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

  #591 (permalink)
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josh View Post
Some people like using the NYSE TICK, others do not. I am in the "use it when it's useful" camp. Here it is for today. Hardly could get above zero the whole day, hung out mostly between -500 and 0. When TICK struggles to punch above zero and it's in a grind downward like that, best bet is to get short and see what happens, or at least be very careful with longs.

I definitely plan on adding Tick into the mix at some point because I think it certainly can add value (yesterday being a perfect example) but for now I think I still need to focus on the basics and keep it simple. Thanks for pointing that out and please do so again in the future when you see some obvious distortions like that.

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  #592 (permalink)
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Profiler, sharing this here because I like your thread, I hope you don't mind.

Sometimes some of the most obvious ways to look at the data yield insight. This is the cash index but I'm pretty sure the ES will look very similar. This is day 4 of the downward grind so when it becomes too obvious the channel will break, but yesterday at least, the upper line provided a good guideline, as well as a good lower target. Trend and channel lines are some of the most subjective things one can use, but I would bet quite a bit of money that most traders have seen this channel by now and have these lines marked on their charts.

If nothing else, it is a good guideline for examining failure of the channel and acting based on that. Because it has probably taken the notice of most traders, having it around yourself can be a good way to gauge how others might be feeling as their expectations and fears play out, and profiting from that.

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  #593 (permalink)
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8-20 pre-market


Economic data: none

ON Profile: We have a 8.75 pt range on heavy volume of 255k so far. The low is below pLo by a bit and the hi is right around fridays low. Not a very balanced profile as its kind of a long rectangle but for the moment vpoc is somewhat clearly defined at 1643.25.

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I was looking for a bounce yesterday and although we got one right off the open it was faded and once again the market closed near the lows. On the daily candle the ES has been one time framing lower for 4 days now. I continue to think we are at an area where a sizable bounce is likely but I think until that happens, the short side is the place to be. We are set for an OAIR open, right around the VAL. The ONHI looks somewhat poor and roughly corresponds to fridays low as well as yesterdays afternoon breakdown area so I think that area could be an attractive short entry. Acceptance above that targets the 1652.5 nvpoc and if value is built above that then I must re-consider what type of day we have on our hands. Longer term time frames are still very bullish but short term is clearly bearish.

Levels Above: 1649.75 ONHI**, 1652.5 nvpoc, 1657 pHi, 1659 mc vpoc**, 1661.75 fri hi*, 1665.25 thurs aft hi*

Levels Below: 1642.25 pLo/1641 ONLO**, 1637.5 CHVN*, 1634.75 nvpoc**, 1631.25-1628.5 GAP, 1623 CHVN

Hypo#1- ES opens OAIR around VAL and pushes higher to ONHI and fails down to ONLO and possibly lower where buyers enter and balances the rest of the day.

Hypo#2- ES opens OAIR and sellers push to 1644.5 CHVN where buyers enter and grind higher thru the day.

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  #594 (permalink)
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josh View Post
Profiler, sharing this here because I like your thread, I hope you don't mind.

Not at all, man, post all you want and I actually had not see that chart so thanks!

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  #595 (permalink)
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8-20 trades and recap

1. Long 1644.75 CHVN/eth vwap off the open anticipating potential responsive buyers as it is OAIR below value and a weak print at 1644.25 lo. So it went 5 ticks in my favor and now 6 ticks against with the low now being ON vpoc/ -1 vwap which could be money support actually. Now back in my favor a few ticks. Scratched after 11 min as it is having trouble getting above eth vwap. Would have been full winner.

2. Sold 1651.75 ahead of 1652.5 nvpoc after an extremely poor hi formed but it was only 1 ticked and profile below def looks like it could use some backing and filling. Upside momentum has really stalled here but who knows? Ok so now it made another 1 tick hi with only 194 printed at the nvpoc. Vpoc shifted to 1651.25. Now its made another new 1 tick hi. Well it went 8 ticks against me now and I am close to stopping out. Stopped after 40 min with a 3 pt loser. God fucking damnit I need to stop violating my stops.

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Recap
ES opened OAIR and basically re-traced yesterdays range. Value and vpoc basically did not change. Price closed incrementally higher and inside value but once again faded into the close for the fifth day in a row. Volume was decent at 1.27 mill. There is no other way to describe the profile shape except for ugly. Its kind of a trend day, kind of a triple distribution and kind of p-shaped. On the composite, the mc vpoc shifted down from 1659 to 1655 which I guess means lower prices are being accepted? To this day I don't have a firm grasp on vpoc shifts... If today was finally the bounce day it certainly was not inspiring.

I think I made 2 legit trades today but I screwed them both up. Off the open, I should have noted that ON vpoc and -1 vwap were one and the same and potentially offered a good trade location given the overnight balance. I've seen that set up work before but I did not realize it in time. That would have helped me with better trade location. Still, now that the day is over how does that trade location look? Second trade got away from me. I am just struggling with the way the market is trading lately. Off topic, apparently today is the first day here on futures.io (formerly BMT) that I am now posting under "market wizard" status. I think the system needs to be changed a bit because I am clearly not that! Tomorrow is another day.

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  #596 (permalink)
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8-21 pre-market

Economic data: housing, FOMC

ON Profile: We have a 7.75 pt range on average volume of 152k so far. The hi is just above the close and concurrent with an HVN from yesterday while the low is 2 ticks above pLo. Profile shape is kind of a fugly balance with vpoc in the middle at 1647.75.

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Yesterday we had an inside day with a weak bounce that faded into the close. Overnight sellers continued to auction it lower and balance in the lower portion of yesterdays profile. I can see a potential break out today with the catalyst being housing or fomc. I can even envision a liquidation break followed by a strong reversal but I digress. So we are set to open OAIR below value roughly in the same place as yesterday. I expect responsive buyers to make the first push and if they cant take it back above the 1649.5 pVAL/LVN then I expect sellers to make a run for lows and thats where it gets interesting. A break and hold below brings 1637.75 CHVN or 1634.75 nvpoc into the equation. However, a peak below and failure would me to believe 1654.5 will be seen in short order. Once fomc is out, all bets are off. Long term trends are very bullish but short term is bearish.

Levels Above: 1649.5 LVN/pVAL*, 1654.5 nvpoc*, 1659 CHVN/1661.5*, 1665.5**, 1669.25/1670.25***

Levels Below: 1643.25 pLO**, 1637.75 CHVN**, 1634.75 nvpoc*, 1629 CLVN/gap*, 1623 CHVN, 1620.5 CHVN***

Hypo#1- ES opens OAIR below value and pushes up to 1649.5 and fails then looks lower to pLo and either breaks lower or grinds back up to 1655.

Hypo#2- ES opens OAIR and sells off below pLo and breaks to 1634.75 where it then bounces big to 1655.

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  #597 (permalink)
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8-21 trades and recap

1. Long 1646.5 eth vwap after ES opened OAIR and one ticked the ONLO then headed higher in same way as yesterday with a very poor looking hi above. Im so pissed I missed the 1644 long as I bid there but no fill then it ran away. Shoot, forgot about housing report in 3 min, trying to scratch it. Scratched... Would have been a 1/2 winner and the day seems to be changing.

2. Long 1644.25 after pLo prints weakly and market is balancing ahead of FOMC and not expecting a break before the news. Stopped after 7 min.

3. Sold 1643.5/43.75 IBLO/-1 vwap after ES broke below balance by 3.5 pts and has bounced off it expecting further rotation down. Definite absorption by sellers here but who knows if it will hold. Scratched after 46 mins. Would have been full loser.

4. Long 1643.5 dVAL/IBLO after fomc. Stopped in less than a minute.

5. Long 1639.5 after low was taken out by only a few ticks. Stopped after a minute.

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Recap
ES opened OAIR below value and mostly balanced until the fomc when shit got cray. Net net we end up with lower value and vpoc. Price closed on the lows, sizably down and below value and below the recent balance we have formed. Volume was heavy at 1.91 mill. Daily candle looks pretty ugly with solid rejection from above of the mc vpoc practically to the tick. I had thought the initial low after fomc would be enough to catalyze a pop back up to 1665/1670 over the next few days and it did bounce 18 handles off it today but then sold right back off and im guessing will continue to sell off overnight leaving us with a potentially sizable gap down tomorrow. ES in search of....buyers.

I hit my limit down today. Well almost, my limit is $600 and I stopped at-$562 because one more losing trade would have put me over the limit and I cant do that. Prolly all of my trades were pretty crappy. This is the second fomc in a row where I have gotten wacked and I hate to eliminate this as a trading day in the future but clearly I need to step back and let things play out more before I get in. Sucks to be me right now but its part of the game. Tomorrow is another day.

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  #598 (permalink)
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Profiler View Post
Sucks to be me right now but its part of the game. Tomorrow is another day.

I actually admire your consistency in your journaling. Accepting a losing day sucks, but a lot less than taking a loss and going mad.

“Happiness is the meaning and the purpose of life, the whole aim and end of human existence.” Δ
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  #599 (permalink)
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8-22 trades and recap

Economic data: claims, LEI

ON Profile: ES has traded in a wider than normal 13.75 pt range so far on heavier than normal volume of 223k. The low is at 1631.5 CHVN to the tick while the hi is a tick above yesterdays vpoc and also the 1645 CHVN. Interesting to note how the prior days vpoc has been capping the upside lately. Vpoc is currently at 1643.75. Kind of a double distribution shaped profile.

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Yesterday was a wild day and as expected the weak close led to continued selling after the bell. However, for the moment ES is trading back inside yesterdays value and rejecting the spike into the close. In an uptrending market I would say the bulls clearly have the edge to start the day but in this context I have to believe the bears will try to assert themselves again and the bulls will be hesitant. I think the key level will be the 1645 nvpoc/ONHI. If the bulls can build acceptance above it then we have the makings of a rally day. What would be interesting is if the market could actually close strong for once as it would certainly indicate a change in complexion. So I think today the pressure is on the bears to prove they are still in control. Longer time frames are very bullish, short term is bearish.

Levels Above: 1645***, 1650.5 CHVN/HVN**, 1655 CHVN/mc vpoc, 1659 CHVN**/1661.5 Hi, 1665.5 Hi**, 1669.25/1670.25 breakdown level***

Levels Below: 1639.75 pVAL/LVN*, 1636 pLo**, 1631.5 ONLO/CHVN***, 1629 CLVN, 1623.5 CHVN**, 1620.5 CHVN***

Hypo#1- ES opens OAIR inside value and pushes lower to 1639.75 pVAL and picks up buyers then grinds higher thru the day and potentially sells off into the close again.

Hypo#2- ES opens OAIR and pushes higher up to 1650 where sellers re-enter and challenge pLo and potentially lower but I anticipate a good buying response.

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  #600 (permalink)
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8-22 trades and recap


1. Sold 1648.75 pVAH after it finally came back into vwap value a bit. Its also vpoc which sucks and struggling to go higher. God damnit, instantly against me. I wanted to wait for 1650.5 but I got impatient. Stopped after 9 min for 2.5 pts and 0MF. Horrible trade.

2. Long 1652 IBHI/ 1st vwap after lots of absorption on the bid then a weak print at 1651.5. Will use a tight 4 tick stop as I would really like to get long lower at 1649.5 vwap. ES is trending higher today with no aggressive sellers at all. I dont like how it came off a tick shy of pHi. Stopped after 10 min.

3. Long 1649.75 vwap. Its gone 4 ticks against and 7 my favor after 35 min and I took a 6 tick scale because I need a win mentally. Had I waited another minute would have gotten my 8 tick scale. Stopped on 2nd lot after 90 min...

4. Long 1655.5. I have no MP/VP basis for this trade. I bought it expecting a squeeze into the close as it held above the 1655 CHVN a bit and the market has been week into the close 6 days in a row and expecting a possible reversal to that. First scale after a minute. Well its come back to entry after spiking higher and taking out prior 3 days highs so that isnt cool. Out at entry on 2nd lot at cash close.

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Recap
ES opened OAIR inside value and grinded higher thru the day. Value and vpoc shifted higher. Price closed much higher on the day and above value and near the hi which is a break from the pattern and what I speculated on this morning. Volume was pretty bush at 1.25 mill given what happened yesterday. Daily candle is a strong green bar. So it seems like we finally have an excess low in place, ES opened with a gap higher at 1645 CHVN and rejected that and is now apparently ready to test the 1661/65/69 levels where I expect sellers to re-enter.

Another losing day, every day so far this week. Im so fucking pissed right now. First trade was so bad and another stop violation. Second trade was a shot at a trend day, didnt work, small loss. Third trade was good and I am pissed that little move down in the afternoon shook me out. It would have turned my day into a positive one. Last trade garbage but I got a scale and fast at that. Im frustrated because I thought I was making good progress but this week has made it clear that I have a loooooong ways to go. I will say it again, im fucking pissed. Tomorrow is another day.

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