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

  #71 (permalink)
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@josh

many thanks for the constructive criticism. keep it coming!

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  #72 (permalink)
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2-6 trades and recap

1. Sold 1405.75 ON LVN on 3.5 pt move with tick +600 and breadth -60. Scratched after 8 mins with 1.0 MF vs .25 MA after it went 4 ticks in my favor twice and came back to entry twice and overall context of day is bullish. Would have been loser.

2. Long 1505.25 IBHi/LVN on 3.5 pt pb. Breadth -50 and tick -400. Instantly 3 ticks against me. Been waiting for a spot to get long all day after not taking the mids. Nice high in place above at key level 1508.5 CHVN. Vwap 2 ticks below and mid 3 ticks so potential nice support there. Stopped after 5 min and 0 MF.

3. Sold 1504.5 mid/vwap on 2.5 pt move with tick +600 and breadth -11. Vpoc sitting below at 1503 so possible nice magnet. IBHI/LVN above at 1505.25. Stopped after 38 min and 1.5 MF but no fill on my exit.

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Recap

Spoos opened OAIR, very tightly wound with only a 1 pt OS and broke higher after a rejection from 1500 on the nuts. Market pushed higher and then sold off sharply after tagging the 1408.5 CHVN. Responsive buyers stepped in though at 1.75 LVN to auction it higher into the close. Overall it was an inside day with neither ONHI or ONLO nor pHI or pLo taken out. Value also established inside and vpoc just a 1.25 pts above yesterday. Price basically unch and volume just a shade lighter than yesterday but still decent at 1.34 mill. Looks like we have a potential breakout in the works with this coiling action. An MC of the last 4 days has 1506 as vpoc so a rejection from there could be used as a launch point.

My trading results are honestly getting statistically out of hand. 1 winning day in last 13 days... At some point I will start figuring out what I am doing wrong.

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  #73 (permalink)
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2-7 Pre-market


Economic Data: claims, productivity, ECB speech

ON Profile: We have a balanced profile in the ON session with an upward bias that features vpoc right at yesterdays hi to the tick and the hi at tuesday's RTH hi to the tick. I can't really come up with a reason as to why 1504 is the low. So inventory is leaning long and my initial guess is that combined with yesterdays inside day with regards to range and value area, this increases the probability of an upside breakout but who knows?

Over the last 4 days we have rotated between 1511 and 1490 with the majority of the trade taking place between 1509 and 1501 and vpoc 1506. Best trade locations have been sales near 1510 and buys near 1499-1500 with chop in the middle. Claims could change this a bit but for now I am expecting an OAIR, inside value and potentially a vpoc shift down to 1407.

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Closing Swing: 1507.5-1505.5

Levels Above: 1511.5 CLVN*, 1514 CHVN/nvpoc, 1519.5 contract all time hi

Levels Below: 1506 mc vpoc, 1502.75 CHVN, 1499 CLVN*, 1496.25 CHVN/LVN**, 1494.25 nvpoc, 1488.5 CLVN

Hypo#1- Spoos open OAIR, inside value and chop before breaking higher and continuing higher thru 1511 balance area hi to 1514 CHVN and possibly beyond.

Hypo#2- Spoos open OAIR and rotate higher but find rejection then seek out lower targeting 1499 CLVN where it finds rejection and we end up with a rotational day like yesterday.

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  #74 (permalink)
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2-7 trades and recap

1. Long 1506 on 3.5 pt pb because of nice rotation into 1506.25 nvpoc and expected upside bias. Breadth -100 and tick -200. Scaled after 4 mins and .25 MA. No second scale.

2. Long 1501.75 LVN on 5.25 pt move. Breadth -244 and tick -600. Stopped after 8 min and 1.25 MF.

3. Long 1499 CLVN on 4 pt move. Breath -300 and tick -400. Definitely some active sellers involved here. Scratched after 2 min and 1.25 MA looking to get long lower. Would have been loser. Wait, that is not a good idea. Market getting wacked on good volume. Look for sales.

4. Sold 1499 CLVN on 4 pt move up with breadth -326 and tick 0. Scaled after 9 min and .25 MA. Second scale given.

5. Long 1502 mid on 2.75 pt mid. Breadth -190 and tick -300. Stopped after 4 min and .25 MA at the very low of the move when only 38 contracts printed at my exit.

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Recap

Man, what a day. I did not see this sell off coming at all, I was prepared for a breakout to the upside. A seemingly innocuous OAIR turned into a rout shortly thereafter. Spoos popped above previous day hi and then returned back in range. Some mild selling ensued but as soon as spoos broke 1505 level the selling just got vicious and it seemed weird, as if only one fund just decided to unload some inventory and when it was over, buyers returned. At the end of the day spoos ended up basically unch and we are left with a daily candle that has an extremely long wick on the bottom. What does this mean? Bulls still run the show in my book and this just confirms active buying interest in low 1490s.

Value area was established lower. Vpoc shifted 8 pts lower. Price incrementally lower. All of this occurred on the heaviest volume day of the year since the first day of the year at 1.63 mil.

I think I made some good trades today but more bad than good. I am lucky to have finished with a flat pnl since I scratched a would-be loser. Had I expected this downside perhaps I could have found a short opportunity early but looking back I dont know what I could have done. So I took some longs because of my bias and the extent of the rotations. My mid trade was both unlucky but also unwise. In looking over the log of my mid trades all of them at are winners came on rotations over 3 pts while all the losers are less than 3. Todays was 2.75 and I was stopped to the tick. Also of note, today the vwap provided just enough resistance to get a scale off when the market came back to it the first time around lunch. When spoos broke through mid into the thin part of profile they went right to the top of the low volume area and turned back quickly. So keep that in mind for future reference.

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  #75 (permalink)
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Value area was established lower. Vpoc shifted 8 pts lower. Price incrementally lower. All of this occurred on the heaviest volume day of the year since the first day of the year at 1.63 mil.

At the end of the day, ES settled 1.5 handles lower than Wednesday. Not exactly progress, if you ask me, for shorts. This was it, this was the selling strength they had been looking for, and then ... they give it all back. Mind you, it was very impressive but delta basically unchanged, price basically unchanged. So, tomorrow should be interesting. I say this because if you look at today's profile, there is no real clear establishment of value IMO. There's no clear balance that can be called fair. The market may have traded the most at 98, but the shape of the day is basically a big "V" -- when a profile is as ugly as this one, I throw away the VPOC and value area, it just doesn't mean that much to me, as it's one long thin search for value, and given that the market basically closed where it opened, it seems the search for value came right back to where it left off. The 95 VPOC area of the 92-98 balance held and provided plenty of buyers to get the ball rolling back the other way, back up.

Good job scratching today, perhaps it will give you a momentum push in the right direction! Best to you tomorrow.

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  #76 (permalink)
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2-8 pre-market

Economic Data: trade balance, wholesale inventories

ON Profile: After yesterdays wild ride we have a quiet, small range, balanced profile from the night session. Yesterdays VAH seemed to offer support on the downside as it was only penetrated by 1 tick while the LVN at 1508.5 provided resistance. Vpoc sitting at 1505.25 which has been a popular place for vpocs in the last few days.

I am expecting an OAIR, above value, with an initial push lower by responsive sellers to start the day. I think we end up with a rotational day around 1506 mc vpoc so with the overall uptrend still intact, will look to get long after that sell off. And unless internals and volume are exceedingly positive, will look to fade the upper end of balance around 1511.

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Closing Swing:1506-1502

Levels Above: 1511.5 CLVN, 1514 CHVN/nvpoc, 1519.5 contract hi

Levels Below: 1502.75 CHVN, 1501 LVN?, 1498.75 CLVN/1498 nvpoc*, 1494.25 nvpoc/yLo, 1492 CLVN

Hypo#1: Spoos open OAIR above value, rotate lower first to pick up buyers then grind higher rest of day.

Hypo#2: Spoos open OAIR above value, push higher and fail near 1511 and then move lower rest of day.

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  #77 (permalink)
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2-8 trades and recap

1. Sold 1409 after printing weakly pHi. Breadth 177 and tick +200. Negative factor is the open is also the low print so could be OD. Stopped after 5 min and .25 MA. I faded an open drive.

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Recap

Spoos opened OAIR above value-or so it seemed. The open print was the low of the day which should have been my first clue not to fade it and instead go with. A 1.25 pt sell off after tagging yesterdays hi was the best sellers could do at which point bulls just took control and the open morphed into an OD type situation. I puked my fade and then tried getting long on both subsequent pullbacks to vwap but no fill. I need to be more aggressive about front running those after such strong conviction opens. Volume was 50% higher than normal. But then the day was over. Buyers held their ground but so did sellers. We are left with a very distinct p-shaped profile. Vpoc shifted to 5 year hi's. VA shifted higher but also incredibly tight at 1.5 pts wide only. Price closed at 5 year hi's. Volume was the lowest it has been in 2 weeks.

My trading sucked. The fade was stupid. I thought responsive sellers would step in but they didnt. I missed the open print clue and then saw volume very heavy and an inability to trade below my entry and knew I was toast. Breadth was solid but not extremely positive. Then I just was too passive in getting long on the pullbacks. Need to frontrun vwap by a tick on days like today.

So my winless streak continues. 1 in the last 15. Unreal. I'm getting married tomorrow though so my weekend will be good!

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  #78 (permalink)
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I'm getting married tomorrow though so my weekend will be good!

Congratulations! Please go enjoy your wife, and just take a week off or something at least from trading. Maybe a woman's love is just what you need to get you back on track (joking but in all seriousness, enjoy the wedding and festivities!)

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  #79 (permalink)
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  #80 (permalink)
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2-11 pre-market


Economic Data: none

ON Profile: We've got a 5 pt range with low volume and a blocky looking profile. Very little movement going on as only 7 rotations occurred. Initiative buying with new 5 year highs made and vpoc sitting above pHi. Low coincides with pVAL.

I didn't have time to post weekend charts but its pretty obvious we are still trending up on all time frames. We are headed for a possible gap up OAOR. One can't help but wonder if it makes sense to fade a monday morning pop to new 5 year hi's and buy it back later in the day? The only level I have above is all time contract hi at 1519.5 but how important is it considering the cash hi is still 50+ points higher? Very prominent LVN/CLVN below at 1511 which is also the MC balance area hi so looking for some sort of bounce on first touch there

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Closing Swing: 1513.75-1511

Levels Above: 1519.5 all time hi

Levels Below: 1513.25 nvpoc, 1511 CLVN/ BA Hi**, 1505 mc vpoc, 1502.75 CHVN, 1498.75 CLVN*

Hypo#1- Spoos open OAIR, sell off to 1511 (possibly down flagpole to1509) then grind higher rest of the day.

Hypo#2- Spoos open OAIR and catch a bid to start the day and run to 1519.5 where responsive sellers are waiting and sell it off rest of the day.

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