Day Trading the E-mini Futures

[TheNegotiator 13]

Yeah that 92.50 area is important as was 1400.75 above. I think another test of yesterday's high would give us a better idea of market intent.

 

(although we have seen a little turn so far off the current midpoint)

[joshdance 10]

Very good post, and I have had many similar thoughts many times.

 

By the way Db, I saw that you "liked" cl's post, and if you are reading, would love to hear your input on this as well, as you have always written from a very balanced point of view when it comes to volume--you don't seem to bow to the volume gods, but you do recognize their existence. Here are my thoughts:

 

  clmacdougall said:

Any and all movements of price are significant.

 

I do agree, and I did not mean to imply that the only price movement that matters is during the daily session, for example. Other world markets are active and generally speaking, the US futures markets are arb'd and on much less volume, often move equal or larger amounts.

 

 

  clmacdougall said:

No matter the amount of barnacles on the bottom of the whale, it still moves where it wants.

...

To consider that the activity of an instruments movements are due to its daily players alone is ridiculous, 2008 most recently proved this!

...

Volume and delta in my opinion are glimpses of heavy and light games of tug of war. They can happen between 2 individuals at a moment in time or between 200,000 . One thing that does not change no matter the amount of players, both moments are speculative activity, guesses!!

 

I understand what you are saying here, and it's an interesting thought, but here is my question in response to this: who is the whale? If the daily players are like barnacles, then what is the whale? Isn't it more like a flock of birds who all move together, rather than some unknown mass with small tag-alongs? I see the activity of the "daily players" as collective activity; they are the market... who else is there?

 

 

  clmacdougall said:

The reason I find volume and delta to be deceptive is that you can never define the intent, only the action of what was. Delta and volume may both show heavy buying but with what kind of intent involved?

...

Because the intent or wisdom becomes impossible to understand, why not simply focus on the results of any and all movement. Although this may not be perfect, it might be better than believing in what you think the intentions of others are!

 

This is probably your strongest argument, and the one I most agree with. Smart/dumb/whatever, does not matter.

 

Speaking of Db, the thing I read that he wrote so many times that stuck in my head is this: volume equals only one thing objectively: participation. So, I do not attempt to assign an intent on what I see, but I do recognize that when volume is higher at some prices (or some time) than another, there is more participation at that area. It very well could be that a broker just got an order from a client to buy at the market, and that it doesn't matter if he buys right now, or after lunch, and that he does not care what price he gets. In this case, it's quite random behavior, and the volume at price won't mean much, but then again, neither will reactions in price, so the market price itself will give a "false reading" of someone's intention here as well. But I digress.

 

  clmacdougall said:

The markets reward not the right, but the early!! Too much information clouds your ability to be the early entrant. Without this you have no hope of making money in the markets consistently. If you are buying when others are buying and the price is rising then you are buying at the wrong time and will never be the early entrant, you will only be the fuel that allows the early entrant to be consistently profitable.

 

I do agree with the first sentence. But it can also severely punish the early. Yesterday is a great example of how the market rewarded quite well any who bought as the market was breaking north of 90 (and who closed before the end of the day ). This is always the tradeoff, good price, or more "confirmation" (if such a thing exists haha). I think this is less a function of markets in general, and more of the market on any given day, whether it is balancing/ranging/mean-reverting, or trending in search of value elsewhere.

 

  clmacdougall said:

You'll never be able to identify the right side of the market by following volume and delta

...

Will write more later, let me know what you think. Its all just my opinion!!

 

Well, I'd have to put that first sentence in the "blanket generalization" category, though I do appreciate that as you say it is your opinion which you are certainly entitled to have!

 

I really do enjoy this conversation. Doing this type of thought gets me thinking along lines that I have not thought in a while, and to be honest, creates doubt in me. But doubt is the only way to change and grow. If we only accept things which are in line with what we already believe, then we are doomed to forever hold only one set of beliefs, and doomed to forever be stagnant and unable to grow. So, I will either reinforce what I currently believe more in, or I will change my perspective and try new things. Either way, it's a win-win for everyone who allows the ideas of others to challenge their own.

[TheNegotiator 13]

What did you make of the test then Josh?

[joshdance 10]

  TheNegotiator said:

Yeah that 92.50 area is important as was 1400.75 above. I think another test of yesterday's high would give us a better idea of market intent.

 

(although we have seen a little turn so far off the current midpoint)

 

The VPOC and VAL are steadily shifting up since the low was put in, and this is possibly the tipping point here... do we really want to be back above yesterday's range and explore prices there, or are we content to accept lower than 99, and possibly explore further down?

[TheNegotiator 13]

  joshdance said:

The VPOC and VA are steadily shifting up since the low was put in, and this is possibly the tipping point here... do we really want to be back above yesterday's range and explore prices there, or are we content to accept lower than 99, and possibly explore further down?

 

We're still in an upward channel and so I think we need to break the midpoint at least to rotate lower by much. I do feel like there's a decent chance it will move higher later today so what's the reward in selling here? Not sure. :missy:

[joshdance 10]

  TheNegotiator said:

What did you make of the test then Josh?

 

I am relatively neutral N -- rejection, but not convinced, and it's hanging around here quite a lot, building value ABOVE yesterday's upper balance area...

[TheNegotiator 13]

On volume and delta. One thing we are failing to mention is context.

[TheNegotiator 13]

  joshdance said:

I am relatively neutral N -- rejection, but not convinced, and it's hanging around here quite a lot, building value ABOVE yesterday's upper balance area...

 

Yeah I'm not sure right now either. Delta is starting to tip so would need a follow through for a rotation lower. We'll see.

[TheNegotiator 13]

Interestingly this is a point about intentions for delta. If delta is moving against price, it kind of shows that the underlying intent of the "stronger" hands is with price and could lead to capitulation opposite to delta direction at some point.

 

 

Although this isn't exactly a textbook case of that either.

[DbPhoenix 42]

  joshdance said:

Very good post, and I have had many similar thoughts many times.

 

By the way Db, I saw that you "liked" cl's post, and if you are reading, would love to hear your input on this as well, as you have always written from a very balanced point of view when it comes to volume--you don't seem to bow to the volume gods, but you do recognize their existence. . . .

 

Speaking of Db, the thing I read that he wrote so many times that stuck in my head is this: volume equals only one thing objectively: participation. So, I do not attempt to assign an intent on what I see, but I do recognize that when volume is higher at some prices (or some time) than another, there is more participation at that area. It very well could be that a broker just got an order from a client to buy at the market, and that it doesn't matter if he buys right now, or after lunch, and that he does not care what price he gets. In this case, it's quite random behavior, and the volume at price won't mean much, but then again, neither will reactions in price, so the market price itself will give a "false reading" of someone's intention here as well. But I digress.

 

Well, I seem to have made that point . But another which I may not have stressed as much is that volume matters only at inflection points. If you're in a trend, for example, it is a grievous mistake -- perpetuated by certain volumecentric trading philosophies -- to conclude that you're in trouble when volume declines. Ditto if you're meandering through a range. It's at the limits of that range, or the test of the trendline, that one should be paying attention to changes in volume/participation. Otherwise, blow it off.

 

I should also point out, however, particularly if one doesn't have a volume plot, that if one is watching the activity real-time, it's not difficult to assess the level of "excitement" as price moves toward and away from one of these points/levels.

 

But enough chat. Back to work.

 

Db

[TheNegotiator 13]

  DbPhoenix said:

Well, I seem to have made that point . But another which I may not have stressed as much is that volume matters only at inflection points. If you're in a trend, for example, it is a grievous mistake -- perpetuated by certain volumecentric trading philosophies -- to conclude that you're in trouble when volume declines. Ditto if you're meandering through a range. It's at the limits of that range, or the test of the trendline, that one should be paying attention to changes in volume/participation. Otherwise, blow it off.

 

I should also point out, however, particularly if one doesn't have a volume plot, that if one is watching the activity real-time, it's not difficult to assess the level of "excitement" as price moves toward and away from one of these points/levels.

 

But enough chat. Back to work.

 

Db

 

Agreed. The relative change in delta and volume at key reference point can be crucial early indications of market intent.

[clmacdougall 11]

"I understand what you are saying here, and it's an interesting thought, but here is my question in response to this: who is the whale? If the daily players are like barnacles, then what is the whale? Isn't it more like a flock of birds who all move together, rather than some unknown mass with small tag-alongs? I see the activity of the "daily players" as collective activity; they are the market... who else is there?"

 

I'd like to add one word to your sentence about daily players "indiscernible" . Collective only in the sense of activity, not in the sense of purpose or intent!! No amount of statistics can prove the intent of participants within a node.

That being said I know that you follow a context derived from overlapping market activity, this may handicap a trader and not allow him to see an area for early entrance. You are judging all of my statements through the lens of MP.

I stated earlier that I feel the bell curve is suited to base statistics only and not a good fit for the financial markets. It is a misapplied science and an improper evolution of Point and Figure chart work. It was a mistake made by Steidlmayer that he himself admits to.

The whale is price. It's context should be appreciated as a whole and no part of it can be overlooked or ignored. Every bit of it is meaningful. The mistakes you could make without taking it all into perspective are many in my opinion. High volume decisions in other markets effect the emini through the night but are seen as low volume trade due to the lack of market participants at that time; this shouldn't be confused with a lack of conviction or importance!

 

"In this case, it's quite random behavior, and the volume at price won't mean much, but then again, neither will reactions in price, so the market price itself will give a "false reading" of someone's intention here as well."

 

Maybe you've not given enough work to studying price for yourself and have moved on to MP without making the most of what can be discerned from price alone. Start at the beginning and like Kelloggs "Try it again for the first time" There is a wealth of information offered by price alone that has still hardly been touched.

 

I do agree with the first sentence. But it can also severely punish the early. Yesterday is a great example of how the market rewarded quite well any who bought as the market was breaking north of 90 (and who closed before the end of the day ). This is always the tradeoff, good price, or more "confirmation" (if such a thing exists haha). I think this is less a function of markets in general, and more of the market on any given day, whether it is balancing/ranging/mean-reverting, or trending in search of value elsewhere.

 

You are deciding by your choice of context that the early entrant can be severely punished, I believe you are gravely mistaken. There is no better place to be than at the point of early entrance, where you are risking less than your reward could be.

[TheNegotiator 13]

Interestingly, RTH if we look at the balance from 3/13, including it we don't have a vpoc shift by ~2k but if we exclude 3/13 vpoc has shifted from 82.75 to 97.50.

[gosu 10]

In trading:

 

Does the early bird get the worm? Or does the second mouse get the cheese? Or are they both bound for extinction?

 

Might make a fun poll question.

[TheNegotiator 13]

  gosu said:

In trading:

 

Does the early bird get the worm? Or does the second mouse get the cheese? Or are they both bound for extinction?

 

Might make a fun poll question.

 

Depends on context, volatility, risk parameters etc.

 

It's possible to trade well with either style (so long as the second mouse isn't too late).

[TheNegotiator 13]

Vote now: VPOC @1398.00 or new highs >1403.00?

[TheNegotiator 13]

I'm voting vpoc then new highs

[TheNegotiator 13]

:helloooo: nobody want to play? you have virtually 50:50 chance (not starting that conversation right now, just saying).

[gosu 10]

  TheNegotiator said:

Depends on context, volatility, risk parameters etc.

 

It's possible to trade well with either style (so long as the second mouse isn't too late).

 

The worst thing that can happen to the second mouse who is late is it misses out on a meal. The first mouse missed out on the meal also but paid a price as well.

 

The analogy is fun but simplistic. So I'll try it without the analogy.

 

Being early and being late are both errors in timing, and they presuppose that there is a moment - neither early nor late - that is ideal. Call that moment, "perfect timing." Perfect timing does occur but imperfect timing is more common.

 

For me, it is better to risk being late than risk being early. This is from my experience, and again, this has little meaning without describing what "perfect timing" means. In general terms, I would describe it as being the moment when the herd changes direction from a prior direction or takes off from a standstill.

[joshdance 10]

  clmacdougall said:

No amount of statistics can prove the intent of participants within a node.

 

What is a node CLmac?

 

  clmacdougall said:

That being said I know that you follow a context derived from overlapping market activity, this may handicap a trader and not allow him to see an area for early entrance. You are judging all of my statements through the lens of MP.

I stated earlier that I feel the bell curve is suited to base statistics only and not a good fit for the financial markets. It is a misapplied science and an improper evolution of Point and Figure chart work. It was a mistake made by Steidlmayer that he himself admits to.

 

When you talk about the context derived from overlapping market activity, what is the alternative? Non-overlapping market activity? Is this like looking at each day in its own context, as opposed to compared with prior days, where you would ignore prior highs, lows, etc.?

 

I do not really adhere to many original MP ideas such as the value area where the distribution is not normal, for example.

 

  clmacdougall said:

The whale is price.

 

The market price is simply where the market is trading. It is not an entity, or a "thing" -- it is simply a result .... I just don't get how you can say this, but to each his own.

 

  clmacdougall said:

Start at the beginning and like Kelloggs "Try it again for the first time" There is a wealth of information offered by price alone that has still hardly been touched.

 

I can see the value in this. But there must be some qualification for entering the market if price alone is the sole metric. What do you think?

 

 

  clmacdougall said:

You are deciding by your choice of context that the early entrant can be severely punished, I believe you are gravely mistaken. There is no better place to be than at the point of early entrance, where you are risking less than your reward could be.

 

From a practical perspective, I know that early entry often means wrong direction, such as buying a support which has not proved to be a support, and then finding out that the direction was entirely different. I'm sure we've all been there.

[TheNegotiator 13]

  gosu said:

For me, it is better to risk being late than risk being early. This is from my experience, and again, this has little meaning without describing what "perfect timing" means. In general terms, I would describe it as being the moment when the herd changes direction from a prior direction or takes off from a standstill.

 

I guess that really depends on how you prefer to trade. I like to get in early if I can and then see if I'm right. There has to be something to make me think there's a good chance it'll at least get me onside though.

 

Anyway, I hope at least some of you managed to stay awake today and make some $.

 

Have a great weekend everyone!

[bakrob99 11]

  TheNegotiator said:

Obviously you can throw 96.25 in there too as yesterday's VPOC.

 

Rather than concentrate on HiVol levels, I have found it more helpful to watch Low Volume nodes only. And the 30min bar's VPOC

[gosu 10]

  bakrob99 said:

Rather than concentrate on HiVol levels, I have found it more helpful to watch Low Volume nodes only. And the 30min bar's VPOC

 

It only took 488 pages for this to be pointed out.

[clmacdougall 11]

What is a node CLmac?

 

Nodes are the results of the horizontal building of a profile through price or volume either rotating or building in an area of active trade as compared to the price areas above and below that area. Josh, I find it hard to accept you don't know what a node is, as you speak about them all day everyday here on this thread. Why act so disingenuous?

 

When you talk about the context derived from overlapping market activity, what is the alternative? Non-overlapping market activity? Is this like looking at each day in its own context, as opposed to compared with prior days, where you would ignore prior highs, lows, etc.?

 

Josh, my point is that I believe more is lost than gained by appreciating voluminous or rotational nodes as opposed to the activity which created them!

 

The market price is simply where the market is trading. It is not an entity, or a "thing" -- it is simply a result .... I just don't get how you can say this, but to each his own.

 

The action and activity of how the market got to where it's at from where it was is meaningful in my opinion. I've already told you how I consider all price activity equally meaningful no matter the volume so all that's left is to disagree on contextual understandings of how we individually view the market.

 

All the best,

Cory

[Patuca 13]

...man...... the only rotation in the markets is from your pocket to their pocket and occasionally from their pocket to your pocket:haha: