Day Trading the E-mini Futures

[TheNegotiator 13]

I am thinking now that considering the vicinity of the 80.50/82.50 area and the fact we had a look at selling strength with new lows after intial 77.50 high had been put in, there's a chance it could power through. Not saying it will, but wary.

 

I don't think longs would be too happy below open here. Although so far it is a 2-way auction and the profile is balanced.

[sdoma 10]

Wow, I know Europe was closed and all, but this is choppy as a benihana.

[joshdance 10]

I canned the 76 long at 76. Then I bought back a full position at 74.50, will only give it 4 ticks to work.

[joshdance 10]

I canned the 76 long at 76. Then I bought back a full position at 74.50, will only give it 4 ticks to work.

 

I will look to scale at 3 places if I'm in sync with the market: 77.75, 80.50, and 83.00.

 

I will exit at 73.50 with a loss if I'm wrong here.

[joshdance 10]

I will look to scale at 3 places if I'm in sync with the market: 77.75, 80.50, and 83.00.

 

I will exit at 73.50 with a loss if I'm wrong here.

 

I actually just scaled a third at 75.50 -- and stop to rest is at 74.25, so no risk here. Looking for first two targets now -- 77.75 and 81.00

[joshdance 10]

Looking for first two targets now -- 77.75 and 81.00

 

Got 77.50, now one unit left, will let it try to break this balance and shooting for 81. Stop 75.25.

[joshdance 10]

Got 77.50, now one unit left, will let it try to break this balance and shooting for 81. Stop 75.25.

 

Out 79.75 here on last unit, time for lunch!

[joshdance 10]

Hopefully the live trade walk-throughs are helpful, and demonstrate both good and bad behavior and mistakes made, for any readers to learn from. I hope it's more helpful than posting a chart at the end of the day and saying "here's the obvious trade I took," as all trades look obvious and good at the end of the day. However, I can't explain everything in detail at the time, so to try to be as helpful as possible, here's my premise walk-through:

 

+ Since 10:14, when the market failed to break below 74.50, the sentiment was pretty "confirmed" for me as bullish, which was when I reversed to long. I had shorted 75s but when the market could not break the 74.75 on the second attempt, it "jumped" and showed a strong enough buyer aggression that I wanted to be out of my short and long instead. There is a quick surge of selling activity; this was their chance, and then you can see if you look at a tick-based chart that the offers basically pulled, and a retest of the 78 was likely

 

+ I exited half at 78, mostly due to the surge and lack of immediate followthrough.

 

+ I held onto half at a 76 basis, and finally gave up on it around 11:15 at 75. I should have given up on it sooner, but N talked me into holding on it, so it's his fault clearly

 

+ at 11:14 there is a surge in volume, possibly stops from long positions, followed by a lackluster attempt about 4 minutes later to 74. From there 74.25 held, and I became a buyer at 74.50; probably important to note that I am okay buying again here because of what I see in the volume, and also because of the tone of the day -- relative balance, not looking like a strong break up or down.

 

+ As the market inched up to the 50% of the 78 to 74 move, I became a bit concerned about the viability of the trade as there had been very little positive delta to that point. So I scaled a unit off for a point.

 

+ 77.50 was my target because it was essentially the top of the balance high for the day, so 2nd unit scaled there

 

+ Following this, though my target was 81 originally, the volume is so low today (64% of median 20d) that I expect the market to remain relatively balanced, and when volume surged again (a relative surge mind you) to 80, 79.75 was my quick exit, 5 ticks from my target. I tend to get out early sometimes, but IMO it doesn't make sense to risk giving up 2.5 points here (my stop would have been 77s) to gain a possible 1.25.

[joshdance 10]

Volume here at 81s and subsequent move is bearish to me, though I'm not quite ready for a short yet. Maybe I'm flat wrong, but I am cautious of a long at this point. If I see further weakness I will consider a short. Market has been relatively strong today given the circumstances, but it is still in a state of relative balance IMO.

[CYP 10]

Hopefully the live trade walk-throughs are helpful, and demonstrate both good and bad behavior and mistakes made, for any readers to learn from. I hope it's more helpful than posting a chart at the end of the day and saying "here's the obvious trade I took," as all trades look obvious and good at the end of the day. However, I can't explain everything in detail at the time, so to try to be as helpful as possible, here's my premise walk-through:

 

+ Since 10:14, when the market failed to break below 74.50, the sentiment was pretty "confirmed" for me as bullish, which was when I reversed to long. I had shorted 75s but when the market could not break the 74.75 on the second attempt, it "jumped" and showed a strong enough buyer aggression that I wanted to be out of my short and long instead. There is a quick surge of selling activity; this was their chance, and then you can see if you look at a tick-based chart that the offers basically pulled, and a retest of the 78 was likely

 

+ I exited half at 78, mostly due to the surge and lack of immediate followthrough.

 

+ I held onto half at a 76 basis, and finally gave up on it around 11:15 at 75. I should have given up on it sooner, but N talked me into holding on it, so it's his fault clearly

 

+ at 11:14 there is a surge in volume, possibly stops from long positions, followed by a lackluster attempt about 4 minutes later to 74. From there 74.25 held, and I became a buyer at 74.50; probably important to note that I am okay buying again here because of what I see in the volume, and also because of the tone of the day -- relative balance, not looking like a strong break up or down.

 

+ As the market inched up to the 50% of the 78 to 74 move, I became a bit concerned about the viability of the trade as there had been very little positive delta to that point. So I scaled a unit off for a point.

 

+ 77.50 was my target because it was essentially the top of the balance high for the day, so 2nd unit scaled there

 

+ Following this, though my target was 81 originally, the volume is so low today (64% of median 20d) that I expect the market to remain relatively balanced, and when volume surged again (a relative surge mind you) to 80, 79.75 was my quick exit, 5 ticks from my target. I tend to get out early sometimes, but IMO it doesn't make sense to risk giving up 2.5 points here (my stop would have been 77s) to gain a possible 1.25.

 

Great summary of your thinking Josh...takes time to digest and spit this stuff out, but it sure gives a good glimpse of what's going thru a trader's mind during a trading session.

 

This is much more detailed than my "throw a dart at the graph" approach...:crap:

 

CYP

[joshdance 10]

Volume here at 81s and subsequent move is bearish to me, though I'm not quite ready for a short yet.

 

Sold 81, half / third of a normal position due to low probability; pretty small stop as well.

[joshdance 10]

This is much more detailed than my "throw a dart at the graph" approach...:crap:

 

Give yourself some credit my friend, I doubt as if that summarizes your approach. You have had some very nice trades and you shouldn't sell yourself short (no pun intended )

[CYP 10]

Give yourself some credit my friend, I doubt as if that summarizes your approach. You have had some very nice trades and you shouldn't sell yourself short (no pun intended )

 

True..true...volume so light today.

 

I have position from 78 and holding until 83. Predicting late day rally coming up so don't short on me yet (...vice the other 'sh' word...)...

 

...but just in case, exit strategy always in place...

[joshdance 10]

Sold 81, half / third of a normal position due to low probability; pretty small stop as well.

 

Closed this at 81.50 when it touched the high... 2 tick loss on 1/3 position, not a biggie...

 

 

True..true...volume so light today.

 

I have position from 78 and holding until 83. Predicting late day rally coming up so don't short on me yet (...vice the other 'sh' word...)...

 

...but just in case, exit strategy always in place...

 

There you go, very nice -- 78 was a good entry for a long but I missed it and would have already closed anyway.

[joshdance 10]

reshorted 81.50, looking for 78 still.

 

edit: closed 82.25 for -3 ticks ..

 

CYP, your 83 looking very likely.

Edited April 9, 2012 by joshdance

[TheNegotiator 13]

82.75 is the 50% gap retracement. So if it breaks the up trend it could flush further from here.

[joshdance 10]

Current market activity is my least favorite type. Puny grinding up, easy to get run over countertrend, and because little to no rotations, no real good opportunities to join the trend either. 79.50 was an hour ago, and it's only 2 points above that right now.. no real benefit to getting in this either way, and sorry I tried earlier.

[TheNegotiator 13]

I think patience is often the key in this type of market. Often, you'll get a late break to jump on. Watch your delta/other markets for signs.

[joshdance 10]

Rotation looks promising so shorted 81.25, 78 is target

 

EDIT: out at 79.75, good enough for me for a rotation.. look at that volume per range

would have scaled but got in very small position

[joshdance 10]

reasonable place for a long, bought 79.75, 1/3 position only

 

EDIT added at 79.50, 3:42

target 82.00 and 83.50

Edited April 9, 2012 by joshdance

[joshdance 10]

reasonable place for a long, bought 79.75, 1/3 position only

 

EDIT added at 79.50, 3:42

target 82.00 and 83.50

 

A great day turned into a very average day with this... did the opinion of the market change that drastically that they would not sell much at all at 81, yet now they will sell heavily at 77?

[TheNegotiator 13]

A great day turned into a very average day with this... did the opinion of the market change that drastically that they would not sell much at all at 81, yet now they will sell heavily at 77?

 

Yeah absolutely it changed. Market auction is all about price discovery and when it failed to get into and hold the upper balance (3/14-4/5) it means that clearly we are too high. Imo we need to test lower to check for where and how much buyers will be motivated. First stop could be around last balance vpoc or one of the areas I highlighted in earlier chart.

[gosu 10]

A great day turned into a very average day with this... did the opinion of the market change that drastically that they would not sell much at all at 81, yet now they will sell heavily at 77?

 

Initially I wondered what was so great about today and why it turned into an average day and then I read all your posts for today and realized you were commenting about your p&l.

 

For me, a day that was nondom for most of the session after a large gap that occurred on a holiday is a below average trading environment. It's sort of like arriving at my favorite fishing spot at dawn and realizing that others had already been there and caught all the big fish while I was sleeping.

 

P.S. It's probably a good idea for you to debrief because it seems you were caught off guard by the obvious - the possibility of a resumption on the short side.

Edited April 9, 2012 by gosu

[joshdance 10]

Yeah absolutely it changed. Market auction is all about price discovery and when it failed to get into and hold the upper balance (3/14-4/5) it means that clearly we are too high.

 

Yes but you don't know that we fail to get into it until about 3:45pm. Until that point this can be just a minor retrace before new highs. The market was relatively bullish all day, though the buying pressure was a bit dim and it was not one-sided. That being said, I was being stubborn, and I could see at the time that I should have gotten out at 3:50 for a BE, but could not bring myself to click that "close" button! I was even short earlier, and had I positioned more than 1 unit in place, I probably would have simply held the 2nd unit for lower and would not have considered a long so strongly. Still my #1 problem, and a big one, but at least it's clearly identifiable. It's not like I was totally fooled--I was just totally foolish in this case!

 

The important thing is that it did what it did, not why it did it; for sure. I should not care why.

[joshdance 10]

Quite a busy week we have ahead of us -- earnings kicks off tomorrow after close, goog is on Thursday along with regular PPI etc., China GDP Thursday evening, then UoM CS, Bernanke (who will probably say something about unemployment/jobs situation), and JPM and WFC earnings on Friday. Whew!