Day Trading the E-mini Futures

[joshdance 10]

Triple bottom at 48? A break lower is looking better by the minute.. Still interested in buying 44/45s, likely to get the chance.

[greedygekko 10]

Took a few trades today and took out 462.50. Thought maybe you guys might like to see them.

[sdoma 10]

Triple bottom at 48? A break lower is looking better by the minute.. Still interested in buying 44/45s, likely to get the chance.

 

I'm not trading today, just watching (bank holidays tend to be unpredictable). Something to remember is that volume today is really low, and volume correlates highly with range and volatility. Reason being that it's a bank holiday, and bonds aren't trading, which means a lot of hedgers, both human and algo, that normally make trades in the stock indexes aren't doing so today. I'll attach a chart with a quick and dirty relative volume proxy for you.

 

On these types of days, if you're going to play anything, it might as well be rejections of extremes, however you quantify it - failed attempts to run lows and highs, tests of VWAP 2nd basis, evidence of responsive action on initiative action away from Value, etc, etc.

 

Oh, and also, be even quicker to cut a loser than normal on these days, as when things do get wacky, they can get really wacky.

 

As for that chart, here it is. It's a 15 minute chart of the ES that has a relative volume measure. That is, for each 15 minute segment of the day, it compares it to the same segment of the day X number of days back. In other words, it takes the 8:30 - 8:45 time frame and compares it to 8:30 - 8:45 yesterday, the day before, and so on for as many days as you want. I tend to find the greatest relevance in comparing to the last 5 or 10 sessions.

 

Here you can see that, on a low volatility day like today, that volumes are seriously off of the blue line (which is the relative norm. Look at the quick part of the drop yesterday - volume is significantly above the norm. It's not perfect, but it can often tell you something about the structure at a glance.

[joshdance 10]

As for that chart, here it is. It's a 15 minute chart of the ES that has a relative volume measure. That is, for each 15 minute segment of the day, it compares it to the same segment of the day X number of days back. In other words, it takes the 8:30 - 8:45 time frame and compares it to 8:30 - 8:45 yesterday, the day before, and so on for as many days as you want. I tend to find the greatest relevance in comparing to the last 5 or 10 sessions.

 

Here you can see that, on a low volatility day like today, that volumes are seriously off of the blue line (which is the relative norm. Look at the quick part of the drop yesterday - volume is significantly above the norm. It's not perfect, but it can often tell you something about the structure at a glance.

 

Thanks sdoma, I also wrote a custom indicator that computes the X-day median volume and range, but does so at one minute intervals, so I use this same measure, only in 1-minute granularity instead of 15 minute.

 

In many of my old posts on this thread I mention the relative volume for the day so far, and this is how I compute it.

[TheNegotiator 13]

Just doing some really basic stats on the last 5 Columbus day holidays we can see that there is a trend of lower volume & range although still ES does move.

 

 

Bearing in mind this is a 5 sample set, if things follow today and it's not outlier (which it could be if there's news or liquidation...) I would think that we could see volume between 550-825k and a range of 6-10 points ROUGHLY.

 

6 points and 778k - not a bad guesstimate!

[TheNegotiator 13]

Thanks sdoma, I also wrote a custom indicator that computes the X-day median volume and range, but does so at one minute intervals, so I use this same measure, only in 1-minute granularity instead of 15 minute.

 

In many of my old posts on this thread I mention the relative volume for the day so far, and this is how I compute it.

 

Yup. Remember those posts well. Relative volume is a useful thing to look at imo. Maybe you could either post your def here or charthub JD...

[TheNegotiator 13]

Not a great deal out today in terms of releases. Merkel is chatting in Greece. Alcoa kicks off Q3 earnings season after the close.

 

Here's a look at a chart showing the market has no memory of price (cough):-

 

[TheNegotiator 13]

One point to note from the overnight session is that the 1445.50 naked (RTH) VPOC and high vol area was tested and rejected. Is that enough to move to test higher? Maybe, maybe not. I could also see the possibility of closing the friday-monday gap/important high volume price at 1455.50/55.75 then reversing down to test lower if a push higher fails. Just another option to consider...

[vertigo333 10]

TheNegotiator,

 

Thanks for posting the charts.

I am an old-time price bar watcher; I am new to volume at price. I am trying to contribute to the thread as I can.

 

If it's not an imposition, can you offer a little description, or direct me to another area of the site where I might learn some of the basics of the volume at price patterns...

 

 

but specifically,

In the most recent chart you posted, you pointed out a Low and labelled it as not so good (insecure). What technical conditions do you consider insecure, that is, a good Low vs a 'not good' Low?

 

thanks

[TheNegotiator 13]

TheNegotiator,

 

Thanks for posting the charts.

I am an old-time price bar watcher; I am new to volume at price. I am trying to contribute to the thread as I can.

 

If it's not an imposition, can you offer a little description, or direct me to another area of the site where I might learn some of the basics of the volume at price patterns...

 

 

but specifically,

In the most recent chart you posted, you pointed out a Low and labelled it as not so good (insecure). What technical conditions do you consider insecure, that is, a good Low vs a 'not good' Low?

 

thanks

 

There are lots of places you could learn from but I'm happy to answer any questions you have here as I'm sure others are too.

 

The low is "insecure" in that it's been tested and tested without being able to encourage a strong reaction. i.e. it wasn't seen as a fantastic place to buy and so it didn't move quickly away due to the competition in that area. In fairness, yesterday was Columbus day so I don't consider it as important as a standard day. That being said, there were enough traders about to get a good reaction at an important price.

 

You may or may not be aware of a book called "Mind Over Markets" and also "Markets in Profile" by Jim Dalton. He also runs a website and sells an expensive course. However, I suggest you read the books.

[slick60 10]

One point to note from the overnight session is that the 1445.50 naked (RTH) VPOC and high vol area was tested and rejected. Is that enough to move to test higher? Maybe, maybe not. I could also see the possibility of closing the friday-monday gap/important high volume price at 1455.50/55.75 then reversing down to test lower if a push higher fails. Just another option to consider...

 

Hi N

You being in jolly old England area, out of curiosity did you take the trade at the HVN / VPOC?

I have technical chart which showed great signal at the low and 2 min especially for 6 minutes supporting.

slick60

Edited October 9, 2012 by slick60
more info

[TheNegotiator 13]

Hi N

You being in jolly old England area, out of curiosity did you take the trade at the HVN / VPOC?

I have technical chart which showed great signal at the low and 2 min especially for 6 minutes supporting.

slick60

 

Nope. I only trade RTH hours in ES. But there's definitely a case for trading earlier on nowadays. However, there's FESX for European session.

[vertigo333 10]

RE

"Mind Over Markets" and also "Markets in Profile" by Jim Dalton.

 

Am I supposed to apply the principles he describes for MP on the volume at price?

 

THX

[TheNegotiator 13]

RE

"Mind Over Markets" and also "Markets in Profile" by Jim Dalton.

 

Am I supposed to apply the principles he describes for MP on the volume at price?

 

THX

 

Use what you think is relevant. Not everything is. But auction principles can be applied to a bar chart just as they can to MP or VP. I view the books as auction books viewed through the eyes of an MPer.

[goodoboy 10]

One point to note from the overnight session is that the 1445.50 naked (RTH) VPOC and high vol area was tested and rejected. Is that enough to move to test higher? Maybe, maybe not. I could also see the possibility of closing the friday-monday gap/important high volume price at 1455.50/55.75 then reversing down to test lower if a push higher fails. Just another option to consider...

 

Is it just me, or does it seems like everyone was waiting for this 1445 area to hit and it finally did and price goes up to test overnight highs.

[goodoboy 10]

long 1449

 

i have 1448.25 as support. price tested it and now I am waiting for 1451.50 to break out.

[joshdance 10]

Nope. I only trade RTH hours in ES. But there's definitely a case for trading earlier on nowadays. However, there's FESX for European session.

 

I took a globex short, scaled in to an average of 52.08, and just scaled out some here at 48, but the market gods just shook me out at 50.50 before we could see 44s.

 

I normally do not trade globex either, but it seems that the RTH session is often simply a liquidity filler for when the real moves happen during Asia and European sessions. Sometimes the US session moves, but so often it is simply diddle back and forth, for a nice Tokyo and Hong Kong open.

[goodoboy 10]

long 1449

 

i have 1448.25 as support. price tested it and now I am waiting for 1451.50 to break out.

 

break even on that. No breakout for today upwards.

[TheNegotiator 13]

I normally do not trade globex either, but it seems that the RTH session is often simply a liquidity filler for when the real moves happen during Asia and European sessions. Sometimes the US session moves, but so often it is simply diddle back and forth, for a nice Tokyo and Hong Kong open.

 

Yeah I know what you mean. But I think there are possibly better markets if that's how you feel. You could look at Eurostoxx or Dax say in the European session or take a look at the asian markets if that fits your timezone better. Otherwise, maybe you'd be better off looking at NQ/YM/TF rth.

[joshdance 10]

I got short half again at 50.50, my original bail point, and added again here at 48, and must ask... WTF is up with 47? why won't they just let it drop.... c'mon guys..:missy:

[slick60 10]

I took a globex short, scaled in to an average of 52.08, and just scaled out some here at 48, but the market gods just shook me out at 50.50 before we could see 44s.

 

I normally do not trade globex either, but it seems that the RTH session is often simply a liquidity filler for when the real moves happen during Asia and European sessions. Sometimes the US session moves, but so often it is simply diddle back and forth, for a nice Tokyo and Hong Kong open.

 

Hi Josh

Glad you noticed that too, Big moves take place in the overnight session I feel because they are cheap to create for the market makers. No opposition from the "Only RTH traders" (nothing pointed at you N).

Yes nice 8 1/2 point overnight trade was possible with technicals into the HVN.

 

slick60

[slick60 10]

6 Point balanced range yesterday and now a 4 point balance IB to open. Look out both ways.N POC 1443.25 N POC below and the 1461.75 N POC above are my visual targets for today. Should the HVN low hold the upper N POC is a nice .786 retrace of the move down from last high. A good reversal level to suck in the longers again while they reverse the market lower into next week.

I might add while in the fibo mode that the N POC below is a 1.272 retrace of the upmove from the 1445.50 low.

 

slick60

Edited October 9, 2012 by slick60
fibo info

[slick60 10]

Entry order at 1443.50 long waiting.

 

slick

 

Up the butt on that one. Violated a rule. Only trade in the direction of the larger trend. I have a very good idea this is short into next week so I try a long trade. Weinerhead. After saying to myself this morning "only take shorts".

Edited October 9, 2012 by slick60

[joshdance 10]

I got short half again at 50.50, my original bail point, and added again here at 48, and must ask... WTF is up with 47? why won't they just let it drop.... c'mon guys..:missy:

 

Flattened at 44, too early, but it finally broke!

[goodoboy 10]

short 1446.50

 

finally got in on this little ES. Tuff darn morning trading. But finally got one. Im holding on this one. Geeeeeeee Wiiizzzzzzzzzzzzz