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

  #501 (permalink)
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No trades either

No trades here either. I think we did the right thing...no reason to take on risk with so little volume. Seems to me if one of the big boys had decided to sell, who knows what might have happened.

For example; looking at 12:35, could see a short developing, but I didn't want short trades today, only longs. So glad I didn't try to switch horses in the middle of the stream. Would have gotten chopped up.

Good trading all,
Ddawg

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  #502 (permalink)
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Ddawg View Post
For example; looking at 12:35, could see a short developing, but I didn't want short trades today, only longs.
Ddawg

i agree about only wanting longs yesterday though i was prepared for a short off 1679.75 if there was a nice reaction off it earlier in the day. what made you consider a short around 12:35? are you an MP/VP trader or using some other methods?

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  #503 (permalink)
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7-16 pre-market


Economic data: CPI, housing

ON Profile: Extremely tight 4.5 pt range and extremely light volume of 104k so far. The low is pVAL while the hi is 1678.75, just under pHi and very poor looking. Vpoc is 1677.25 which is basically inline with yesterday's. Profile shape is not complete, looks like we have only 1/2 of a real profile. @Trendisyourfriend, this is a good example of a poor hi, does that profile look good to you???

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Today is setting up to be a repeat of yesterday. ES did practically nothing yesterday but it did have an upward bias. Today ES is set to open OAIR inside value and given the poor hi overnight and all time hi's still waiting to be broken the bias is once again to the upside. Everyone seems to be waiting for the bernanke tomorrow to make any real decisions. Despite my bias to the upside it would seem that risk/reward is now beginning to favor the sellers if only for a fast 20-30 pt quick beatdown to shake out some weak hands. Any type of peak above 1679.75 all time hi that is met with aggressive sellers will have me on the look out for such a move but only that and probably not today. All time frames are very bullish.

Levels Above: 1679.75 all time hi, 1700***

Levels Below: 1670 nvpoc*, 1664.5 nvpoc*, 1660.75 gap, 1658.25 CHVN**, 1655 CLVN ?, 1648.5 BAH***

Hypo#1- ES opens OAIR inside value and sells off weakly to ONLO then resumes slow grind higher above all time hi. Perhaps late day sell off to balance positions ahead of tomorrow.

Hypo#2- ES opens OAIR and pushes above 1679.75 and fails and sellers knock it down to 1670/1664.5 or perhaps lower.

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  #504 (permalink)
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Profiler View Post
i agree about only wanting longs yesterday though i was prepared for a short off 1679.75 if there was a nice reaction off it earlier in the day. what made you consider a short around 12:35? are you an MP/VP trader or using some other methods?

No. I am not a MP guy. Was just looking at the double top at 78.00, but it would have had to take out the low at 12:05 to really trigger anything. Kind of trade that would have sucked me in in times past. Probably a bear trap.

Good Trading
Ddawg

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  #505 (permalink)
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7-16 trades and recap

1. Long 1670.75 ahead of 1670 nvpoc after it printed 70.25 weakly and this is a decent 6 pt rotation down. Dang, would have been filled on 1670s if I waited... Scratched them after 3 min and 1.0 MA because I think I can buy these back lower... Would have been a full loser.

2. Long 1669.75 for reasons above. So ES has been grinding lower since the open and paused at 1675 for awhile which is where vpoc is and i think a rotation back up to there is reasonable from here but it does appear as if the high for the day is in. It has built a lot of volume below pLo though. Scratched after 17 min and .5 MF vs 1.75 MA and almost 5k on the low tick which makes me think new lows yet. Would have been full loser as well.

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Recap
ES opened OAIR above value and top ticked the same hi as yesterday then spent the rest fo the day slowly grinding lower. Value and vpoc shifted completely lower on the order of 7 pts. Price finally finished lower for once as well, closing inside value on very weak volume once again but not nearly as pathetic as yesterday. All in all it seemed as though people just wanted to take a bit of risk off the table ahead of the bernanke tomorrow. Double top on daily candle at 1679.5 with all time hi a tick above that. Next time up there I would not expect to hold.

Well once again the market didn't give me what I wanted for a short right off the bat so I watched it grind lower. I then took a couple stabs at a long at a good location and it didn't work out but I didn't cost me anything either. I missed the short at vwap because I was hoping for a bounce up to 74-75 which I thought was a better location given the LVN that existed between 72-74 I was afraid of it just ripping right thru there and I would have wanted to short 74-75 area as well so if I shorted 72.5 then my stop would have to have been like 76 and with a 3 pt average scale out on my 2 lots it didn't seem to make sense. Am I thinking about that trade right? Should I have just let it fly? With what stop?

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  #506 (permalink)
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I know it is not a big deal but on the CME web site the all time high is at 1680.25. Even though it should not make a big difference to your results you should try to understand why your platform indicates 1679.75.

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  #507 (permalink)
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trendisyourfriend View Post
I know it is not a big deal but on the CME web site the all time high is at 1680.25. Even though it should not make a big difference to your results you should try to understand why your platform indicates 1679.75.

This is because the September ESU contract's actual high on May 22 was indeed 1680.25. But Profiler is using back-adjusted data prior to the June->Sept roll, so his May 22 data is from ESM, but back-adjusted to match what September would approximately be. He wants to see the volume information for May 22, but can't use ESU because it had virtually no volume yet as it wasn't the front month contract, so he's using the back-adjusted continuous contract.

This is a perfect example of how displaying historical data for a futures contract is not an exact science--and due to convergence of the futures and cash as expiration nears, even a single contract cycle with no rolls or adjustments will be "off" with the underlying (as can be seen from the cash high on 5/22 being about 2 handles off right now from the current futures+premium; in other words, as the SPX reaches its all time high of 1687, ESU will already be about 1682, 2 handles north of its "all time high," unless of course it is near the ESU->ESZ roll in which case they will match almost perfectly due to convergence).

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  #508 (permalink)
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reading

great thread

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  #509 (permalink)
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Profiler, good job scratching your longs. This is the 3 day Thursday-Monday prior to today. What do you see in terms of trade location based on this?

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  #510 (permalink)
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josh View Post
Profiler, good job scratching your longs. This is the 3 day Thursday-Monday prior to today. What do you see in terms of trade location based on this?

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I see that the BAL 1660 was only tested once and strongly rejected. I was thinking bounces or outright reversals at the HVN's at 1664.5 and 1670.25 and if short use those as targets if ES was rejected from 1677.5- what do you think?

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