Trading Momentum Moves Intraday

[BlowFish 10]

Is thee a decent Cumulative Delta indicator for Tradestation? I guess any of them would have to use Upticks/Downticks and might not reflect as accurately as the ones being shown here?

 

You can use insidebid and insideask reserved words, though these look at data asynchronously so there is a potential race condition. You can find that discussed in various places on the site. The volume splitter thread springs to mind (there is also some code I posted there too).

 

A superior way to do things is to have bid last and ask plotting on a chart and use data1 data2 and data3 to get at them. I have not tested how robust TS is internally processing multiple data streams but I can say Multicharts has some 'wrinkles'.

[FulcrumTrader 10]

Fulcrum,

 

Have you tried your setups with currencies? I've been trading the Euro a lot lately so I look at cumulative delta with the Euro and it seems that price & CD are more independent than with other markets. If you have an example with Euro I'd love to see it.

 

Thanks

Yes, the Momentum trade set ups are the exact same for me in CME FX products. The best Momentum currencies moves I find are still as the CD of volume is in alignment with the CD of the uptick/downtick of trades (resistance to the market order driven order flow). When market order driven order flow has minimal resistance in the order book, price moves run really well (and the currencies have had excellent moves all over the place day after day). Heck, I even trade the spot market now with my Momentum trade set ups. For spot I just use the CD of the uptick/downtick of trades (with no CD of volume info) as my mechanism to track the trade rate activity......works perfect in spot.

 

Here is a CME FX example of recent Momentum set ups....

[FulcrumTrader 10]

Yes talking about Euro futures. I'm thinking maybe all the arbitrage that has to go one would skew the delta. Sometimes it seems euro can go up for hours while delta is going down.

Correct, there are different CD of Volume patterns that I look for in the CME FX products as compared to all other futures instruments (for my standard supply and demand event based trading). For my Momentum signals trading, the trade set up criteria is the same as all other futures instruments.

 

Since the CME FX products are a side game off the bigger spot market game, this does affect the type of larger liquidity participants activity in futures. I still track unique CD of Volume patterns in the CME FX products though, so there is still good actionable supply & demand based trade set ups available.

[FulcrumTrader 10]

Is thee a decent Cumulative Delta indicator for Tradestation? I guess any of them would have to use Upticks/Downticks and might not reflect as accurately as the ones being shown here?

TS currently is not set up properly (data format) to track the CD of Volume. They are working to change their entire data feed structure to have CD of Volume availble at some point in the future (from what I have been told).....so we will see.

 

I will believe this when I see it live (for 30 days.....LOL!!!) I sure hope they build up the capability to have CD of Volume available.....that would be nice!

[FulcrumTrader 10]

We still have very solid Momentum trades setting up each day in the currencies. These Momentum moves have been very active each day and I have been working the "6E" frequently the past weeks. Here was a few examples from today;

 

[FulcrumTrader 10]

Here was a live TF Momentum trade example from the other day as an ES supply and demand event was playing out;

 

[cunparis 10]

We still have very solid Momentum trades setting up each day in the currencies. These Momentum moves have been very active each day and I have been working the "6E" frequently the past weeks. Here was a few examples from today;

 

YouTube - Momentum Trading in the Euro "6E" CME FX Contract

 

Fulcrum,

 

This looks very cool thank you for sharing. I've looked at CD divergences in the past but the problem I had was I always saw them real time and then poof! they'd disappear. I find it easy to see them in hindsight but very difficult realtime due to the false alarms. I like how you're adding the momentum concept to it as that can help qualify it real time.

 

I have two questions for you:

 

1 - how are you choosing your stop? Is it just an arbitrary 7 ticks for euro? or are you putting it beyond the entry bar's low?

 

2 - how do you use the bottom panel? It doesn't seem to be a factor in this trade but in your previous trade you did mention it.

[cunparis 10]

Here was a live TF Momentum trade example from the other day as an ES supply and demand event was playing out;

 

 

 

Great video. I really like how you show your DOM because in my opinion a trader's edge comes from trade management and your commentary is very helpful. After a lot of messing around with multiple targets and scaling in and out, I have come to the same conclusion you apparently have in that a single target with a favorable reward/risk ratio and trailing the stop is the way to go. I know sometimes you use an extended target too but for me that's the next step after getting profitable on the first.

 

I'm curious why you trade TF instead of ES? TF didn't have the supply & demand event. Are you trading it just because it moves more?? I've found in my own trading that it's hard to get a good R:R with ES. Trading the TF off ES setups may be an answer.

 

So you're watching ES & Euro for the setup and then trading TF & Euro? Any other markets? How many trades do you get per day on average?

 

Thanks again for sharing. I really like where you're taking this.

[FulcrumTrader 10]

Fulcrum,

 

This looks very cool thank you for sharing. I've looked at CD divergences in the past but the problem I had was I always saw them real time and then poof! they'd disappear. I find it easy to see them in hindsight but very difficult real time due to the false alarms. I like how you're adding the momentum concept to it as that can help qualify it real time.

 

I have two questions for you:

 

1 - how are you choosing your stop? Is it just an arbitrary 7 ticks for euro? or are you putting it beyond the entry bar's low?

 

2 - how do you use the bottom panel? It doesn't seem to be a factor in this trade but in your previous trade you did mention it.

 

Delta Divergences play out many ways so there is some real time behavioral tendencies to track for. Entering Momentum trades, after the supply & demand event has already responded, can be a more comfortable trade as a trader looks for confirmation.

 

In the currencies, I like to have stops in the 7 to 10 tick range as I do pay attention to the recent closed signal bar range. I never use stops less than 7 ticks and never more than 10 ticks. Also, I do look at where the 3:1 profit target would be placed in relation to recent price action pivots/areas of resting held inventory. A trader can dumb down the whole process too.....use 8 tick stop on every trade with a 24 tick target (for at least 2/3'rds of the position).

 

I use the lower subgraph at the moment I enter the trade for confirmation. This is set up to confirm a lack of resistance in the order book to the market order driven order flow. I want to make sure as I am about to enter trade, that order book activities are not challenging the market orders hitting the order book (leading right up to trade entry). The best real time Momentum is built from strong market order driven order flow hitting the order book into minimal resistance.

Edited October 16, 2010 by FulcrumTrader

[FulcrumTrader 10]

Great video. I really like how you show your DOM because in my opinion a trader's edge comes from trade management and your commentary is very helpful. After a lot of messing around with multiple targets and scaling in and out, I have come to the same conclusion you apparently have in that a single target with a favorable reward/risk ratio and trailing the stop is the way to go. I know sometimes you use an extended target too but for me that's the next step after getting profitable on the first.

 

I'm curious why you trade TF instead of ES? TF didn't have the supply & demand event. Are you trading it just because it moves more?? I've found in my own trading that it's hard to get a good R:R with ES. Trading the TF off ES setups may be an answer.

 

So you're watching ES & Euro for the setup and then trading TF & Euro? Any other markets? How many trades do you get per day on average?

 

Thanks again for sharing. I really like where you're taking this.

 

I usually trade the TF when I see ES supply and demand events take place that I continuously track for. I find the TF has a bit more bang for the buck with catching the Momentum that will build in a market out of certain events. On the other hand, the TF does bounce around more so some days that can work against you on a few trades. Overall, the 3:1 risk to reward money management is a critical component to trading these set ups. Entering trades into Momentum should be done with some expectation of catching price/volume action that frequently has follow through.

 

I do trade Momentum set ups in a wide range of instruments (ES, TF, YM, CL, DAX, ZB, 6E, 6B, 6C, etc). I would say most all typical futures instruments are workable for Momentum trades.

[cunparis 10]

trades, after the supply & demand event has already responded, can be a more comfortable trade as a trader looks for confirmation.

 

How far back do you go to look for the divergence? This is my biggest challenge with this. I look back one swing pivot, no divergence, I go back a few more and find a divergence, but if I go back a few more than that I find a hidden divergence. It seems that one can always find a divergence if they look back far enough. Any thoughts on this?

 

I had studied this on a few days and then looked to try it realtime and was totally confused. these things look such much more clear in hindsight. I'm sure this takes a lot of practice to do it realtime. The euro was particularly tricky yesterday. I could see there was divergence but price kept on diverging not even caring. I've always been a little bit suspicious of the euro futures because of the strong arbitration required to keep them inline with spot. This arbitration doesn't care if there are divergences, it just keeps buying (or selling) until the two markets are inline.

[FulcrumTrader 10]

How far back do you go to look for the divergence? This is my biggest challenge with this. I look back one swing pivot, no divergence, I go back a few more and find a divergence, but if I go back a few more than that I find a hidden divergence. It seems that one can always find a divergence if they look back far enough. Any thoughts on this?

 

I had studied this on a few days and then looked to try it realtime and was totally confused. these things look such much more clear in hindsight. I'm sure this takes a lot of practice to do it realtime. The euro was particularly tricky yesterday. I could see there was divergence but price kept on diverging not even caring. I've always been a little bit suspicious of the euro futures because of the strong arbitration required to keep them inline with spot. This arbitration doesn't care if there are divergences, it just keeps buying (or selling) until the two markets are inline.

The Cumulative Delta Volume distribution patterns in CME FX instruments are different than most other futures instruments. Now the good thing is, the CME FX instruments though still have patterns that can be utilized imo. There are actually very significant supply and demand shifts that take place in the currencies which can be pretty easy to spot once you know what you are looking at.

 

If a trader understands how to use the Delta information there is a proper way to track the Cumulative Delta Distributions real time. Tracking the on going changes to the distribution is what I do to know when divergences present themselves. There are times I track very short term developed divergences (regular or hidden) and there are times that I am tracking very significant (and obvious) longer term divergences (regular or hidden). As I see these divergences develop real time, then I use my experience and rules for these divergences to look for actionable trade entry set ups.

 

Here were some divergences in the ES at the end part of the week. I myself tend to work trades off the more significant divergences since that is where the best supply and demand energy can be found.

 

Images | ChartHub.com

 

Images | ChartHub.com

[MiniFlowTrader 10]

How far back do you go to look for the divergence? This is my biggest challenge with this. I look back one swing pivot, no divergence, I go back a few more and find a divergence, but if I go back a few more than that I find a hidden divergence. It seems that one can always find a divergence if they look back far enough. Any thoughts on this?

 

I had studied this on a few days and then looked to try it realtime and was totally confused. these things look such much more clear in hindsight. I'm sure this takes a lot of practice to do it realtime. The euro was particularly tricky yesterday. I could see there was divergence but price kept on diverging not even caring. I've always been a little bit suspicious of the euro futures because of the strong arbitration required to keep them inline with spot. This arbitration doesn't care if there are divergences, it just keeps buying (or selling) until the two markets are inline.

 

When I backtested - I found that values that were older then 5 days could usually be ignored.

[FulcrumTrader 10]

There are Delta Volume Distributions in many futures instruments that hold critical levels for 10 to 20 trading days. What matters most is the overall action of the market you are tracking....is the instrument in a multi-week trend or a multi-week range. I have even traded ES levels holding inventory that were developed over 20 trading days prior.....so there is no absolutes here imo.

[FulcrumTrader 10]

I was working DAX trading tonight for the gap fill play to Friday's closing price area. I had LONG entry set ups after a decent supply & demand event......DAX traded through for gap fill.

 

[ame=http://www.youtube.com/watch?v=7ipfh4nOPPo]YouTube - DAX Momentum Trades After Supply & Demand Event (HD)[/ame]

 

 

*** Heads up to Cumulative Delta based traders - traders from my group will all be out in Vegas the 17th to 20th of November this year. We are having a Cumulative Delta based traders gathering to look at some Transaction Level Analysis ideas collectively (these are the same dates the Las Vegas Online Trade Expo is going on at Caesars Palace). Those interested in Cumulative Delta and related work will be working together in one of my homes to see what tools we can create for better analysis or automation. We will be looking into several specific areas of interest;

 

CD Volume to Total Volume Ratios

 

CD Momentum

 

Trade Intensity

 

CDVWAP Indicators

 

Order Book Delta Indicators

 

We have a good diverse group that will be looking into all these subjects to see what good ideas we can generate as a focused group (programmers and traders will be out in Vegas for this gathering). And of course as a group in the evenings we will be out counting cards as a combined Blackjack hit team to make millions........JK.......LOL! Any of you Cumulative Delta junkies want to meet up one night in Vegas during these dates in November just let me know......we have several scheduled fun times set up in the evenings we can all meet somewhere!

[ETFTrader 10]

i caught big 6E short set up you showed me the other day and I am flat today.

 

saw you have something for today from fulcrumtrader facebook page. will you show more examples of currency trades with momentum?

[FulcrumTrader 10]

i caught big 6E short set up you showed me the other day and I am flat today.

 

saw you have something for today from fulcrumtrader facebook page. will you show more examples of currency trades with momentum?

Yes indeed, I did show various set ups in the "6E" at today's informational webinar and I will have another informational webinar Thursday so check it out. BTW, I hit two trades in the 6E after the key supply & demand event taking place in the Euro I was telling you about at the time. First trade out at b/e and second trade caught the big move.....added a screen shot of the entry set ups for you.

[cunparis 10]

Yes indeed, I did show various set ups in the "6E" at today's informational webinar and I will have another informational webinar Thursday so check it out. BTW, I hit two trades in the 6E after the key supply & demand event taking place in the Euro I was telling you about at the time. First trade out at b/e and second trade caught the big move.....added a screen shot of the entry set ups for you.

 

I couldn't attend the webinar last night cause it was too late here in Europe. Was it recorded? If so I'd like to watch it.

[FulcrumTrader 10]

I couldn't attend the webinar last night cause it was too late here in Europe. Was it recorded? If so I'd like to watch it.

 

Yes it was recorder, so once downloaded to site I will get you the link. BTW, tomorrow I will cover same information again at 3:30 pm US central time informational webinar.

[cunparis 10]

Yes it was recorder, so once downloaded to site I will get you the link. BTW, tomorrow I will cover same information again at 3:30 pm US central time informational webinar.

 

Would love to attend live but my wife would not be happy with you. Recording is great though I can listen to it another time. Thanks.

[FulcrumTrader 10]

I will give you the recorded session from the Market Perspective link in the Topic section from my site by PM. I will be going through the same information again today for an informational webinar showing how to use the Cumulative Delta in Momentum Trading at 3:30 pm US central time.

Edited October 21, 2010 by FulcrumTrader

[FulcrumTrader 10]

Here was an Live Market informational webinar I did showing some Momentum Signals set ups while discussing the use of Cumulative Delta.......

 

Market Perspective | FulcrumTrader

[FulcrumTrader 10]

The Las Vegas Online Trade Expo kicks off today......... The Traders Expo Las Vegas

 

The FulcrumTrader Group has a get together of Momentum/Cumulative Delta Volume based traders that will be out at my place in Vegas the 18th to 20th of November. We will have an informal get together for any traders that want to show up and "talk shop" at Caesars Palace Wednesday night at 7:00 pm (come join us tonight at the SHADOW BAR in Caesars Palace..... Caesars Nightlife Shadow a Bar at Caesars Palace ).

 

If anyone wants to get a hold of me with questions contact my email here for get together details: info@fulcrumtrader.com

[bomberone1 10]

FUlcrumTraderr is it possible by multicharts use your trading method?

[idetsc 10]

FulcrumTrader,

 

thank you for your informational videos and posts. Maybe I have overlooked the answer to my question so hopefully you can appreciate this.

 

I believe you use the regular BidAsk CD, but I've seen also UpDownTick and UpDownTick with continuation mode which means for the latter, that the following volume, after the initial UpDownTick, is assigned to the side of the last direction. If the last direction was up then all the following volume at this current price will be assigned to the ask and vice versa. If am not mistaken.

 

Occasionally I see aggressive up moves with confirmatory CD (BidAsk) and then the price pause a little bit in a range, but the CD (UpDownTick) makes a quite meaningful down move comparatively to the price move.

 

I thought maybe 'professionals' are buying warily the downticks in this consolidation range (accumulating) after the up move and then selling (distributing) into the next up move without great influence. After having accumulated circa 90% or so, they lift the offer and buy the last portion aggressively to revive the up move to lure out the 'amateurs' until they can't resist and buy into higher prices.

 

Hopefully you noticed this too and could also give some of your interpretation for this 'unverified supposition' I would say.

 

Thank you again very much!