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

  #461 (permalink)
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7-1 pre-market

Economic data: ISM, construction

ON Profile: Larger range than expected last night at almost 17 pts and having explored the entirety of pRange and then some on both sides, if only by a tick to the upside. Volume is light given the range at only 194k. P-shaped profile. Vpoc at 1608, same as thursday.

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Friday was an interesting day with two main features I would say: a poor hi and a sharp decline into the close. ES re-tested pLo overnight and bounced strongly almost 17 handles straight up to 1 tick pHi and then balance in the upper portion of fridays profile. Today is the first of the month which could mean new inflows (or not). ES is set to open OAIR inside value with two major numbers coming out at 9 so I think the first 30 minutes are chop. The data could dictate the day and my overall bias is to the upside. Acceptance above pHi leads to 1614/15 and then 1620.5/1622 where I really expect sellers to be lurking. Acceptance below 1599 nvpoc targets pLo 1594.25 then 1588 and finally 1582 nvpoc where i really expect buyers to enter. Its a holiday shortened weak with the big non-farms number on friday so i think today is a quiet rotational balance day around 1608 (last weeks mc vpoc) with maybe 1602-1615 the range.

Levels Above: 1609.75 pHi*, 1614.25/1615.5 CHVN*, 1620.5 mc vpoc***/1622 6-19 low, 1624.75 HVN

Levels Below: 1599 nvpoc, 1594.25 pLo*, 1588 gap, 1582 nvpoc***

Hypo#1- ES opens OAIR inside value and chops for 30 min then breaks lower to 1602/1599 to pick up buyers and grinds higher up to 1615.

Hypo#2- ES opens OAIR and pushes higher but fails above pHi then sellers step in and knock it down to 1599 where it turns back up or fails and continues lower.

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

7-1 trades and recap

1. Long 1613.75 mid/eth vwap on 4.75 pt move down. Very prominent vpoc above at 1618 and higher value on the day made me take this long. Negatives are that IBHI was only 2 ticked and rejected from a known important level. Scratched it after it went 5 ticks against me, try to re-enter lower.

2. Re-entered same price... this is also dVAL so a little more confluence to the trade. Stopped after 9 min and .75 MF.

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Recap
ES opened OAIR and buyers aggressively bid it higher from the start. Value and vpoc shifted entirely higher. Price however closed near the low, below value and inside pRange on light volume of about 1.3 mill. Profile shape is a triple distribution-y. Daily candle is a hammer with a very long wick above and little stub below. What did the ES accomplish today? Buyers ramped it up to the 1620.5 mc vpoc to the tick where sellers entered and took it all the way down. It will be interesting to see if todays hi holds for a few days as sellers attempt a trip back down to 1553 or not.

Super frustrating day for me. I just could not get filled on any trade I wanted and the one I did get filled turned into a loser. I don't know if it was because today was such light volume or I set unrealistic expectations but I am pissed I didnt get at least two of the fills which would have been great trades. The one trade I did do I felt had some edge but it was questionable as the early morning built an HVN at 1611.75 and then 1612.5 to 1616.25 was basically a big LVN so I didnt have a whole lot of support to lean on. Tomorrow is another day.

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  #463 (permalink)
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7-2 pre-market


Economic data: factory

ON Profile: Smaller range than normal of late at only 8.75 pts on very light volume of only 161k so far. Profile shape pretty balanced. ES is making new lows as I write this. ON hi is the same as two days ago at 1614.25. The low is currently at 1604.75 which I cant really attribute to anything. Vpoc at 1610.75.

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ES opened globex and instantly rejected pLo in search of higher prices which made me think yesterdays afternoon sell off was not real selling. However, ES is now back at pLo so those prices are being accepted and I am inclined to believe a little more that yesterdays rejection from 1620.5 might be a significant reversal. If thats true then I would look for the ES to be rejected from 1612/1615.75 today and search for lower prices. If no rejection then 1618 nvpoc is the obvious initial target. ES is expected to open OAIR below value right around the 1608 mc vpoc from the last 6 days of trading. Im going to say sellers have the initial edge this morning but only marginally so. Longer term time frames are super bullish, daily time frame is mixed.

Levels Above: 1612 pVAL/1615.75 LVN*, 1618 nvpoc, 1620.5 pHi/CHVN**, 1622.25 gap close, 1624.75 HVN

Levels Below: 1602.25 HVN, 1599 nvpoc/1598 nclose**, 1588.25 hi/lo, 1582.25 nvpoc***

Hypo#1- ES opens OAIR below value and bulls make first push higher but fail around 1612/1615 and sellers push down to 1599.

Hypo#2- ES opens OAIR below value and push below pLo to 1602/1599 where buyers enter and grind up to 1615.5.

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  #464 (permalink)
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7-2 trades and recap

1. Sold 1615.75 LVN on 1.5 pt move up after stalling here first time then pushing thru by only 2 ticks. Very strong open by ES after 1 ticking pLo then driving higher quickly up to here but took the fade because was part of my plan and it is above 2nd vwap. Scaled after 6 min and .75 MA. No second scale.

2. Long 1615.5 LVN after it went through by 2 pts and then pulled back. Very aggressive trade location and not sure if this is smart. Already 4 ticks against me. Vpoc is 1 tick below entry. Scratched after 4 min and 1.5 MA, will try to re-enter at vwap 1613.5 instead. Would have been a winner....

3. Sold 1617.25 after it 1 ticked the IBHI/nvpoc and pulled back. Maybe what happens yesterday happens again. I would say overall context still supports the long side but what just happened now was not good. Hmm, went 6 ticks my way instantly then back to the hi and now back to entry. Scratched after 16 min. because of the double top. Will try to re-enter higher. Christ, instantly became a winner after I scratched...

4. Long 1615 vwap on 3.5 pt move down from the hi. Not liking how it went right through vpoc on way down. dVAL below at 1614 for possible additional support. Scratched after 20 min and 1.75 MA. Would have been loser.

5. Long 1603.5 after 1603 printed and I was looking for a long off of 1602 and I didn't think it would get there. Wait for it...scratch after 12 min and 2.75 MA.

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Recap
ES opened OAIR/OTD and drove higher in a manner similar to yesterday and also shit the bed in the afternoon like yesterday. Vpoc once again left hanging near the high. Value shifted slightly overlapping lower. Price closed in the lower range of the profile kind of straddling the VAL, minimal change on day from yesterday. Volume was average at about 1.4 mill. Daily candle once again another doji with a long wick on top. Two days in a row with a nice sell off from the 1620 area, I'm guessing next time up there it won't be rejected but perhaps first market will go lower to flush out some weak longs and get people short.

Another day where I traded like a clown. 5 trades, 4 scratches, just totally timid trading. I think trade #3 was a good trade based on what I knew at the time and turns out I could have held it all day long with only 5 ticks against me. I scratched it and I think for good reason but then I should have put it back on when new hi was made by only a few ticks and then came back inside the IB. Trade 4 was pretty bad given the context I just described and I should not have taken it. Trade 5 was stupid, I got too aggressive when there was no reason to be aggressive. Super humbling day, these last two days have really made me feel like I suck at trading this way. Risk management has me down zero dollars for these experiences. I hope I can apply these lessons in a proper way and make money going forward.

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  #465 (permalink)
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7-3 pre-market

Economic data: claims, ISM

ON Profile: Kind of a "b" shaped profile so far with a 14.25 pt range and moderate volume of 220k. The hi is just a pt above the close and at the 1608 mc vpoc of the last week or so. The low is 1 tick below last fridays low. Vpoc is currently at 1598.25 so just below friday's 1599 vpoc. Price currently trading 1602.5 so a nice bounce off the low and back into pRange.

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I woke up this morning to ES down 10, now it is trading 1605. For the last week ES has balanced between 1594 and 1620 with 1608 being the most traded price. ES ran up to 1620 twice in the last 2 days and was rejected both time. Overnight it went lower to 1594 and picked up buyers again. I think 1608 might be the key today, a push up to it and rejection could lead to another trip down to 1594. Acceptance at 1608 might lead to a push back up to 1620 again. ES is set to open OAIR below value. Sellers still have the edge right now but not as much as they did two hours ago. If they can't build acceptance below pLo then I look for a move back up to 1608 and potentially higher. If they do take it below 1600 then the target becomes 1594 and as its been tagged twice now in the last few days I don't think it will hold but given its a half day only sellers may not have time/desire to press. Longer time frames are very bullish. Daily time frame is balancing.

Levels above: 1608 mc vpoc/onhi**, 1616.25 nvpoc, 1620.5 CHVN*, 1622 gap close, 1624.75 HVN

Levels below: 1599 nvpoc/1598 nclose/on vpoc*, 1594 onlo*, 1588 hi/lo**, 1582 nvpoc***

Hypo#1- ES opens OAIR below value and pushes to 1598 then grinds higher to 1608 into close.

Hypo#2- ES opens OAIR below value and pushes up to 1608 and is rejected then heads down to 1594.

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  #466 (permalink)
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1. Long 1600.25 pLo on 3.25 pt pb after being accepted inside pRange. Scratched after 5 min and 2 pts MA. Given the context I really expected better support but it basically just blew right through.

2. Long 1602 2 ticks above vwap on 2.5 pt pb from hi after vwap printed only weakly. Still playing for more upside and unfortunately with worse trade location than before but I think ES is headed for 1608 mc vpoc yet. Scaled after 3 min and .25 MA. Second scale given.

3. Sold 1608.75 mc vpoc on 3.5 pt move up looking for a potential move back down to vpoc 1603. LVN at 1609.75 above as potential resistance as well. Stopped after 5 min, just blew right through me...

4. Re-shorted 1611.25 after its been hanging around up here but only 1 ticked the hi on last push up. Scratched after 2 min because it wasnt the type of reaction I wanted to see.

5. Re-entered 1612.5, this rotation just keeps going (almost 8 pts now) and I keep trying to fade it. Scaled after 16 min and .5 MA. Second scale given.

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Recap
ES opened OAIR/OR and after dipping below pLo briefly began to build acceptance inside pRange and grind higher. Pretty fugly profile gives us lower value and vpoc for the half day. Price closed incrementally higher and inside value on light holiday volume of about 800k. Daily candle finally gives us something other than a doji for once however ES just cant seem to stray too far from the 1608 mc vpoc. ES continuing to ignore foreign issues making me think it wants to go higher.

First trade I made today was good but it went 2pts against me so I got out. I dont know why I didnt get long 1598 off the open...that was a mistake and i sat there looking at it and didn't pull the trigger. Last few trades were pretty stupid as I was just shorting given the magnitude of the rotation and the fact the profile looked so fugly below it. I'm lucky the last one worked and got out the prior one for a scratch. Sounds stupid but it seems I often think about putting on a trade in the wrong way. I have been thinking in terms of "can i get at least a scale off" before pulling the trigger but thats really not conducive to what I am trying to do. I should be thinking "where do I think this thing can go if I put on a trade here" and is that target like 6-8-10 pts away and if so then I should put the trade on.

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  #467 (permalink)
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7-5 pre-market

Economic data: non-farms

ON Profile: NFP is out and we have a somewhat balanced profile with a longer tail above. Total range going back to yesterday is 22.25 pts. Heavy volume of 414 k so far. Vpoc at 1623.75.

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ES is set to open with a large gap higher. This gap is more interesting than other gaps though because it is occurring above a 5 day balance area on heavy volume which lends more credibility to the sustainability of this gap. I think long is the play today as long as sellers don't instantly come in and crush the bid. 1620.5/1618 is my key area today and I expect rejection from that level if tested. However, if is accepted inside the prior balance area then we have a potential look above and failure which should lead to rotation all the way to the other side of balance at 1594. Things to keep in mind is that currently ES is +18 pts which is a large gap and you have to wonder how much upside potential for the day remains especially considering many people are still on holiday. Longer term trends remain incredibly bullish. Daily time frame might just be turning bullish again too.

Levels Above: 1629 CLVN, 1631.5 CHVN**, 1637.5 CHVN**, 1644 nvpoc*, 1650 CHVN***

Levels Below: 1620.5 CHVN/1618 BAH***, 1616.25 nvpoc*, 1608.75 nvpoc/mc vpoc/1607 CHVN**, 1604.75 MP single*, 1594 BAL

Hypo#1- ES opens OAOR and responsive sellers come in and sell it down to 1620.5 but fail and bulls grind it higher slowly thru the day.

Hypo#2- ES opens OD and rips higher/lower, get on board!

Hypo#3- ES opens OAOR and pushes higher but fails near 1631.5 CHVN and rotates down to 1620.5 and closes in the middle for a balanced day. If not rejected from 1620.5 then look out below!

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  #468 (permalink)
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7-5 trades and recap

1. Sold 1618.5 vwap after OAOR that pushed above BAH and failed then put in a double bottom at 1616.25 nvpoc so I am assuming that based on auction logic we should go all the way down to BAL 1594. Well that didnt work, stopped after 2 min. Dang, stopped 3 ticks off the hi of the move and ES later broke down.

2. Long 1608.5 nvpoc on massive 9 pt move down and kind of stepping in front of a bus here and viewing this as more of a scalp since context to me seems to support a move down to 1594. Scaled after 5 min and .25 MA. Filled within first 240 in queue. Second scale given.

3. Sold 1615.25 vwap on 4.25 pt move up. ONLO just above at 1516. Nice bounce off the low but it does look poor and I think overall context favors downside yet but if this does not hold then that changes my view. Vpoc down below at 1612.75. Scaled after 5 min and .25 MA. Second scale given.

4. Sold 1618.5 (again) dVAH/ eth vwap on 6 pt move up. Scratched after 11 min and 1.5 MA. Thing really ripped in my face and I can re-enter higher but not sure if I want to.

5. Sold 1622 IBHI taking chance that 1623 is HOD with move back to vpoc at 1619 given the 14 pt wide IB. Will only risk 5 ticks. Oops, I screwed tha tup, 1623.5 is HOD so will have to risk that instead. Stopped after 14 min and .5 MF. Think I may have panicked on this stop, we will see. Well I puked it 2 ticks off the HOD...dang.

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Recap
ES opened OAOR right at the 5 day BAH and closed on the hi's after responsive sellers wacked it first then left the building. Value and vpoc shifted it completely higher. Price closed on the hi, above value and above the prior 5 day balance area. Volume was pretty pathetic though at only about 1.2 mill. Daily candle gives a nice long buying tail with decent green body. It would seem that the bears have been defeated and new all time hi's are the next target. I really didn't think that 1553 low would hold but so far it has and doesnt seem in any immediate danger.

Today could have been a great day for me. That first trade I got stopped out but the idea was right. The next trade was solid and I must say I am surprised the low held, the way it was formed just didnt seem right. Third trade was decent but the fourth trade was a force especially considering my write up of the previous trade. I knew a break above the mid/vwap changed the context yet I still took a short. I am lucky to have gotten out for a scratch. Last trade I think was ok and right idea just poor execution. It would have been great to have a nice winning day going into next week as I start trading two lots but c'est la vie. I must admit to being scared about it but it has to be done to really put my strategy to work and actually start to make money.

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  #469 (permalink)
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7-8 pre-market

Economic data: none

ON Profile: ES traded in a 12 pt range on light volume of 208k so far. The hi is 2 ticks above the 1637.5 CHVN and looks poor. The low is 1626 which I can't really attribute to anything and looks very nice. Vpoc currently at 1635.75. Profile shape is pretty ambiguous, sort of like a "p", sort of like a box.

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ES balanced for 5 days between 1594 and 1620.5 and established 1608 as the fairest price. It broke higher friday morning but sellers managed to take it back down to the 1608 mc vpoc but no lower and then had it rip back up and out of the range and close on highs. Seems like a back breaker to me. Friday's squeeze higher has been accepted and improved upon with ES set to open ~+7. I can see sellers being enticed by this gap higher and want to revisit the thinly traded auction between 1624-1629 but overall I feel bulls have total control and would prefer long trades. The only caveat to friday's auction is that it happened on very light holiday volume but I wouldn't hang my hat on that if I were a seller. Longer time frames are very bullish and the daily time frame IMO has just transitioned to bullish too.

Levels Above: 1637.5 CHVN/ONHI**, 1643.75 nvpoc**, 1646.75 CLVN, 1650 CHVN***, 1655 CLVN/1655.5 MP single

Levels Below: 1631.5 CHVN, 1628.5 pHi/CLVN*, 1624.5 LVN/pVAH, 1619 nvpoc/pBAH***

Hypo#1- ES opens OAOR and bulls push but fail at ONHI where sellers step in and wack it down to 1628.5 pHi/1624 to pick up buyers and close in the middle.

Hypo#2- ES opens OAOR and sellers step in and push weakly but are overpowered by buyers who grind it higher thru the day.

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

7-8 trades and recap


No trades today

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Recap
ES opened OAOR and traded in a tight 8 pt range all day. Value and vpoc shifted significantly higher. Price closed higher, inside value and near the middle of the range and right around where it opened for yet another doji candle. Volume was very light at around a mill. Profile shape is very nicely balanced. Friday's squeeze higher into the close held and was not even touched today so clearly a win for the bulls.

I didn't do any trades today and I can only partially blame it on being afraid to pull the trigger on a 2 lot. Mostly I just didn't see any real opportunity. I thought about a short at 1638 ONHI after it made the 1639.5 hi and came back to vpoc and built a nice ledge there but I didn't because I really wanted to trade from the long side today. It ended up being a typical summer day, here's hoping for some opportunity tomorrow.

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