robster970

You're kidding me right? Next you'll be telling me that there is no connection between price and volume. So using your method on ES today, there were three opportunities: 1) 14:36 as price was held on open around the second test around 52/53 area which didn't take off but would have scratched 2) Test lower to about 51 area (corresponding to the low created around yesterday's open under higher volume) which held and then rallied all the way to 58-60 area which has been the 5d high 3) Short from 60 area (5d high) down for at least 5 or possibly 9pts. Nice way of mapping stuff Steve. One piece of feedback - I am currently discretionary and I feel that trade selection and entry benefits significantly from this with the levels being extremely solid guidelines for short and long term institutional participation. That aside, this is excellent work Steve.

Steve - can you post up one more screenshot of ES like the one you did when you first started the thread before you pack up? http://www.traderslaboratory.com/forums/attachments/32/30794d1345825951-steves-basic-system-retail-traders-daily-130-min-daily-distribution.png Understand if you can't be bothered.

I hope you don't mind me asking questions Steve. With regards to this art, I have my own home baked theory on this drift from historic levels. If there is a clear uptrend, buyers/automated execution will come in at a slightly higher price than the previous level. For a downtrend the converse is true, sellers come in at a slightly lower price. This drift might be 1pt or so on ES. The reason for this is that missing a good entry on a trending market is more of a sin than trying to getting a great price, tied to a historic level via limit orders when everybody is piling in with market orders. Basically it is mitigating for missing out on the trade opportunity. For liquidity based levels like NVPOC's and gap closes, the push is further into that level to maximise the cheap liquidity on tap at those levels. Does any of this resonate?

Thanks Steve. Some general questions: 1) The two candidate entry areas around 48.75 and 47.75 - looking back at trend initiation I can see 46.75 is a candidate but outside of the gap close at 49 I can't see how you derived these levels. I am used to trading around levels and understand that they are not static things, affected by volume, etc but I just can't see how you came up with these - is this proprietary to the way you calculate? 2) Are you always looking for a reversal with the exception of the the 2 outer levels that form the high and low set by long term traders which can be played as a breakout? 3) Personally I look for confirmation on T&S and DOM as well as another candle and never just enter on a level. I don't mind trading location for a little more confirmation. Is this because you are referencing DOW and DAX? If they don't confirm, do you miss the trade? Appreciate you posting screenshots up BTW.

So let met get this right Steve using my own levels for ES: I had a marker around 51.75 today as the high for 5d. On open at 14:30GMT (I'm just outside of London) it probed down advertising for buyers to a low of about 1448.50 and buyers responded with 51.50 being cleared by 14:45GMT, closing on 51.75 Had I taken the long at 51.75, I could have ridden it up to about 56 where it was tested twice, giving me the opportunity to exit with 5.25pts. Essentially this strat is looking for whether the probes out of the open when advertising for buyers or sellers to come in, line up with the levels you think the short and long term traders will participate at. These are then framed by reversion to mean, where mean is calculated daily.

Personally, I think you have managed to model something that is very difficult and I understand why it is not MP based. MP is useful in the sense that it tells you where cheap liquidity can be found but in itself it does not adequately represent where value is, nor does it facilitate how value moves over time through the influence of the short and long term participants, Just out of curiosity, I drew on 5 and 10 day mid points, low and high value extremes on the daily chart of ES. Interestingly (well at least for me) from the close of the yesterday's US session I can see how the 5d extreme high was tested in Asian session and I wouldn't be surprised for it to mean revert back to 41 on ES (the 10day midpoint). Ordinarily I would have had this down as just a test of yesterday's session high but it is the creation of the value area between 34 and 41 (using my ham fisted mid point) which lies at the heart of it, ostensibly having something to mean revert to. Anyway Steve, it might not be anywhere near as refined as your distributions but it certainly has shone some light on how to derive a transient value area. Keep up the good work and all the best.

I've got to say Steve that this is very interesting for me with how you are ascertaining value and associated extremes of value to effect mean reversion for both the short and long term participants.

No, no, no! I went long, filled at 34.25 at 14:34 and exited at 14:38GNT at 35.50 for 5 ticks. Your description of what I call exchange and RTH is spot on

I could see from 5min exchange session view that I was buying a pullback as it continues to travel south I have open in addition to T&S/DOM/Fill/Audit/etc: MP (Exchange session). This gives me a sense of where value was in the previous RTH as well as how value developed in Asian and European sessions. 30m (RTH session) - shows me what equity session traded like and I derive VPOC's from this rather than on exchange session 1H (Exchange session). I use this to give me a view of behaviour over the last 15 or so days and I can get a sense of what is going on with bigger players, their profit taking, their adding in, etc 5m (Exchange session) - Tells me how the day is flowing generally 1m (Exchange session) - use it to support what I see going on with T&S/DOM

OK - I'm a one trick pony as they say....... I am essentially looking to trade a reversal which is preceeded by a clean trend, within the first 90mins of US open. I am looking at DOM/T&S for signs of: a) Orderflow drying up/exhausting in the prevailing trend direction or b) Heavy orderflow in the opposite direction coming into play to stop the trend. Usually I am looking for a strong and clean reversal and signs that the reversal is stalling to indicate exit. If the move doesn't take off within the first 60secs or so after entry, then I am looking for ways to scratch the trade or come out with a small loser. It is all discretionary. If reversals are occurring around important levels (ON-H, ON-L, RTH-H, RTH-L, NVPOC's, obvious S/R especially on higher timeframes) then I adjust for what may be larger moves and in trade mgmt style changes

BTW, I hope you don't mind me posting the odd trade up here....

Would have posted this up a little earlier but it was one of those moments where Dr call's my wife at the same time as the parents-in-law turn up at the same time I'm asked to answer the door, etc Nice OS down, advertising for buyers. They seemed to come in cleanly with good signs of them showing up by 14:33GMT. Filled at 34.25. Watched it start to stall at RTH-H at 36. Filled at 35.50 for a nice little finish to the quarter. That's me done for today. Have a good weekend.

Was expecting a little more travel than just hitting yesterday's VPOC, so think that's me done for this week now. Have a good weekend folks.

So context for session for me is: - Opened out of range to upside - Responsive selling pushing price to 58 area for first 20mins of session - Seemed like sellers were running out of steam by 14:45GMT Took a long at 14:52GMT and got filled at 58.75. Moved up 4 ticks but seemed to stall indicating that buyers were weak. Covered with 2 ticks before commissions at 14:56GMT. Can't see much else for me now unless 58 breaks and it travels south.

Steve - I have a question if you don't mind. I can see that you are using non-confirmation across indices to alert you to an opportunity. What I don't fully understand is how you ascertain which index is leading. How do you spot this?

I agree but I do think the converse is true - that once you've got on top of intraday swing/position trading is more obvious. Once you understand the auction, you understand the auction.

Surely that depends on whether the futures market is leading or the cash is leading. I think it's less hard than you make out as the futures market tends to lead more than the cash with thin overnight markets being easier to manipulate. Just my

Me too. I just don't seem to have it in me to just get on the bus and not think about where to bail if it goes wrong. Take last Wednesday - OTD day, opened 88.75, tested down at 86.50 and then bang, it was off. By the time it started to consolidate in Q period (N&P are my IB) at the top of the IB (Initial Balance), you've missed 65% of the move or about 10pts. Where's your 'wrong' then? To cater for a 10pt stop I'd seriously have to scale back the number of contracts I'm trading and then I've got a cr@p r:r for a trade that travelled another 8pts in 7hrs. Until I figure out a way of identifying OD and OTD scenarios (opening out of range is obviously no guarantee) I think I am destined to sit it out. Maybe it's just more screen time that I need. Incidentally, I'm stunned this move up on ES has lasted so long. I'm expecting one last attempt at pushing up and then I might get on the bus down. Looking like the start this week in my opinion. Then again, I am frequently wrong. :haha:

Sorry guys about the acronyms. I have just assumed (wrongly) that people know what I'm banging on about. OD - Open-Drive OTD - Open-Test-Drive ORR - Open-Rejection-Reverse These 3 are all descriptions of how a day can open. OTF - Other timeframe - a participant that's not interested in intraday and typically wants move the price away from it's current value. T&S - Time and Sales - window of orders that have been filled, their size and their price. DOM - Depth of Market or Ladder - order book above below the current bid and above the current ask

I'll keep an eye out for that - nice tip. I've never found anything out there and tbh, I don't think anything would be a substitute for screen time. All my experience is derived from sitting there watching the DOM and T&S. I wish I had a better answer for you

In my experience (which to be fair is quite limited on intraday), getting filled 3-4 ticks from the high/low is entirely possible. The mean is frequently > 4 ticks away from your entry so R:R > 1:1 is pretty much the norm. Also watching T&S is a good filter for seeing whether it is Mean Reverting or not which should increase your win%.

Guys - thanks for the answers so far. @Joshdance - I can see what you mean re: backtesting but tbh, I was looking for feedback from discretionary intraday traders. Personally I have found that with both my swing and now maturing intraday, being able to read what the market is doing 'now' and respond to it accordingly is a far more effective way of trading for me personally. @TheDude - I stayed out yesterday because it just looked like it was going up. As both my 'methods' rely upon identifying weakness creeping in and then taking an entry, you can see why I sat on the sidelines. When I've tried to trade a 1-way market, I find it difficult to get a good entry. The only place that looks vaguely sensible is when it is consolidating at a level, get in there and bail if I've got it wrong really. @BlueHorseshoe - ES reverting to mean - yes, I couldn't agree more. I do find it easier to take trades before the day has any well defined structure to it strangely, mainly because the initial moves are more about advertising for counter-parties to trade with when it doesn't open as a 2-way auction. When the counter-parties arrive, it's pretty obvious (well to me at least). Later on in the day when there is structure, I am always looking for hints of OTF activity in the value area that might make it NOT mean revert and at the moment, I find this more difficult. Guys - don't feel precious about going off topic a bit on the thread - I'm not that anally retentive and any interesting information regarding discretionary intraday, MP and ES is valuable to me.

Was the opening post so dull that it made people's eyes bleed and as punishment, nobody has bothered answering?

Hi folks, Just for some context even though this is my first post on this forum, I've been trading for over 3 years with some success on swing trading ES but I have historically been mediocre intraday. That is, until I started looking at MP and the basic auction theory that underpins it. So I'm having some short-term success right now trading intraday with most of these trades coming from one of two places: 1) Completion of the OS when the day in not an OD or OTD and where the swing is quite long-lived. Basically I can see the buyers/sellers coming into the market quite nicely when the OS is mature and done it's job of advertising for buyers/sellers. 2) Mean Reversion trades typically after the IB has formed but most notably in the first period after IB when the first test of an extreme is occurring. I usually run these to the VPOC/POC but if there appears to be a lot of momentum coming through on T&S then I'll try and run it to the other extreme. This is rare because I tend to exit at the first whiff of resistance once past the POC/VPOC. As I become more attuned to MP, I'll probably see more opportunities reveal themselves but right now, I'm happy with these two areas. My questions are associated with changing market conditions because right now, VIX is at 20, ES is quietly trending upwards but under mediocre volumes. a) Does and increase in VIX typically result in wider IB's as well is implicit higher noise levels to compensate for when placing stops? I ask because this would mean trading fewer contracts but expecting greater movement especially if the IB is wider and reversion to POC/VPOC is a greater distance (basically wider stop but bigger target) b) Do trending markets typically display greater OD/OTD/ORR opening types than bracketed markets because OTF participation is more overt in the direction of the trend? c) Do MR strategies tend to work better in bracketed markets because OTF buyers and sellers are generally agreeing on value? Any experiences of a greater variety of market states appreciated, especially how others alter trade mgmt under different conditions.

“If you don't bet, you can't win. If you lose all your chips, you can't bet.” – Larry Hite