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

  #551 (permalink)
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josh View Post
instead of just buying/selling at a LVN or HVN.

LOL! I had to start somewhere right? But thanks, I do feel like I am making some significant progress. Still making my share of boneheaded trades but as long as I gradually weed those out while making enough good trades in the meantime to survive it should all work out.

Sorry you didnt get after it today but tomorrow should offer up some good opportunity to get it back!

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  #552 (permalink)
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8-2 pre-market

Economic data: non-farms, income/spending, factory orders

ON Profile: Non-farms are out and its apparently not that big a deal but slightly negative. ES has traded in a 7.75 pt range on volume of 216k so far. The hi is yesterdays hi to the tick while the low is yesterdays pullback low after the open test drive higher. Vpoc currently at 1702.25 and profile shape is balanced.

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ES did little overnight in anticipation of the report and after the fact it has not done much either. Market broke out of prior balance yesterday to new highs cleanly albeit with little range extension. So far buyers are maintaining control by not allowing the ES to trade even below yesterdays vpoc. I had thought the report might have kept would-be buyers on the sidelines yesterday and allow them to enter today for a possible trend up day but with an OAIR inside value on tap that is unlikely but still possible. I remain overall biased to the upside and see the 1694.5 level as key for the bulls to maintain this breakout. I am bullish all the way down to 1675 really but it would be best (read: easiest for me to interpret!) to build a new clean balance area above 1694.5. What would make me want to sell today? If it opens OD down I would hop on board. Or if it trades above pHi/ONHI by only a tick I would consider a short. If price is accepted below 1694 with a steep vwap I would consider it. Lets see what happens...

Levels Above: 1699 nvpoc, 1703.75 pHi/ONHI

Levels Below: 1694.25 pLo/BAH***, 1692 ledge, 1686.75 CHVN*, 1683 mc vpoc, 1677.75 CHVN**

Hypo#1- ES opens OAIR inside value and sellers make first push down to 1694 for re-test where buyers enter and grind higher through the day above pHi.

Hypo#2- ES opens OAIR inside value and fail at 1699 or pHi and grind lower to 1694 and possibly lower.

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  #553 (permalink)
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What adds to the lack of conviction is that the Dow is trading almost entirely below yesterday's range, whereas the S&P has not even touched yesterday's low and is in range, and the N100 is trading in the upper middle to above yesterday's range. So, whereas S&Ps are confirming the break above balance yesterday, the Dow is not (so far).

Meanwhile, discretionary stocks continue to be strong today, whereas tech, fins, health care mostly mirroring the S&P, around flat, and energy and staples are quite depressed. So, it's a mixed bags across the board, both within the index and among other indexes. This leads to balance, rotation, and a general lack of conviction regarding direction. Hence the -10% vol and 5.00 range so far (-35% below 20 day median, yikes). ES looks bullish but still, it's a summer Friday, even with NFP. BTW, VIX is at 12.19 as of this moment, well into "oversold" territory and begging for a pullback in equities, but no evidence of a desire to do so yet.

(ES on top, YM on bottom)

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  #554 (permalink)
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8-2 trade and recap

1. Long 1696.75 after printing the 96 ONLO weakly. ES struggling down here but low participating on both sides. Could have waited, ES traded 4 ticks against me and made new lows by only 1 tick. I think the trade is good now. Scaled after 20 min and 1.0 MA. Really struggling though to do anything. 37 min in ES came within 3 ticks of my second scale but just no energy here. Thinking of moving my stop to entry at this point. Traded my exit but no fill. This sucks, 90 min and back to entry. So my exit traded thru after 2:36 min but I pulled my offer hoping for a stop run. Didn't 1 tick it and I got tired of this trade so exited 1 tick lower. I think everything still works for the trade in my favor but I'm honestly just tired of it. Third scale given.

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Recap
ES opened OAIR inside value and basically grinded higher at a snails pace through the day. Vpoc and value remain essentially unchanged. Price closed on the hi, above value and above pHi. Volume was totally bogus at a mere 938k. Yesterdays clean breakout remains intact. Next week has a dearth of economic data out so it might be more action like today.

I did 1 trade today only and it was a good one. I hesitated for a split second on the entry causing me to pay up a tick which actually ended up being pretty crucial as had I gotten in one measly tick lower I would have been in and out of the trade in about 45 mins with a chance to put the same trade back on for another go. Not going to worry about it too much as the most important thing is that I made the correct read. And hanging on to a trade for a couple hours and have it come all the way back to entry after not being filled at the exact top is good experience and will definitely happen again so I need to be ok with that. I was hoping for/expecting more volatility today but didn't get it. I head into the weekend on a positive note!

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  #555 (permalink)
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PNL/Expectancy

Every friday i log my trades into a spreadsheet with basic things like pnl and type of trade and reason i took it. When I switched to 2 lots a few weeks ago I made a new tab so I could distinguish pnl and expectancy between my 1 lot trades vs 2 lots. After looking at the cumulative results so far I thought it was interesting so I wanted to post. My sample size is small so far with only 39 trades but I only have 2 more full winners than full losers yet my pnl is +1800. I think that is pretty amazing and illustrates the need to cut your losers quickly and let your winners run. Currently I do a 2 pt stop with a 2 pt first scale and 4 pt second scale which only works out to a 1.5 to 1 R/R ratio but I am trying to let the second scale run further occasionally if I feel pretty confident about the trade. How many times have we all heard "let your winners run"? We all know this but this is the first time im actually seeing the fruit of that with my own eyes. When we latch on to a sick trade, we need to milk that for all its worth because you only need a few of those to make up for a whole bunch of little losers. Easier said than done but I will definitely be working on that.

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  #556 (permalink)
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8-5 pre-market

Economic data: ISM

ON Profile: Very tight 3.75 pt range so far on very light volume of only 95k. The hi is 1 tick below yesterdays hi and the low is 1 tick above the IBHI which was pretty difficult to get through from below on friday. Profile shape is balanced with vpoc right in the middle at 1702.75.

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Wow, ES did absolutely nothing last night! If you have any little loose-end projects to take care of around the house today might be the day to do it. What can we really expect today? ISM is at 9 so maybe the first 30 min nothing gets done and then that provides a little spark? ES is trending higher on all time frames and just broke out of prior balance on thursday and then maintained that on friday. My bias is still therefore to the long side. Combining the last 2 days of MP charts provides a potentially interesting set up for today with a long off the ledge that has formed at 1700.5 for a move up through pHi. If ES can not hold it then a trip back down to 1696 would be in order and that would make it the 3rd or 4th attempt down there so I am not inclined to buy it again but rather wait for lower prices. I am not interested in a short unless I see some sort of clear rejection, perhaps from a 1-2 tick of pHi. I'm guessing I will have the talk radio going early today...

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Levels Above: 1705 pHi

Levels Below: 1700.5 MP ledge, 1697.5 nvpoc, 1696/94 BAL, 1692 ledge, 1686.75 CHVN

Hypo#1- ES opens OAIR inside value and chops until 9am then pushes higher thru pHi and up to 1710 or higher.

Hypo#2- ES opens OAIR and chops, pushes higher and fails above pHi then rotates back down to 1696 and balances.

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  #557 (permalink)
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8-5 trades and recap

1. Long 1700.25 7 min after the open based on the MP ledge that formed over the past 2 days. ES did nothing overnight but balance above this level so hoping it plays out. To be honest I don't think this trade will work but I am taking it because I think I have to. Scratched after 13 min and .75 MF vs 1.5 MA because it went further against me than I thought it would. Would have been full winner. Dang.

2. Long 1702.75 2 ticks above vwap after printing vwap weakly. So we have a double top at 1705 on the daily candle and vpoc for today above at 1703.75 which is also above IBHI and am thinking this pullback to vwap is a good entry for a eventual move higher. Will use a tight 4 tick stop on this which is 1 tick below the current move low at 1702. Stopped after 33 min and 1.0 MF.

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Recap
ES opened OAIR inside value and put in an inside day with slightly higher value and vpoc. Price closed incrementally lower and absolutely atrocious volume of about 735k. Profile shape is almost perfectly gaussian. This makes the third day of balance in a row between 96 and 05 since the breakout above prior balance. Total range of only 6.25 pts. Brutal day.

It would have been nice if I had held on to the first trade but usually when a trade goes 6 ticks or more against me it seems they are losers so I ditched it for a scratch. I'm not sure if the trade was even valid for the reason I put it on. If anyone wants to chime in on that, be my guest. Second trade, clearly aggressive trade location but I only risked 4 ticks. Not much else to say about today. Hopefully tomorrow is better.

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  #558 (permalink)
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Profiler View Post
... Combining the last 2 days of MP charts provides a potentially interesting set up for today with a long off the ledge that has formed at 1700.5 for a move up through pHi...

A ledge will become seducing when it forms 3 or more TPO's. As a rule of thumb, if you combine two days you need to multiply by two this number to get a significant ledge. A ledge of 4 tpo's wide is not that significant if you consider two days of activity. However, today a key number to watch was 1699.25 (fair price over the last two days) and 1697.25 as an unfair price.

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  #559 (permalink)
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8-6 pre-market

Economic data: none

ON Profile: Another tight range of only 5.75 pts and light volume of 114k. The hi is a tick above pVAH while the low is below pLo. Vpoc currently 1699.75 and profile shape is kind of fugly balanced.

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ES has balanced for 3 days now and last night ES just bounced between the mc vah and mc val as nobody is interested in paying to take this away from value at the moment. We are looking at an OAIR inside value again so today might be a repeat of yesterday. Bias is still to the long side and we now have a double top on the daily candle at 1705 which indicates a lack of excess/incomplete auction. Being a responsive trader has paid off the last few days and today looks to be the same.

Levels Above: 1705 double top**

Levels Below: 1697.5 ONLO/mc val, 1696.5-1694 LVN, 1692 ledge, 1687.5 nvpoc**, 1683 mc vpoc

Hypo#1- ES opens OAIR inside value, pushes lower to ONLO and 1 ticks it then responsive buyers grind it higher thru the day, possibly above 1705.

Hypo#2- ES opens OAIR inside value, fails at ONHI then grinds lower thru 1696.5 to flush out late longs and bounces around 1692/1687.5.

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  #560 (permalink)
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8-6 trade and recap


1. Long 1697.75 after ONLO only 1 ticked. This is also mc val and my bias is overall to the long side. Wow, that trade didnt work at all. Stopped after 4 min and 0MF.

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Recap
ES opened just barely OAIR right at pLo and trended down to begin the morning but then balanced the rest of the day. Value and vpoc completely lower. Price closed inside value and also back inside the prior balance area before the breakout. Volume was much better than yesterday at 1.1 mill but still light overall. Decent rejection from prior mc VAH.

Gosh, I made one trade that just went completely against me right away and then pussed out on some other ones. I dont know what to say. Today sucked, I blew it but I will say that once the move was over there was limited opportunity as the market just died in the afternoon. I'm still bullish overall, we are only 11 pts below all time hi's but maybe the market needs to come down to 1687 nvpoc or 1683 mc vpoc to bring in some more buyers before heading back up and taking out the double top at 1705. Today is a day to throw away and tomorrow is a new one.

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