MF...

3. Sold 1608 nvpoc/1st vwap on 3.25 pt move that is getting pretty feverish. Scratched after 2 min and 1.25 MA and will try to re-enter higher.

4. Sold 1608.75 for above reason. Profile looking toothy, almost like this is morphing into a trend up day now. Scaled after 14 min and 1.0 MA. Second scale given. Max theo winner 8 pts.

5. Long 1597.25 on month/quarter end spike down. Scratched after 11 ticks against me. Would have been a winner. Seems like these month end spikes are always about 4 handles down whereas I was only 2 handles off the market. Next time!

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Recap
ES opened OAOR for the 5th time this week, this time to the downside. Value shifted completely lower on the day but just barely while vpoc shifted down 9 pts thanks to the end of day rebalancing craziness. The MP TPO moved only a few pts lower though. Price closed down about 10 on heavy volume of about 1.8 mill. Based on VP it closed inside value around vpoc but on MP it closed below value which may be significant. We have another daily candle that looks like a doji but with a bigger body than every other day this week.

I thought I had a pretty good game plan going into today with a possible range of 1597-1608 but since they took it just a wee bit further than I expected on the low side it threw a wrench in my plan and caused me to think that possibly further downside was in the cards, hence the short at 1598.75 when I really should have been long. I need to be more flexible. That last long was just a scalp play based on my experience of past EOM/Q days and I guess I need to revise my spike expectations from 2 handles to 4 handles as I was not far enough beneath the market. Good learning experience though, next time I will be ready. I end the weak with a scratch but overall profitable (if only slightly). Next week is a short weak and then the weak after that is the move to 2 lots.
ES opened

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