Day Trading the E-mini Futures

[TheNegotiator 13]

Just one more thing...

 

Here's a chart identifying near term support references IF things start to reverse.

 

(if things really don't go well, then 1097/95 will need to be watched(just in case ))

[TheNegotiator 13]

Nothing really changed so far. One way auction but remains in balance.

[TheNegotiator 13]

So what next today?

 

Note:While I was doing the picture, we did just push a little lower.

[joshdance 10]

So what next today?

 

Note:While I was doing the picture, we did just push a little lower.

 

When you said "band tested" you mean the VAH? (i'm assuming that's the little green line on your friday profile)

[TheNegotiator 13]

I meant the band which I highlighted previously was fully tested in the first move. The band corresponded more than anything to a visual inspection of the long term volume profile(green) and it was denoted in the chart by the two thin red lines at 1147.50 and 1132.75.

[TheNegotiator 13]

Okay, so what's happened over the last 3 days? Basically balance has been found between two areas of longer term importance. 1163 and 1118 (ish). The picture attached shows the 3 day balance along with a long term profile which excludes specifically said 3day balance volume data. So quite clearly the volume is trading around the two previous areas and forming a double distribution. So what then? Well, I'll be viewing ES and noting whether it can develop further in these areas and the 3-day balance as a whole. Important areas are fairly clear. As always, must see what happens when it gets to them.

[iwshares 10]

Hi Negotiator

 

I'm finding you analysis method very useful in helping me work on my approach to the markets. I'm wondering, do you only consider technical factors or do you take fundamental data e.g. COT into account.

 

CFTC Commitments of Traders Report - CME (Futures Only)

 

What I find quite interesting is the commercials are essentially balanced long and short with little change since last week, while the non commercials have dropped their longs by 30% from last week and increased their shorts.

 

Any thoughts?

 

 

Thanks

iwshares

[TheNegotiator 13]

Hi IWS,

 

I don't use it myself. I'm not saying you should or shouldn't do so. The question is though, if you want to use it, how would you use it? As a specific trade parameter or would you use it as background information?

[iwshares 10]

Hi IWS,

 

I don't use it myself. I'm not saying you should or shouldn't do so. The question is though, if you want to use it, how would you use it? As a specific trade parameter or would you use it as background information?

 

For position trading I can see the benefits of using COT, as for short term I had the following ideas over my afternoon coffee:

 

As background information you could use it as a "heads-up" on market sentiment for the following week e.g. with a big net short position amongst the non coms, I'd expect we'd hit a support this week, so I'd keep my eye towards the bottom of the daily range to buy support. This would correlate with the 1115 ish support we've seen so far.

 

As for trade parameter, I saw one "buy my expensive guaranteed to make you a million for $495" indicators and from what I could deduce from the grainy screenshot it was a moving average of the commercials/moving average of the non-coms crossover system. This could be incorporated into a system of price of volume to be:

 

IF com>non-com

 

buy daily low

 

OR

 

com<non-com

 

sell daily high

 

or even a divergence filter so gap has to be X before you take a position in either direction

 

With stop losses and profit targets set however you choose.

 

This is assuming that in the e-mini S&P future commercial positions drive price (something I have not tested/researched yet). Of course if the commercials are just buying in preparation for a bounce back up in a 3 months time this wouldn't be very helpful in the here and now of day trading. I'll have a look at this if I get a chance.

 

 

iwshares

[TheNegotiator 13]

I think that's got to be the prerequisite for any application of any method used. It has to be researched and researched thoroughly. Otherwise, it's easy to trick yourself into negative or positive belief about the usefulness of the item in question.

[TheNegotiator 13]

So here's a chart looking at yesterday and the current balance which now spans 4 days.

 

(I think I need to get one of those graphics drawing tablets to annotate these charts!)

 

So yesterday tested the whole range give or take. A note on the charts is that any discrepancy between the profiles right and left is down to the fact the right hand chart is 0.5 points per volume bar.

 

Mechanically I felt it worked nicely yesterday and responded well to points of interest. The VPOC for the 3-day profile was 1140 but had changed to 1138 before that double test you see on the chart(this was also the IB high).

 

For today, I'll be watching those points marked on the right hand chart with particular interest. At this point, we are still in balance until activity and price says otherwise. Lots of news and uncertainty and some eco releases of note fri.

[TheNegotiator 13]

I think we can safely say we have come out of that 4-day balance!! It did react to the 1163 area but really not much. Pretty strong at the moment. 1177.25 then 1189.50/1190.50 up next.

[TheNegotiator 13]

Sorry again for the rubbish annotations!!

 

So the chart below is what we've done so far.

 

1) Pushed on yesterday's high, pulled back then blasted through.

 

I'd say as we were pretty close to the 1163 area it wasn't unexpected that we'd show some strength on a break here.

 

2) Failed to break through 1174.50 high volume and get to low of prior balance area at 1177.50.

 

Considering the manner in which the move was happening, this was a little surprising and longs clearly won't be too happy about it. It was pretty clear at the time that supply was coming in when watching the action though.

 

3) A test of the 1163 area initially showed promise.

 

4) Failure to push on after the 1163 test saw a further flush push lower.

 

5) Currently, ES is holding above yesterday's closing price and developing more in the high volume zone.

 

This may give longs some hope if it can hold and build later on.

 

Edit: We just broke through yesterday's close, so the current low of the day is next up and then the prices marked up on the last chart.

[joshdance 10]

Just to clarify the large profile is a backadjusted continuous contract?

[TheNegotiator 13]

Correct. @ES# for DTN IQFeed.

[TheNegotiator 13]

Here's the chart today.

[TheNegotiator 13]

At this point we are in short term vertical distribution and searching out previous areas. Lots of news coming out. Berkshire to invest 5bil in BAC looks to have just caused a pop. The big G is apparently surrounded by rebels. Tomorrow is clearly an important speech by the big B.

 

Could be some movement. If we really start to motor I'll post another chart.

[TheNegotiator 13]

Pretty similar to yesterday early on here where move up was followed by selling. It's important though not to lose perspective as to where we are and the magnitude of recent moves. Bernanke's speech tomorrow is important and given the swing to higher prices, the selling here could be more to do with taking some risk off the table. But who knows. We'll have to see as always what the market DOES.

[TheNegotiator 13]

Lots of stuff going on today so far!! Given all of the information on offer, at the moment it looks like ES is still being controlled by value around 1163.

 

Any thoughts guys?

[TheNegotiator 13]

Jackson Hole and GDP, rumours, news and fun fun fun! Well maybe. Just realise that there is so much going on that you have to be on your toes and adapt your size accordingly. If you can't do this, maybe sit back and watch the show!

 

Anyway, my chart for the day has a wider view just in case we really move. If not, then short term references I have already mentioned are still valid.

 

Happy trading!

[TheNegotiator 13]

Michigan btw is also thrown into the mix just before Bernanke is due to speak!

[TheNegotiator 13]

I tried to get this chart off quickly but we've moved while I was doing it!! Here's the chart anyway.

 

Basically that high was top of yesterday afternoon move up at around 2:20pm EST. If it takes it out, I'd suggest that we'll attempt 1168,1171 and then 1177.50 and see if er can hold in that previous range above. If not, can we hold above 2-day low 1153??

[TheNegotiator 13]

First off, I hope everyone is fine given the weather over in the US! Friday did show some good strength with volume migrating upwards. Although there wasn't the strength to move to test 1190, we did see a close above the 1174.50 high volume. Given that we are already at 1190 o/n and may be around here on open, I'd like to see what happens in this upper distribution(1184-1207) and if there is any selling early on, can ES hold above Friday high/vpoc? O/n session is very light volume compared to recent activity and given the weather this is not surprising. There are plenty of reasons the markets could move today though so if you are in and trading, as is the routine currently- be on your toes!

 

Here's the chart for anyone who is about:-

Edited August 29, 2011 by TheNegotiator

[sdoma 10]

Markets are quite upbeat. We'll see how the home sales data impacts that positivity.

 

Edit: Not that this affects me all that much, but it's disheartening to see our markets reduced to what we have now. All the "market moving participants" do is watch world governments and trade off of what they think the possibility of aid will be. This recent move downward was due to the discontinuation of QE2 with no mention of QE3, not the shitty economic data we experienced. Now that we're more positive about the possibility of government intervention, bad economic data doesn't dent the markets, even though after a run up like this a bad economic number of this importance should at least create a dip to be bought.

Edited August 29, 2011 by sdoma

[TheNegotiator 13]

The only way is up? Doesn't feel like big players are really pushing this. Just too small a range so far. Not to say that couldn't change later on. Gotta keep an eye on whether or not this turns into a grind up type of day.