Day Trading the E-mini Futures

[roztom 10]

Based on the consolidation as of 12:32 cst this stucture is projecting up to potentially 1413.00 area... I am still looking for 1407.25 & 1409.00 area after that??

 

The Profile is fat so other than a burst to the upside I don't think we will go into hyperdrive but I know I don't know... SO I am going to look for my scales and go from there...

[TheNegotiator 13]

N, off-topic note but relevant to the difference in volume we were seeing a while back. I did a little testing and I posted results here on the DTN forum, thought you might like to see what I found--last post made this morning.

 

Telvent DTN Forums

 

If what you say is true, why would people execute more transactions in non-front month on holiday days? Is this not possibly to do with different order types that institutions use? I don't know so would have to dig a little to find out. Steve would know considering his institutional background.

 

One thing that has irked me is I think they messed up the march/june roll as for 3/8 I have 350k traded on a 405m chart - that was roll thursday. I did try to fix it by redownloading(hoping they'd have sorted it) but it didnt work. Perhaps I will try it again later.

[steve46 12]

So on this trade it looks as though I am about to learn that I am wrong

 

The premise is that if we see a close above 1405.50 generally the short side is wrong

 

What I have done is to throw a Bollinger Band on the attached chart, so you can see how strong the move is....price shows very little overlap on the up bars, and during this move up, price stays away from the 20 period moving average....pretty good indication that as folks come back in from lunch the agenda might be to continue the move north to test the previous high at 1408

 

This trade is pretty characteristic of my method...when I am wrong I try to bank a couple of points off the primary scale out....then I can let the balance run until one of two outcomes takes place....either I continue to see favorable progress, or I see "adverse excursion" and price takes out my entry point....(I am willing to pay a tick + commission on the stop out)....

[roztom 10]

So on this trade it looks as though I am about to learn that I am wrong

 

The premise is that if we see a close above 1405.50 generally the short side is wrong

 

What I have done is to throw a Bollinger Band on the attached chart, so you can see how strong the move is....price shows very little overlap on the up bars, and during this move up, price stays away from the 20 period moving average....pretty good indication that as folks come back in from lunch the agenda might be to continue the move north to test the previous high at 1408

 

This trade is pretty characteristic of my method...when I am wrong I try to bank a couple of points off the primary scale out....then I can let the balance run until one of two outcomes takes place....either I continue to see favorable progress, or I see "adverse excursion" and price takes out my entry point....(I am willing to pay a tick + commission on the stop out)....

 

Steve: I use the BB's but mostly to see volatility contraction Coils & trading ranges, etc. I also like using a 20SMA since we seem to revert to it.. If things align at the 20SMA with my other technicals... it does provide a bit of "comfort" to lean on..

 

It is just a marker not anything more... Also if I am at one extreme of the band and it aligns I will also use it and potentially scale at 20SMA and target a scale on the otherside of the BB... 2.00 - 2.5 Std DEV... My targets are typically nodes but if I need something to lean on along the way and I don't have much else to lean on I will use them but they are not primary... but a tertiary tool.

[TheNegotiator 13]

Possibly could be this Josh(although not sure why the proportion would be relatively higher on holiday days):-

 

[steve46 12]

Steve: I use the BB's but mostly to see volatility contraction Coils & trading ranges, etc. I also like using a 20SMA since we seem to revert to it.. If things align at the 20SMA with my other technicals... it does provide a bit of "comfort" to lean on..

 

It is just a marker not anything more... Also if I am at one extreme of the band and it aligns I will also use it and potentially scale at 20SMA and target a scale on the otherside of the BB... 2.00 - 2.5 Std DEV... My targets are typically nodes but if I need something to lean on along the way and I don't have much else to lean on I will use them but they are not primary... but a tertiary tool.

 

To each his own of course Tom.....I see it a bit differently....from my perspective a technical tool is either reliable or not....its either "yes" or "no".....the result for my system is that I use very few "technical" tools....but the ones I do use I weight evenly....it makes the decision making process a bit easier...if the majority of my data points in one direction that is the direction I trade in...so far this approach has worked very well....

 

As for leaning on a concept, the one I seem to rely one is to trade extremes of the distribution...

 

After that I rely on experience to know when to "break the rules"...I put it this way because at this late date, I think I have earned the right to change my mind on the fly based on my intuition and experience....so far this has added value, and hasn't hurt me....probably because I have tended to trade aggressively, and in this business (if you have an edge) an agressive approach works....

[joshdance 10]

As mentioned in the post, from the previous close ("taking friday's close as my point of origin")

 

So you're measuring the standard deviation of prices since then from that single price, not a changing value like a vwap, twap, or moving average -- am I understanding you correctly?

 

I should add that I do not find these measures of volatility useful so won't be adding them, but I am interested in different ways traders calculate volatility.

Edited March 26, 2012 by joshdance

[roztom 10]

Got Second Scale @ 1407.25, now targeting last 1/3 @ 1409.50, 3 tic in front of CLVN 1410.25.

 

There is still a chance for next level up 13.00 - 16.00 area but that is for someone else to seek.. also Profile structure is not exactly overwhealing.. at the moment...

 

[joshdance 10]

If what you say is true, why would people execute more transactions in non-front month on holiday days?

 

It appears this way because the daily bar is one trading day, and includes volume from, in some cases, 2 calendar days, whereas my 1440m bars are one calendar day; had I summed the volume from those two calendar days it would likely have equaled the daily bar volume. That is not really the point though; it's to notice the divergence around rollover / expiry time.

[roztom 10]

To each his own of course Tom.....I see it a bit differently....from my perspective a technical tool is either reliable or not....its either "yes" or "no".....the result for my system is that I use very few "technical" tools....but the ones I do use I weight evenly....it makes the decision making process a bit easier...if the majority of my data points in one direction that is the direction I trade in...so far this approach has worked very well....

 

As for leaning on a concept, the one I seem to rely one is to trade extremes of the distribution...

 

After that I rely on experience to know when to "break the rules"...I put it this way because at this late date, I think I have earned the right to change my mind on the fly based on my intuition and experience....so far this has added value, and hasn't hurt me....probably because I have tended to trade aggressively, and in this business (if you have an edge) an agressive approach works....

 

I didn't reference that BB doesn't work..it is on my screen and it does help me see congestion..I do use it if we are in a rotational condition as a place to lean on..

 

Another reason is because many others use it and I can see their activity when those edges are hit... I personally do not use it to trade the rotations...only when I have alignment with other tools since I expect the other guys to be active in those areas..

[roztom 10]

Update: Got my final scale 1409.50.. CLVN: 1410.25 hit to the tick as of 2:06cst...

[steve46 12]

So you're measuring the standard deviation of prices since then from that single price, not a changing value like a vwap, twap, or moving average -- am I understanding you correctly?

 

I should add that I do not find these measures of volatility useful so won't be adding them, but I am interested in different ways traders calculate volatility.

 

Right, I understand....so I won't bore you with the calcs...it is after all basic first year statistics

[joshdance 10]

Cool, glad that works for you steve -- it seems that we are pushing beyond that 2nd SD late in this day though... seems the market has other ideas about how far is too far.

[steve46 12]

Cool, glad that works for you steve -- it seems that we are pushing beyond that 2nd SD late in this day though... seems the market has other ideas about how far is too far.

 

Actually I have never thought about it that way....my next two levels are at 14.50 and 20 even

 

I have to admit it would be a surprise if we got above the 3rd standard devation at 14.50, but if it does, well thats why they coined the term "outliers" for that kind of move....one has to remember that this (financial markets) data is not normally distributed over the longer time frame.

[joshdance 10]

lol, 30% range extension in 7 minutes AFTER the cash close ... you can't make this shit up

[roztom 10]

lol, 30% range extension in 7 minutes AFTER the cash close ... you can't make this shit up

 

Yep..Dem Bums..CHVN 1413.25 and the winning lottery ticket CLVN @ 1416.50...

[karoshiman 10]

Hi Tom,

 

As I visited this thread now a few times to see what you guys are doing with the ES I saw you mentioning several times the word "rotation". I haven't heard that expression before. To what exactly does it refer? Is it a retracement?

 

Would be glad if you could fill my knowledge gap here...

 

Thanks in advance!

k

[CYP 10]

Yep..Dem Bums..CHVN 1413.25 and the winning lottery ticket CLVN @ 1416.50...

 

 

I swerved "left" instead of "right" on this one...to which a mack truck hit me. Still brushing the dirt/debris off. Where did that late surge come from? Sheesh!

 

Can I get a "mulligan" on the last 15 minutes, please?

 

Tom - your 1416.50 CLVN prognostication hurts me more than you'll know.

 

There's always tomorrow...

 

CYP

[roztom 10]

I swerved "left" instead of "right" on this one...to which a mack truck hit me. Still brushing the dirt/debris off. Where did that late surge come from? Sheesh!

 

Can I get a "mulligan" on the last 15 minutes, please?

 

Tom - your 1416.50 CLVN prognostication hurts me more than you'll know.

 

There's always tomorrow...

 

CYP

 

How do you think I feel.. My last scale 1409.50 ... :crap:

 

I posted the 1416 number early this morning..but ran out of scales..the 1416.50 qualifies as the "Hail Mary Pass." :rofl:

 

I should add the CLVN is not MY number but the Market's number.. It is there for everyone to see..

Edited March 26, 2012 by roztom

[roztom 10]

Hi Tom,

 

As I visited this thread now a few times to see what you guys are doing with the ES I saw you mentioning several times the word "rotation". I haven't heard that expression before. To what exactly does it refer? Is it a retracement?

 

Would be glad if you could fill my knowledge gap here...

 

Thanks in advance!

k

 

Yes they are the same... I anticipate them and I like to pick up continuation trades or scales depending on which way I am positioned... The Profile helps to see where price "should" be located and the prices that are important to position in the area of. Hope this helps..

Edited March 26, 2012 by roztom

[CYP 10]

How do you think I feel.. My last scale 1409.50 ... :crap:

 

I posted the 1416 number early this morning..but ran out of scales..the 1416.50 qualifies as the "Hail Mary Pass." :rofl:

 

I should add the CLVN is not MY number but the Market's number.. It is there for everyone to see..

 

For me...that "Hail Mary Pass." turned into an interception and the other team still has the ball!!

 

I like to think that the CLVN is YOUR number so that I will not have to take any ownership of anything bad that happens in my trading, because it was YOUR number. I would hate to have to take responsibility for my own trading decisions. :rofl:

 

Seriously though, I do appreciate the MP commentaries (from all of you guys). At some point, I'll make my own level calls, but for right now, I'm still an MP Jedi-in-training...

 

Regards,

 

CYP

[roztom 10]

Actually the numbers are helpful but the further out they go the lower the probability they will get hit in a specific session... When I posted those they were outside numbers..they could just as well been hit tonight, tomorrow or never...

 

They are market generated numbers.. However as the market approaches these numbers and assuming we are not too far from them then the probability of them being attained goes up...

 

That is why I use them as scale points and also entry areas... It all fits together like a puzzle... (assuming I interpret it correctly - a whole other topic )

 

Market Profile helps understand the structure of the market.. From my point of view today was UP... Not hard to figure out... If you look at Friday that was it.. then overnight that move continued and with the recent high from 3/19 there was really only one way for that market to go - UP... at least to the high from 3/19 at 1408.00 that was IMHO, easy $.

 

After that, then it was the Benchmarks VP Nodes which we discussed... There isn't really any way, to "know" how far the market will go - only what it's potential is...the schedule is up to the market and its participants...

 

[roztom 10]

Good Morning: I know some of you use the GBX session as part of the trading day, Steve comes to mind, and others don't.

 

I am referencing Trend and integrating that session into your charts.

 

I always have a bit of ambiguity when a GBX has hit a high/low in GBX at an important node/area 1419.75 - I have a CHVN @ 1419.50 and then comes back to the area of the previous RTH close...

 

The issue is part of me sees that as potential rejection of that area, a high now in a short-term downtrend whereas my RTH charts show the trend strong to the upside - I'm sure you remember yesterdays strong pop at the cash close.

 

Todays open will be in the area of yesterdays RTH close..so which information is more important for todays trade?

 

1. A high has been put in on GBX. Can we expect a rotational day - rest after yesterdays breakout to a new area as the market seeks balance and acceptance?

 

2. . The RTH will test and potentially take out the GBX high since RTH is where the volume is, etc.?

 

3. The GBX high is not material to what RTH might do today - trade with that Node still an open target to be at least tested?

 

4. The real important question for me is my charts are in a bit of a downtrend off GBX and my RTH in an uptrend.. Minor not Major...Trend is up but we do trade in a shorter timeframe.. SO which part of the direction short term is the starting place? Pick up from yesterdays close or the short term downtrend off GBX..how do you set your charts.. does it impact your view of the market & how.. ?

 

I'm would appreciate hearing how you guys see it and how you integrate GBX into your plan.. and also how start the RTH session when the charts from GBX have information not on your RTH charts..

 

Tx

Edited March 27, 2012 by roztom

[roztom 10]

Tookk long @ 12.50 target 1414.50 in front of yest close. will bail if it has trouble.

 

Scaled half for .075 pt & stp B/E on balance... :helloooo:

Edited March 27, 2012 by roztom

[roztom 10]

Reentered 1412.50 looking same target test of yest close 14.50. Last attempt..

 

UPdate: 9:32cst This trade , so far, came withing 1 tik of my stop... CLVN 1410.50 is what I was leaning against ..still with it... same target for scale and then test yest HOD.. depending on sense of smell may dump full position if we ge tto target... not out of the woods yet on this one... :doh:

 

Edit: 9:44cst I bailed on this donated a point to the shorts...

Edited March 27, 2012 by roztom