Day Trading the E-mini Futures

[joshdance 10]

I have posted many times that "I know I don't know." That has liberated me from needing to be right.. I don't need to be right but I do need to know where I should be anticipating OTF activity based on Context and the integration of the tools that help me detect it.

 

After that discipline, execution, money management..

 

I want all of us to succeed... since there is really no reason we can't..other than ourselves..

 

Great post Tom, thanks for that.

 

One of my largest challenges is to let go of needing to be right before taking a trade. I wrote a little narrative that I am reading every morning that reminds me that I am simply an educated guesser. Anyone who thinks they "know" has not checked his or her ego. There are plenty of people who think they control the markets on this forum, but they will sooner or later be humbled. A guess is all we have, based on some evidence we feel that will give us a higher probability at that moment of guessing correctly.

 

I suppose I agree with "anticipating OTF activity" but again, I don't know if it's so much about anticipating it, but recognizing it when you see it. I mean, let's be honest: how many OTF sized traders are looking at a volume profile and see an obscure CLVN from 2007? Probably none. But you had your map, and you recognized the activity changing there, and took your long yesterday. I didn't have that profile, but I recognized the change in order flow and sentiment there (did not get a fill on my order though), and saw basically what you did. Could it have kept going down yesterday? Without a doubt, yes. But, in this case we guessed right, and you profited from it. Edit: Interestingly, I pulled up a twitter stream of a VERY well known (you know who) volume profile trader, and around 1pm he was saying that sellers still were in control. Apparently even good traders who use VP must be aware of the market's order flow and sentiment--perhaps in this case he focused too much on the profile, and not what the market was doing at that time?

 

"No reason we can't succeed" -- I'll drink to that my friend. Good trading to you today.

[roztom 10]

Agree on OTF using MP..they are way beyond that but they do perceive value at certain levels and do act together which creates changes in value/vertical movement & the nodes..that is why IMHO the concept of VP works whether Macro or Micro.

 

Good trading,

 

Tom

[joshdance 10]

The order flow has selloff written all over it IMO, but first we must break into yesterday's range .. will post more later on observations but that's my quick glance at it

 

edit: 9:45am, bids held strong at 46.25, bulls ready to make a run? let's see here what happens

Edited February 9, 2012 by joshdance

[roztom 10]

Why would I be short?

 

How about: CLVN 1352.50 hit.. main target..

 

15min Reversal bar off it with good Selling Delta... Indicating OTF Selling..

 

Where "could" the market have stopped on the Open Rotation?

 

The high of the 15min retracement@ 1350.00 - 1 ticked it...

 

That's the area to short..

 

Where would you scale NVPOC 1346.50..

 

Would you stay short?

 

Where would you be wrong? Probably 2 ticks above Open at top of Opening Range & Current MP/VP HVN 49.50

 

Potential continuation to yesterdays midpoint 42.50 & VAL... or none of the above...

 

Make Sense?

 

Regards,

 

Tom

[roztom 10]

The order flow has selloff written all over it IMO, but first we must break into yesterday's range .. will post more later on observations but that's my quick glance at it

 

edit: 9:45am, bids held strong at 46.25, bulls ready to make a run? let's see here what happens

 

Right On :missy:

 

Tom

[roztom 10]

CLueless: Here's where "I know I don't know"

 

Now that I am sitting short I do NOT know where we will eventually go...

 

Here is Context:

 

52.00 area is an area the planet is aware of.. Also we have a Major CLVN @ 52.50.. Coincidence?

 

2. On the break yesterday we saw Rejection of the lows and rotation back up BUT what did we NOT see? During RTH they ticked the HOD BUT could NOT take it out... That is easy $ that was my last target. Didn't get it.

 

What did that say? Shorts covered but Buyers were not agressive and the market was getting exhausted..

 

Are the buyers going to come for it again? Today? Don't know..

 

Will my target be hit based on MP Logic? NO clue.

 

I'm sitting Short after having scaled..Target 42.75... Stop is B/E..

 

That's all there is to it..some markers.. and knowing where the key areas are..

 

Will my stop B/E stop be taken? NO clue..

 

Trading is not easy but do you think this tool might give you an edge..at least where to take a position and also to know where you are wrong?

 

Auction Theory and Volume is the map in my opinion...guess by now you know that it does work - for me and others ...

 

Regards,

 

Tom

 

Edit: 9:31 cst.. I am currently flat.. covered as posted... Now what? CHVN: 1341.00 and some other Micro nodes there..

 

Is it going to go lower? Will it take out yesterdays low...Buyers didn't seem strong/committed based on yesterdays HOD not being taken out...

 

I am going to now monitor the rotations from wherever they come and go into scalp mode..BTW Scalp for me has to be fat balance areas..if we break the IBL which we "should" than I will be looking for rotations..

 

If it goes straight to China then it will go without me... I have other targets down below but I took the high probability (IMHO) Scales...

 

Sometimes I'm like a kid who gets excited when I see this work over and over again...

 

Just to stay real..there are many users of this but like all tools that doesn't mean you will succeed... it is just a component.. But I don't use a lot more.. at least not to me..

 

Regards,

 

Tom

Edited February 9, 2012 by roztom

[clmacdougall 11]

I could not parse this sentence clearly -- can you rephrase it?

 

No problem Josh. The temptation with MP/VP is to step back for a bigger picture context of the market as large groupings of information. Whose to say there is any value in that. You might be searching for security from the reactions of yesterdays or last months or last years participants. You are still guessing at mass psychology, using various market reactions from those participants in the past who may in no way hold those same values or opinions today. These groupings and nodes are not necessarily "context" and may lead you to place too much security in what the market has done in the past.

[roztom 10]

No problem Josh. The temptation with MP/VP is to step back for a bigger picture context of the market as large groupings of information. Whose to say there is any value in that. You might be searching for security from the reactions of yesterdays or last months or last years participants. You are still guessing at mass psychology, using various market reactions from those participants in the past who may in no way hold those same values or opinions today. These groupings and nodes are not necessarily "context" and may lead you to place too much security in what the market has done in the past.

 

Cory: If this approach doesn't do those things..Is your opinion based on knowledge/experience that is difeerent?

 

Opinions are great but I think the purpose of the discourse here or even the debate here, if we should call it that is based on "evidence."

 

If you have other data, evidence or tools that allow you to hold opinions then I assume they have a basis in exoerience and that you have another way to solve for Consistent Profitiability.

 

Saying something cannot or does not work or whatever is fine but opinions without "context" doesn't help any of us improve..

 

Please share with us how you manage trades, analyze the markets, exit, where, why..what works for you, what doesn't...

 

This is not meanrt to challange your beliefs but to understand what they are based on...

 

In addition there are readers of this forum now & potentially in the future who are looking for answers - not opinions...so help us with some answers.

 

Regards,

 

Tom

[joshdance 10]

No problem Josh. The temptation with MP/VP is to step back for a bigger picture context of the market as large groupings of information. Whose to say there is any value in that. You might be searching for security from the reactions of yesterdays or last months or last years participants. You are still guessing at mass psychology, using various market reactions from those participants in the past who may in no way hold those same values or opinions today. These groupings and nodes are not necessarily "context" and may lead you to place too much security in what the market has done in the past.

 

Well, for those who can use it effectively I think that's what's important, and I applaud them for being able to do so. I use the profile in a rather limited way really, but still do find it as a useful map, AS LONG AS it doesn't dictate WHICH WAY I trade. If I see the market approaching a peak volume price, for example as it just did at 41.25, do I immediately try to reverse and go long? Preferably not. Rather, look at what the market is doing, wait for it to prove itself and show its hand, and THEN go. It's like buying at PRIOR support before it shows itself to be current support in any meaningful way.

 

My profiles are today's, yesterday's, and any relevant to current market activity. So, I am profiling the area we have after 8:30am on Friday (post NFP) till now. For me personally, I find no relevance in the information that a back-adjusted futures contract shows that 50K contracts traded at price X, while only 40K traded at X+0.25, making the latter somehow more significant (different methods of back-adjusting, IMO, makes these past prices rather irrelevant, and certainly so when a very old profile is not built using tick data (which it's not as far as I know for anyone here, as the back-adjusted contract from IQFeed or another provider will only provide about 100 or so days of tick data). I also do not find profiling the 1400s or the 1200s to be useful for me right now, as I'm not taking any trades which I would ever look to those areas as a target. Others find this important, but I do not, but I also do not find many things important that others do, and I find many things important that others would never use. So, we go back to using tools that work best for us personally.

[roztom 10]

JOSH SAID: Edit: Interestingly, I pulled up a twitter stream of a VERY well known (you know who) volume profile trader, and around 1pm he was saying that sellers still were in control. Apparently even good traders who use VP must be aware of the market's order flow and sentiment--perhaps in this case he focused too much on the profile, and not what the market was doing at that time?

 

I do not have Twitter... but I have tremendous respect for him... He is down at the Exchange.. I spent years at CME..had offices in there.. etc..not really relevant. I wish there were people like him around when I started..

 

For some reason everyone is very guarded and doesn't want to give their "secrets" away... There are no secrets - at least in the retail domain.. Everything is out there..Problem is sorting through it without losing your mind or going broke first...

 

Then you have to align psycologically with the tools you select and you won't know why you can't trade with something someone else swears by... I'm talking about my own experience here... You may try to force yourself to use it but you are "buying" someone elses beliefs and have not developed your own... such is the replicability issue.. Once again my experience..

 

I understand what Cory is saying - completely..Obviously his mind would not allow him to embrace MP/VP.. when we form any opinion - right or wrong and I am not judging here..we will defend it.. dig our heels in..the need to be right, etc..It is the same psycology the forces us to hold a trade when we shouldn't..

 

It is true when they say the mind you bring to your life is not the mind that will help you succeed in trading.. It will actually destroy you.

 

There was a time when I considered getting a cattle prod and putting it you know where to modify my behavior because my emotions would take over and I would become myopic and have that Voice that I think N referred to take over... "Why Did I do That?" I did EXACTLY the opposite of what I said I was going to do.. I had seen the market recognized the strategy and then found myself upside down or bought the high tick of the day or bailed at the low tick of a retracement :crap:

 

Does this sound familiar to anyone.. Welcome to the Trading Club...

 

BTW as of 10:16cst we have in MP/VP what is called a 1- tic IB + a failed auction.. this is potentially bullish..not to the moon or anything but anything can happen now..it is also possible that we will just rotate in here - go nowhere or take the shorts out later...no clue..

 

Does it matter? Can a MP/VP'r make $ on the rotations keeping in mind what the market told us on the LOD...; See what I mean...

 

Regards,

 

Tom

[roztom 10]

Anatomy of a simple scalp:

 

10:44 cst.. This is a little trade I took..& I want to just give you guys why and what told me to take it...

 

HInt/Hint..once again MP/VP and auction Theaory based..

 

If you can look at a MP/VP or even a bar chart I use 15min just to see the bigger picture from the old school perspective you will see that the market is balancing around 1345.00 -46.00 ish area...

 

On VP it is a high volume bar right in the Middle of the RTH delelopement..what is it saying about the condition of the market? (right now)

 

Buyers and Sellers agree on price at the DVPOC/High Volume area in todays development...

 

So what is the trade?

 

I shorted the DVPOC for a rotastion down to the DVAL... nothing exciting but good for 1.5 points... a scalp...

 

Now what might happen? If the market is in balance then it "could" rotate up to the opposite DVAH 1348.00 ish right now...

 

This is a market now where OTF has left the building and the HFT and Daytraders will push around, IMHO..unless structure changes...

 

Keep in mind that we have the failed auction at the bottom so we "could" ending up taking out the high at some point...

 

I find these days a lot of work..scalping is labor/focus intensive but I sometimes will do it..mostly out of boredom.. I not suggesting anyone do it but the VP lets you see the condition of the market & how a strategy would adjust to it..there is still opportunity here...

 

as of

 

10:54 cst you can see where this thing is currently at..we just ticked 47.75...probably will get to 48.50ish or higher if that failed auction is any hint..eeventually it might take HOD out... Whqat is the smart play buy the dips... 43.50 area might be the paly of the day after this mornings short... or...

 

Regards,

 

Tom

 

EDIT: I am not recommending any trade or positon..I am just reading the market based on what it is saying to ME... right now..it is dynamic so it changes...let's see how this plays out.... :missy:

Edited February 9, 2012 by roztom

[gosu 10]

a lot of good trading moves this morning. nq is leading the charge all the way which is consistent with yesterday's activity. es and ym are laggards.

 

haven't had the time to read everything posted this morning, but i did catch the statement that you can't "know" in trading and that it's all guessing. This is simply not true from my experience. It is important, however, to determine what can be known and what can't be known.

 

 

we're in midday now and the nq BO is continuing. the monitoring will be around whether es and ym will follow the nq BO (check the ON high) or nq will FBO. a FBO will be preceded by a rtrace of course and that will come sometime in midday on shrinking V. That is what i KNOW.

[roztom 10]

a lot of good trading moves this morning. nq is leading the charge all the way which is consistent with yesterday's activity. es and ym are laggards.

 

haven't had the time to read everything posted this morning, but i did catch the statement that you can't "know" in trading and that it's all guessing. This is simply not true from my experience. It is important, however, to determine what can be known and what can't be known.

 

 

we're in midday now and the nq BO is continuing. the monitoring will be around whether es and ym will follow the nq BO (check the ON high) or nq will FBO. a FBO will be preceded by a rtrace of course and that will come sometime in midday on shrinking V. That is what i KNOW.

 

I'm glad somebody knows...

 

Regards,

 

Tom

[joshdance 10]

Buyers and Sellers agree on price at the DVPOC/High Volume area in todays development...

 

So what is the trade?

 

I shorted the DVPOC for a rotastion down to the DVAL... nothing exciting but good for 1.5 points... a scalp...

 

This may have been the location Tom, but surely there's more to it... after all, you have a bullish sentiment, so there must be something that tells you to short. I saw a short here, but it was this: 46 broke, and could only muster 3 ticks to the prior resistance at 46.75, on 17K of volume over 60 seconds. In reality, there wasn't that much buying, max delta for that period was 7K, over 10K total volume. After that it was quite strong selling. So I expected buyers must be found lower, and 43/44 was a good 50% area to do that. I called this trade to a friend but was distracted and did not take it, and am kicking myself now. Other than that I have found today to be quite well structured, from the open. Perhaps I will do a video, but it will probably be tonight, to outline the structure I saw today. Back to topic, my point is this: you see volume build, but surely something else says "rotation down likely" .. perhaps it's just experience, repetition of pattern, etc., but the location alone should not really tell you direction -- correct me if I'm reading you wrong.

[joshdance 10]

Easy to see a rotation down a bit from here, given this morning and the struggles at the opening price of 49.25 .. the question is, how far down? Given the time of day and volume really tapering off here, that question is harder for me to answer. But I would not expect it to travel much below 46.50 if we are not going to test 44 again. Preferably, we would see some nice activity at 47.50 here as it tests yesterday's high once again.

[roztom 10]

Easy to see a rotation down a bit from here, given this morning and the struggles at the opening price of 49.25 .. the question is, how far down? Given the time of day and volume really tapering off here, that question is harder for me to answer. But I would not expect it to travel much below 46.50 if we are not going to test 44 again. Preferably, we would see some nice activity at 47.50 here as it tests yesterday's high once again.

 

When I took that short I read it along with Delta...just so you know after I took it I was annoyed with myself..I do not like to enter at DVPOC in a balancing market.....the real opportunity was a long where I got flat ..in reality that was the entry for a long in the 43.50 ish area..I had a limit @ 43.50.....

 

I dropped the ball on the long..I had a lack of focus and eventhough I posted all the reasons for getting long I didn't... Expensive...:crap: A loss of opportunity is almost as bad as a loss of $... I am going to be getting my cattle prod out of the closet..

 

I will log in my journal what I did right and the fact that I let the train pull out of the station without me....

 

I am waiting for a rotation to get long but the market doesn't owe me the opportunity... 47.00 ish might be a spot but the "easy" $ has already been made IMHO...

 

Regards,

 

Tom

[joshdance 10]

I am waiting for a rotation to get long but the market doesn't owe me the opportunity... 47.00 ish might be a spot but the "easy" $ has already been made IMHO...

 

Yes I agree about easy $.

 

It's a bit of a mish mash right now I'm afraid. Sellers should not have let 49.25 be penetrated if they want to sell, but buy volume was low up there, so they have a reason to sell. On the other hand, buyers have been strong and did penetrate above the open, and have held yday's high, so why would they not be buying still? This two-way possibility leads to rotation, balance, aka chop. That's my prediction for the next 2 hours but we will see.

[roztom 10]

Yes I agree about easy $.

 

It's a bit of a mish mash right now I'm afraid. Sellers should not have let 49.25 be penetrated if they want to sell, but buy volume was low up there, so they have a reason to sell. On the other hand, buyers have been strong and did penetrate above the open, and have held yday's high, so why would they not be buying still? This two-way possibility leads to rotation, balance, aka chop. That's my prediction for the next 2 hours but we will see.

 

Thisis a rotational market..they just 1 ticked the IBH... :doh: This is a tough trade at the moment... The short worked, the long worked where to now? I still "suspect" we are going to go higher..47.00 ish is my area for longs... stops should be resting under 47.00ish.. the balance area at the top 30% of the Profile... Of course this is not clear at the moment... "except" we did not take out yesterdays low... ..and on a Daily chart this is sitting high in the saddle...

 

Got to watch this rotation... Lunch best time for positioning for a continuation trade, IMHO..

 

Regards,

 

Tom

[joshdance 10]

Regarding the 30% of the profile, my VAH is 46 right now, and there is something simply not right about that. I know the VA formula is well defined, but we are trading 50% more volume ABOVE the vpoc than below, so it seems not quite right at the moment. That's why I don't place much value (pun intended) into the normal definition of a "value area."

 

Edit: which is why I do not place much weight into the POC of the distribution, more in the shape instead. Statistically speaking, the mode is very weak, and mean and median are much more robust, so that's why a calculation based on the location of the mode, like the VA, is largely prone to be, well, pretty useless, while something like the VWAP is smoothed.

[gosu 10]

I'm glad somebody knows...

 

Regards,

 

Tom

 

Knowing gets you partways there. Acting EVERYTIME on what you know takes you the rest of the way. Knowing is easy. Acting on what you know is sometimes easy and sometimes very difficult. Easy when doing the right thing is inline with being right. Difficult when it is not. I think you stated it very well the other day when you listed the pitfalls of being public about your trading and how it makes you want to be right.

 

Cheers.

Edited February 9, 2012 by gosu

[roztom 10]

Regarding the 30% of the profile, my VAH is 46 right now, and there is something simply not right about that. I know the VA formula is well defined, but we are trading 50% more volume ABOVE the vpoc than below, so it seems not quite right at the moment. That's why I don't place much value (pun intended) into the normal definition of a "value area."

 

Hmm: At 12:29 cst my DVAH is 1350.00 and my DVVAH 1349.00..

 

BTW: I can hear it now "Thanks for Playing the Trading Game..." We have several swell parting gifts for you..the "Trade at Home Game" and "I Could Have Made a Million Game"

 

 

I sit here and look at my analysis and for me it was spot on..yet I let it slip through.. now I will be watching for a scalp on the long side but I have to be careful not to let my emotions cause me to force the trade since I am feeling the angst of missing this one.. I want to get even get some of the market...very dangerous..

 

Always another bus... GRRR :crap:

 

... We will Probably Test CLVN 1352.50 again... if there's no rotation then there is no opportunity, IMHO..

 

Regards,

 

Tom

 

"I have Met The Enemy and It is ME"

[gosu 10]

Knowing gets you partways there. Acting EVERYTIME on what you know takes you the rest of the way. Knowing is easy. Acting on what you know is sometimes easy and sometimes very difficult. Easy when doing the right thing is inline with being right. Difficult when it is not. I think you stated it very well the other day when you listed the pitfalls of being public about your trading and how it makes you want to be right.

 

Cheers.

 

 

It takes very little knowing to minimize risks. Washing is always on the table and that is enough to participate regardless of eventual outcome.

[roztom 10]

Knowing gets you partways there. Acting EVERYTIME on what you know takes you the rest of the way. Knowing is easy. Acting on what you know is sometimes easy and sometimes very difficult. Easy when doing the right thing is inline with being right. Difficult when it is not. I think you stated it very well the other day when you listed the pitfalls of being public about your trading and how it makes you want to be right.

 

Cheers.

 

Yes the emotional component of this is beyond what almost everyone expects..it has been written about yet it is only conceptual until we confront it..even then we won't recognize it unless we Journal and start to see self defeating patterns emerge... I still mess up..I can point to today as a prime example... One thing I have accepted about myself is my imperfections... What I haven't accepted is my lapses of focus..

 

What saves me is taking the things I do right and celebrating them..The errors I make I truly analyze and try to build structure to offset them..still a work in progress..

 

I tried to design trading systems to overcome my own weakneses but in spite of myself I do better as a descretionary trader than any system I can create - maybe in my "spare time" I will tinker with it again..but I do not have the energy for it.. I think we3 would all like to have a trading ATM but I haven't been able to do it at least not using surgical risk management/trade location and trade management...

 

Regards,

 

Tom

[joshdance 10]

I tried to design trading systems to overcome my own weakneses but in spite of myself I do better as a descretionary trader than any system I can create - maybe in my "spare time" I will tinker with it again..but I do not have the energy for it.. I think we3 would all like to have a trading ATM but I haven't been able to do it at least not using surgical risk management/trade location and trade management...

 

The funny thing about trading "systems" (as you said ATMs), is that people are always trying to SELL them.... hmmm, seems a bit strange doesn't it? If I had an ATM, I wouldn't sell it...

[gosu 10]

Yes the emotional component of this is beyond what almost everyone expects..it has been written about yet it is only conceptual until we confront it..even then we won't recognize it unless we Journal and start to see self defeating patterns emerge... I still mess up..I can point to today as a prime example... One thing I have accepted about myself is my imperfections... What I haven't accepted is my lapses of focus..

 

What saves me is taking the things I do right and celebrating them..The errors I make I truly analyze and try to build structure to offset them..still a work in progress..

 

I tried to design trading systems to overcome my own weakneses but in spite of myself I do better as a descretionary trader than any system I can create - maybe in my "spare time" I will tinker with it again..but I do not have the energy for it.. I think we3 would all like to have a trading ATM but I haven't been able to do it at least not using surgical risk management/trade location and trade management...

 

Regards,

 

Tom

 

I've accepted the fact for me that this is a labor-intensive business and I deal with the grind by rest, nutrition, exercise, and periodic breaks. The thing that keeps me going is that I don't trade for myself.

 

There is "free" money available but I have to be there and always ready to take it when it presents itself. I haven't figured out how to teach a program let alone another person to do that (yet).