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Learning to trade the ES using volume profiling


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Learning to trade the ES using volume profiling

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  #1 (permalink)
Rio de Janeiro, Brazil
 
Experience: Beginner
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Posts: 617 since Jan 2013
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Hello all-
Im starting this thread in hopes of it becoming a collaborative effort to figure out how to make money trading the ES. A little background first: I was a very successful fesx scalper in the past. For 9 years i literally made money virtually every single day including only 1 losing day in 2005. At my peak in 2007 i was trading 6000 contracts a day working only 4 hours a day. I was living the life. I had edge and took it whenever i saw it. Until last year when some new algos took my edge away. Over 3 months my steady profits dwindled to nothing and after losing 8g's the first week of april i just walked away. I stand before you (figuratively speaking) a humbled man/ trader.

3 months ago i started trading spoos. I trade 1 lots, i am down $1300 so far including commish. I use volume profiling/ auction market theory. I have no edge. I understand the theory but as said in daltons books it depends on context. I am contextually blind the majority of each and every day. I am unable to prioritize the most important contextual factors at any given time. The worst part is that i dont know what i dont know. Ive been in various chat rooms and seen what other guys are looking at. I have the exact same charts as them. We are looking at the exact same things and they are crushing it while i am clueless. They are not smarter or better than me. They know how to filter the noise from the signal. They see subtle clues and understand the importance. I WAS the same way.

I know many of you are exactly like me. Lets help each other out and speed up the transition to profits. I will be posting here on a daily basis my nightly homework, my trades that i make and pnl. I will be posting a daily recap of what the market did as it relates to context. If you see me do a trade that was just obviously stupid, reply and tell me why! Im going to do whatever it takes to make money again so if you see me lacking in some way, tell me! This is trading, brutal honesty is required. If i wanted a friend i would get a dog (fyi i have one). Lets do this!

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  #3 (permalink)
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Congrats on your journal. I also want to make sure you are aware:

Main thread on Volume Profile:


Main thread on SP500 (a bit slow lately due to holidays, but will pick up):


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  #4 (permalink)
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Profiler, thanks for starting the thread. You seem to have a great attitude. Welcome to futures.io (formerly BMT), it's a great community here.

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  #5 (permalink)
Rio de Janeiro, Brazil
 
Experience: Beginner
Platform: SC, S5T
Trading: Es
 
Posts: 617 since Jan 2013
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1-22 ON Pre-market

Economic Data: home sales

ON Profile: Well my charts are a bit messed up due to the holiday but we have had a pretty active session in ON/holiday period. Fridays highs were taken out by 3.25 pts and stopped right at the LVN from 10-31-07 I had designated on my charts. Spoos sold off from that area and re-entered fridays range and established vpoc at 1476.75. Normally I will be posting a photo of what the profile looks like in the ON session but today I am unable. Given proximity to ON low, it seems likely market will not take out ONHI and instead will explore lower.

Closing Swing: 1481-1477.75

Levels Above: 1483.25 CLVN/1484.25 LVN from 10-30-07, 1486.75 CHVN*/nvpoc, 1487.75 LVN from 10-17-07, 1491.25 LVN from 10-17-07

Levels Below: 1473.75, 1470.25 dbl bottom/1469 BA hi/1468.75 CLVN, 1467 nvpoc/1466.5 mc vpoc, 1460.25 CLVN*

Hypo#1- Spoos open OAIR, rotate higher and gets rejected near 1479.75 CHVN then moves lower targeting ONLO then 1473.75 nvpoc and possibly 1470.25 dbl bottom.

Hypo#2- Spoos open OAIR, rotate lower to nvpoc 1473.75 where buyers step in and auction it higher through the day but do not take out ONHI.

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  #6 (permalink)
Rio de Janeiro, Brazil
 
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Posts: 617 since Jan 2013
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1. Bot 1477.5 LVN on 4 pt move down. Breadth -133, tick -400 and volume subpar. Quality of rotation into this was poor with two 1.25 pt re-traces. Additionally, OSLO at 1479.25 held on second which made me consider taking a short there into LVN. Stopped after 18 min and .5 MF. Breadth decreased to -153 on exit. Context...

2. Sold 1478.75 mid on 3 pt move off lows. Tick +230 and breadth creeping higher to -38. Vpoc below at 1477.5 which could act as magnet. LOD looks pretty solid so that works against me. After 17 minutes its gone 5 ticks in my favor to vpoc to the tick but did not print 1 contract below where I am bid and has now come back to entry. Feeling urge to scratch. Stopped after 54 minutes and 1.25 MF. Breadth improved to +40 on exit.

3. Sold 1484.25 LVN on 2.25 pt move. Breadth +157 and tick +299. Bailed for +2 ticks after 44 min and 0 MA vs 1.5 MF (but no fill). They just would not give me my fill and it came back to entry twice with breadth continuing to make new highs so I bailed. Will try and short higher at nvpoc. Would have been stopped.

Edit: I am unable to post charts until I have 5 posts. So they will be coming soon!

Recap
Spoos opened OAIR above value and after a weak push higher sold off through prior days prominent LVN down to the prior day VAH where supply was shut off. As has been the case lately, a small dip in the morning is bought and then auctioned steadily higher the rest of the day and today was no different. Todays value shifted higher with vpoc moving to pHi and price closing on the high above value indicating market still hasnt reached a point where sellers want to aggressively step in and knock it down. Volume once again very poor at barely over a mill.

I think I made some serious rookie trades today. For example, just after 9am when it appeared OSLO was holding from below I was afraid to sell the 79s because that meant my first scale would have been through the lo and at the 77.5 LVN. But it was the right trade and offered up several scales if I took it. Instead I took the long from 77.5 and was stopped 1 tick off the lo. On my mid short I had the chance to take it off for a scratch but did not because there is always a battle in my head as to whether or not I am being a chicken and need to let the trade play out or if context truly did change making my trade poor. Tomorrow is another day though its quite frustrating as last week tuesday I was just $200 away from being breakeven and since then I've lost $600...

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  #7 (permalink)
Rio de Janeiro, Brazil
 
Experience: Beginner
Platform: SC, S5T
Trading: Es
 
Posts: 617 since Jan 2013
Thanks: 321 given, 589 received

thanks for your reply. i guess i dont understand what you mean by only looking at volume in my zones of interest. could you explain a better way? right now i have my zones of interest laid out pre-market and if there is a rotation into it of 3 pts or greater I take the trade at exactly my price because i dont have the ability to read the market and use judgement to adjust up or down.

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  #8 (permalink)
Mercer Island WA
 
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Profiler View Post
Hello all-
Im starting this thread in hopes of it becoming a collaborative effort to figure out how to make money trading the ES. A little background first: I was a very successful fesx scalper in the past. For 9 years i literally made money virtually every single day including only 1 losing day in 2005. At my peak in 2007 i was trading 6000 contracts a day working only 4 hours a day. I was living the life. I had edge and took it whenever i saw it. Until last year when some new algos took my edge away. Over 3 months my steady profits dwindled to nothing and after losing 8g's the first week of april i just walked away. I stand before you (figuratively speaking) a humbled man/ trader.

3 months ago i started trading spoos. I trade 1 lots, i am down $1300 so far including commish. I use volume profiling/ auction market theory. I have no edge. I understand the theory but as said in daltons books it depends on context. I am contextually blind the majority of each and every day. I am unable to prioritize the most important contextual factors at any given time. The worst part is that i dont know what i dont know. Ive been in various chat rooms and seen what other guys are looking at. I have the exact same charts as them. We are looking at the exact same things and they are crushing it while i am clueless. They are not smarter or better than me. They know how to filter the noise from the signal. They see subtle clues and understand the importance. I WAS the same way.

I know many of you are exactly like me. Lets help each other out and speed up the transition to profits. I will be posting here on a daily basis my nightly homework, my trades that i make and pnl. I will be posting a daily recap of what the market did as it relates to context. If you see me do a trade that was just obviously stupid, reply and tell me why! Im going to do whatever it takes to make money again so if you see me lacking in some way, tell me! This is trading, brutal honesty is required. If i wanted a friend i would get a dog (fyi i have one). Lets do this!

@Profiler,

Welcome to the forum!

As a first point, if you don't have an edge then don't trade live until you do. Plus you are understandably lacking confidence given your recent situation.

It is critical to at least have a solid grasp of the methodology before trading live in my opinion despite your significant trading experience. In addition, I'd suggest you build up your confidence and slow down the learning curve. Some people in your situation have difficulty putting losses behind them and charge in trying to impatiently recoup them. This in most cases ends up with a blown account.

Bear in mind that the ES is an extremely competitive instrument and although you have significant trading experience you will need a clear edge to compete with traders with 20 -30+ years of experience. There is also an increasing presence of algos on the ES as well. Different game with different players.

Go forward position

If you haven't already as a first step I would recommend reading these books by Jim Dalton.

Mind over markets
Markets in profile

Some people mistakenly believe these books are for people who trade with market profile. This is not the case and provides an excellent grounding in auction market theory in my opinion and well suits volume profilers.

Certain aspects of these books will resonate with you and your personality. Try and develop these aspects into a trading methodology that works for you. Practice in a paper trading account. Once you have a clear edge using this methodology, have proven risk management skills and are consistently profitable then trade live. Increase your size as trading metrics are achieved.

This is the approach that at least worked well for me trading futures. Although I'd been aggressively swing trading stocks for 25 years I spent quite a bit of time "retooling" when adding futures to the mix.

Good luck.

DJ

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  #9 (permalink)
Rio de Janeiro, Brazil
 
Experience: Beginner
Platform: SC, S5T
Trading: Es
 
Posts: 617 since Jan 2013
Thanks: 321 given, 589 received

Economic Data: AAPL after the bell

ON Profile: We have a 6.5 pt range so far with the majority of the range/volume occuring inside yesterdays upper distribution. Overall the profile is nicely balanced. Yesterday's hi was taken out by 1.5 pts and rejected at the LVN from 10-17-07. ON lo took out yesterdays VAH by 1 tick.


Closing Swing: 1490-1486

Levels Above: 1486.75 CHVN, 1491.25 LVN (10-17-07), 1498 CLVN, 1501.25 CHVN, 1503 CLVN

Levels Below: 1482.75 CLVN, 1481.5 LVN/1480.75 nvpoc*, 1476.5 mcvpoc, 1473.75 nvpoc, 1469-70.25 gap zone

Hypo#1: Spoos open OAIR, rotate lower to 1481 area to pick up buyers and then auction higher thru the day (continuing the pattern lately).

Hypo#2: Spoos open OAIR, move higher to pHi and find rejection then explore lower, targeting 1480.75 nvpoc first and possibly lower if no buyers found.

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  #10 (permalink)
Legendary Market Wizard
Georgia, US
 
Experience: None
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Thanks: 6,054 given, 14,450 received


Keeping in mind that the cash close is ~ 87 ES, we will likely open AT or just above or just below the prior high. A bit different, IMO, from the typical "OAIR." Keep in mind the dow and NDX are opening very much above their highs..

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