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Trading ES with Depth of Market
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Trading ES with Depth of Market

  #31 (permalink)
Elite Member
London/UK
 
Futures Experience: Intermediate
Platform: NinjaTrader
Broker/Data: Optimus/Rithmic
Favorite Futures: ES, 6E, FESX
 
Posts: 104 since Jun 2012
Thanks: 76 given, 154 received

analazying results

Yesterday I looked through my Combine trades so far and thought some adjustments are necessary. Like with many other things in trading, losses/mistakes/problems can actually create an opportunity for improvement.

It is clear that my Range Breakout trades are not performing that well. During testing in July this setup showed some promising results. But 20 trades cannot prepare you for all the variability of situations in the market. Hence, I need to use current Combine experience to either decide if the "setup" is tradable and requires adjustments or should be abandoned completely.

I will go with the first option as I can see context-wise some trades are better than other. The reason I got into testing this setup originally was a high number of days with horizontal, fairly tight ranges in July. I spotted how successful breakouts looked like back then and just tried to replicate the same trade in current environment. Although I should have given it more thought. Looking back at my Combine trades I can see that many of them were taken when market was already channeling in one direction, as opposed to accumulating positions of range-traders. That's why I need to focus on the way the range is developed and only look for momentum breakout if market is going sideways.

That's where I see the difference between trading your analysis and trading your understanding of the market. I don't look for patterns or signals, but follow the same logic I apply to everything in my trading: determine traders' possible positions and wait for a moment when they start bailing out. I acknowledge that I may still have negative results trading breakouts, but at least I have confidence to invest more time in this idea.


Last edited by isla; September 5th, 2014 at 06:32 AM.
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  #32 (permalink)
Elite Member
London/UK
 
Futures Experience: Intermediate
Platform: NinjaTrader
Broker/Data: Optimus/Rithmic
Favorite Futures: ES, 6E, FESX
 
Posts: 104 since Jun 2012
Thanks: 76 given, 154 received

Day13

Not much today:

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Management: around 6k contracts traded at 1990 so I scaled out first part; we popped up a couple of ticks and I thought 1990 may be a minor support now so put my bid at 1990.25 for the second part.

Will be away next week. Hope I won't miss all the good stuff. Good luck everyone!

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  #33 (permalink)
Trading Apprentice
Chicago + IL/USA
 
Futures Experience: Beginner
Platform: CTS
Favorite Futures: ES
 
Posts: 20 since Sep 2014
Thanks: 5 given, 12 received


I uploaded a video sometime back. DOM trading on demo account.


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The following user says Thank You to jamesico for this post:
 
  #34 (permalink)
Elite Member
London/UK
 
Futures Experience: Intermediate
Platform: NinjaTrader
Broker/Data: Optimus/Rithmic
Favorite Futures: ES, 6E, FESX
 
Posts: 104 since Jun 2012
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jamesico View Post
I uploaded a video sometime back. DOM trading on demo account.

Hello jamesico,

Thanks for your post. What was the reason for the trade? Do you actually use some algorithm for entries?

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  #35 (permalink)
Elite Member
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Futures Experience: Intermediate
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Broker/Data: Optimus/Rithmic
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Day14

Close, but not close enough. Was bidding for 4t on the first trade and for 6t on the second but ES only moved 3t (on first attempt; some aggressive buying so scratched) and 5t respectively.

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Trade1: range trade

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Trade2: front-running range breakout

Trade3: SIM, please ignore

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  #36 (permalink)
Elite Member
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Futures Experience: Intermediate
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Day15

Trades today:

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Trade1: front-running a breakout. We formed a range between 1977.50 and high of the day, with high volume (poc) in the middle. I tried to depict how this range developed. As you can see ES didn't manage to push through high volume levels on correction off the highs. I got in when I saw a block sell order absorbed on the bid:

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Trade2: volume cluster break. Volume at 82.25 as support straight after larger range break on a trend from the open day.

Trade3: got it a bit wrong. Looked like buying momentum was healthy so got in on a 1point pullback. But I guess high volume at 1988.25 was a problem.

Trade4: similar to Trade3. Better momentum.

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  #37 (permalink)
Market Wizard
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That was amazing yesterday how they held onto that 77.75 level - did you see how much effort went into trying to push down through it?

When it did break through, sellers just could not hold it. Amazing how much buying pressure there is here.

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  #38 (permalink)
Elite Member
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Futures Experience: Intermediate
Platform: NinjaTrader
Broker/Data: Optimus/Rithmic
Favorite Futures: ES, 6E, FESX
 
Posts: 104 since Jun 2012
Thanks: 76 given, 154 received

Hi Pete!

Yeah, there definitely was buying absorption with cumulative delta moving down quite a bit. I guess that's why the push up was so strong. Many traders who were selling that range needed to get out.

I mainly focus on smaller setups but recently started testing some bigger picture ideas. I was short (paper trade) in 79.50 area as sellers stepped in at second POC of the day (first one was around 78.25). Your observation about the lack of follow through on 77.75 break would have been useful for managing that trade. There was also support from yesterday's Value area high.

Thanks for checking my journal.

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  #39 (permalink)
Elite Member
London/UK
 
Futures Experience: Intermediate
Platform: NinjaTrader
Broker/Data: Optimus/Rithmic
Favorite Futures: ES, 6E, FESX
 
Posts: 104 since Jun 2012
Thanks: 76 given, 154 received

Day16

A bit of an emotional day. Could be expected with FOMC tonight. Another mouse gone. Good thing I had a spare one this time. Learning from mistakes

Realistically, there was one tricky moment today, when on Trade2 I decided my worst case would be 1t profit (I was 2t onside at that point). But ES "skipped" my price and I was too hesitant/slow to bid for a scratch. So 3 trades with 0t heat, but lost 2t:

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  #40 (permalink)
Elite Member
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Futures Experience: Intermediate
Platform: NinjaTrader
Broker/Data: Optimus/Rithmic
Favorite Futures: ES, 6E, FESX
 
Posts: 104 since Jun 2012
Thanks: 76 given, 154 received

Day17


One trade today. Good selling momentum, but hesitated a bit initially as thickness of volumes in the DOM wasn't clear.

Got an optimistic SIM fill on my target (only a couple of hundred lots traded). Would have exited for 1t/scratch on a bounce:

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