roztom

Back then we didn't have volume so time was a proxy for volume the theory being thast the more time spent at price the more business (volume) was done there. The POC was the proxy for high volume (VPOC). Very logical at the time... but not accurate based on today's data... Still a heck of a concept... especially back then.. and it still is today. In addition the concept of auction theory was formalized, I believe it was never put into a specific structure like that previously - I could be wrong. I had formed my own opinion about rotations - mostly around the concepts of the market needing to go where the business was to be transacted (stops) and that was how I saw the market before MP.. Auction theory helped me put those concepts into better context.

Steve: I often scalp the Globex with a few contracts while I'm doing my homework.. It seems very easy the only thing is sometimes it just stops for a while but it is very tradeable especially for a point or 2..

I had a short this morning also pulled 1.25 out also - must have been you & me moving the mkt.. Also was looking for the 69.50 ish..have mlvn there but the single 70.25 was where I scaled 2 tics before...

You know, Delta works pretty good for me... probably over 98%..but from time to time I see these anomolyies (sp?) and I get fooled... When I get confused, I tend to exit... sometimes, like today it means getting off the train just before it leaves the station... :doh: BTW: A long set up pretty nice..There was GBX Support 71.25 down to a Single at 70.25... LOD.RTH..

We're basically talking Buying & Selling, Cumulative, etc.. If the selling is higher than the buying at that time then I consider Delta divergence which I was thinking but on the other side those contracts have to be absorbed..the tip off is price holding...to me the depth of the drop was disconcerting.. If there is an extreme selling in relation to buying - which I think we can agree was being shown at that time...if that selling was being offset with buying - wouldn't that counterbalance the Delta.. I know it can fluctuate..the point is an 8,000 contract drop.. How do you interpret that? Looking for your perspectives..

Guys: I was holding a long which I bailed on when the Delta dropped hard around 10a cst what is your opinion on that? Price stayed in a tight range... I thought it was profit taking also we had hit the GBX high & stopped... Of course we are moving on to my target but that is ok... Every so often the delta goes bonkers...we dropped about 8,000 contracts in about 5 min... of course price was holding up pretty well... SO I was interpreting it as selling coming in and potentially being absorbed but with it dropping it confused me.. Wouldn't you think that if the selling was being offset with buying that the Delta wouldn't have dropped so hard? You guys got any opinions on what was going on there?

I'm still on the older version until it gets out of Beta... been down this path before... distracting... I am looking forward to some of the new features though...

Steve: By any chance do you break your Profiles into 15m chunks? Tx

Steve: I see you have a fixed profit target, possibly for your first scale or are you all in all out? For a while I did a 1:1 R/R with a 1.25 target and then a 2.0 target with the stop B/E on the first after the first target was ticked, not filled.. However, when I was stopped it would really knock the numbers down, especiallly in a chop.. I've gone down that path... On a trending day it was great since it picked up the rotations very well but on other days the chop was the issue... any further ideas on the short targets and trade Mgmt? Tx for posting..

I believe Delta can be a key component to add to try to see what is happening.. The day we are specifically referencing when the VPOC shifted up towards the high end of the range I immediately noted a surge in Delta which I took as buying and price went up possibly a point and then the delta started dropping... and price dropped a bit but stayed in a range... before breaking down... Delta did give indications that the buyers were losing interest but reading it is not black & white.. Other indications (Chart/Congestion) suggested that the upmove could potentially be coming to an end... but our focus is on the VPOC... and volume in general... I do watch Delta closely at key points.. I think we should keep an eye on what it does when VPOC shifts and see if it gives consistent clues..

I get what you are suggesting... Of course the fifteen minute bars are key swing points and stops will cluster under them.. In addition the typical ES range might be 10 pts or so avg depending on the day... If the day is rotational then the risk on the 15m bars would be too large relative to the typical range...potentially.. then the risk reward issue comes in... If we have a trending day then pulling the microscope out makes sense. However then you are changing from a short term swing trader going for 3 - 4 points on rotations to a position type trader.. This requires 2 different strategies to manage targets/exits/risk, etc. I believe you need 2 different money managent/trade management approaches and manage runners different than shorter term rotations... That is what the question is about why has someone selected a specific timeframe to trade in, especially in the day timeframe.. Tx

As the previous example with the Hogs going limit and the stop being triggered and no trade so you are stuck.. Been there...done that... the Flash Crash is obvious so was 9/11, 1987 in S&P, the Hunt Brothers Silver Crash in 80 or 81 sellers only - no bids.. It went limit for several days, or a week or longer - you were screwed.. etc... I don't remember but it scared the #%&* out of me.. when I watched it first hand and saw the margin calls and the debits.. it was carnage.. IMHO the depth of market is very important yet you must be adequately capitalized since if you do this long enough it is only a matter of time before the probabilities catch up with you...

Tx..A very good summary of the issue... the variables are exponential... and with so many variables most of us probably cannot accomodate them so some may want an overall approach or discipline that accomodates what we know we don't know. I suspect some of you are comfortable being discretionary with your exits but then it is random, imho. I am not a mechanical trader but I do have a process I follow which is "systematic." I am trying to create a more systematic exit strategy but I am not satisfied so far...they just leave too much on the table. I trade ES and if I get a 6 pt move I can easily leave 2 pts on the table and considering my entery might be 1pt off the beginning of the move that is at least 50% missed not including costs...that is the issue... Maybe this revolves around short-term volatility trading vs longer-term interday trading... Exit strategies are different for both..

I woke up at 5:30am thinking about another way to help you visualize this... If you look at several of the posted charts, and don't let them look too complex to you, remember when you saw your first bar or candle chart?) :doh: There are 2 axis. 1. .Vertical price movement and volume on that movement... we usually look at that bar direction vertically and the volume bar will tell us what kind demand took place there. 2.In the VP the volume is horizontal..it shows volume at each price on the horizontal axis... this is the primary difference from the volume point of view and that information can allow you to see inside the bars as to what activity took place at each price as the market traverses the range and volume is transacted at the various prices. As the day develops you will see where there is high volume - the highest volume as the day is developing will be at the DVPOC and then you will see prices with very little volume.. The prices with low volume are the ones where there was competition or demand... price drove away from there quickly and when and where that happens is very important market generated information... While MP and VP have their own language and there are a number of components to it.. I specifically focus primarily on this primary aspect of it. Many others use it differently. But for me it is essential information.. a good tool to have in the box... When I see volume and price aligns with other market structure or indicators, it gives me high confidence to initiate or liquidate positions at these key levels... Remember: It is the participants who create the volume in the market... the ones who move the market are not us but the big $.. The VP allows you to see their activity and where they thought price was important. The idea is to try to recognize their activity and to better align with it.. VP can help you do it.. and VPOC's High Volume and Low Volume Price areas give us very valuable, actionable information..

Steve: All true... While there may be no real hard & fast answer to this - which is why I started this thread to see what others have concluded... there is always a question: What are the criteria to exit a trade and book profits... In my plan I trade with targets which come in at different levels..I, of course, do not know if we will get there or not... In addition I do not know if a counter-rotation is just that or the beginning of a trend reversal... Since counter-rotations are part of the market and we typically don't know their depth that presents a conundrum.. In my case I know where we "could" rotate to and often add to a position - the issue is will the market get there.. I don't know... If it takes that key area out then the trend may be changing but then open trade profit has vaporized. Do I scale up above and look for a rotation and risk losing good trade location, etc. I think the plan must accomodate profits first...the risk of scaling and missing more is probably better than risking open trade profits.. targets don't have to be hit or will not be hit during my trade.. I understand this Exit Criteria can seem nebulous and is specific to each individual which is what begets the question since we all must address it in some fashion and sometimes the answer can be laid off on a structure whether a Swing H/L, break of a channel, MAvg, Trail Stop or just a reversal signal.. If we hold through the day which many of us do then we do have to address this unless we are not shooting for longer plays and then we are trading momentum... a different structure.

Mill: To a certain extent I have a similar setup.. My high timeframe is a 15m and that is only so I don't lose the larger picture and then I drop down to range bars... 1.25 and 0.5 for Trigger and Entry.. I also overlay larger TF BB's on the shorter Entry TF. I think the need to go to a lower timeframe is to attempt to increase accuracy or precision and potentially also to reduce risk... That may be the psycological aspect... I know that if I enter a trade (ES) and I could have gotten in .75 pt better if I was more precise or didn't wait to see a little better movement in my direction then I always think I should go to a lower timeframe... but that creates it's own problems.. It is IMHO a conflict between the need for precision and the need for a winning trade... I suspect the winning trade is more probable with a slightly higher timeframe than with the micro TF with a lot of noise.. I have that issue myself and have accepted that this is not about surgical precision but good trade location within specific risk parameters - of course it doesn't take away the satisfaction of a well timed precise entry - just I have not prioritized it over the overall outcome.. Thanks for the post..

Question For Those with Target Exits.. Do any of you use ATR to adjust your targets dynamically based on market volatility as it relates to your timeframe? Tx

Josh's comment above triggered something I want to share with you. I do not disagree with Josh's trifecta... I am focusing on VP and VPOC so as not to mix too many things.. I want to add that this discussion about volume at price is derivative of VPOC... One of the advantages I take away from VP is the understanding of what volume at specific price "might" mean. Ex... I believe we expect high volume on a bar to give us signifigent information..it is relevant but what will help you more? Knowing that there was high volume over a given amount of time or range, etc. gives us information..how can we use it for trading decisions? Consider this..when that high volume took place suppose there was one price in that period that had very little volume - why is that important? We expect high volume to be demand if the market is moving up - it is in the aggregate but in VP the low volume price is the price where demand overwhealmed supply and price didn't do much business there..it skipped higher...that low volume area is an area where demand was aggressive and if price should return to that area then those who perceived it as a good buy location earlier have a high probability of coming for it again... and supporting the market there.. That is one of the primary advantages of VP - volume at price and understanding the behavior that creates it... Just like the VPOC specific behavior is taking place there..

No debate: Volume at price tells me more, on a micro level, which is where I initiate trades, than number of contracts traded overall in hindsight. Since I cannot tell what the future volume will be in any timeframe the volume at price is one of the criteria that tells me what actually happened and what kind of activity might have taken place there.. This is how I identify locations for entry on countertrend rotations and they are very accurate..usually within several ES ticks. I do not believe that can be done on a volume bar since price is not the main component but time, range or volume - not price which is what we are discussing - volume and specific price points and tying it back to VPOC..- price & volume... IMHO..

While this is a descretionary process how would you define it.. If it takes out a Swing Low for example do you exit? Do you pull a trailing stop up behind at those areas? Usually there is a lot of distance between the current market and a swing extreme... Is there a better way to keep more of the open trade $ without giving them back? If you think about the typical distance between swing high to swing low in most markets the price difference can be signifigent - especially for the daytrader - which most of us are... Have you found any tools to help you keep more of your open trade profits? Thanks for contributing

When we discuss VPOC: VOlume Point of Control.. They give us a number of very important pieces of information... Now just so you know there is always debate around what anything means in the market so I am going to give you what I believe is accurate. I do not claim to be an expert but I first learned about Market Profile in the early 1980's.. and in the more recent years Volume Profile which is an evolved Market Profile - adding Volume at Price vs regualr MP which is Time Based. The element here of interest is the VPOC..when it is moving during the current market development it is called a DVPOC, Developing Volume Point of Control.. It represents the high volume area at that point in time and will shift as the high volume area moves with the market... it is dynamic. What does it represent? High Volume and some would say where Buyers and Sellers perceive value equally - so price will churn there or return there as buyers and sellers exchange contracts... I perceive it as price acceptance at that point in time at that price... Sellers are in balance with buyers... However, who is getting the upper hand? Can we see that with Delta? Will price move out of that area as one side is exhausted - like a tug of war... Sometimes a DVPOC in an up market will shift up near the high end of the range..it can suggest several possibilities: 1. The sellers are absorbing the buying and buying is being shut off and the market cannot move higher at that time and will either rotate lower enticing more buyers or the buyers will be done and the sellers will dominate at that time = potential directional change/trend change or rotation counter to the current trend. Remember the market is an auction.. so if the VPOC shifts higher and the market cannot push up from there then you can interpret that buyers were met by sellers and then the market will move lower to seek new buyers who perceive an advantageous price(a sale) or the buyers have been exhausted... OR 2. The buyers may overwhealm the sellers and after the selling is absorbed & move higher. 3. Other times if the market opens lower and there is large volume near the low and it lifts off from there and has range extebsion up then there was strong buying at that low point. Why should you care? Volume at price is an alert of activity... The abilitiy to measure volume at price is signifigent and means so much more than volume on a bar... After all what prices are important? Why is one price print more important market generated information than the other? Volume Profiles reveal a lot of information as to what is going on "inside" the bars. It is the only way I know of to see inside. While there is Market Delta Footprint Charts IMHO they are too complicated at least for me to integrate into my process. The VPOC is a very important tool to read market generated information..hopefully we can explore it's uses here and help you see if it might be a good tool to integrate into your process. Without going too far too fast..Volume over mutiple timeframes is important also... Right now we are basically discussing the interday timeframe but it is a generic concept... Daily, weekly, monthly, yearly, etc Also. Naked (unclosed) VPOC's are targets.. we will probably get into that later after we can discuss the behavior of DVPOC's. Thanks everyone for your participation... Josh did mention a book by Dalton: Mind Over Markets.. it is a good basic read on the concepts but certainly not A-Z....

Josh: Certianly agree not to give a blow by blow trade call-out. This thread was started on the Emini forum so we moved some of it over here as foundation..

Anything you have that you have used - "good or bad" would be most appreciated... Thanks for participating..

Could you give us some examples so we can draw a refernce from it.. The "line in the sand" is really the question and if there are some methodologies that you might site that can help give us some direction. Thanks for participating..