Day Trading the E-mini Futures

[roztom 10]

Originally Posted by clmacdougall »

Hi Tom,

 

I appreciate your posts but found it hard to see whether your market calls had been successful or not. Your scaling out process seems a major component of your trading system that needs clarification. Without this it undermines the clarity of your market calls. It made it hard to see if your understanding of the market was useful or not.

 

Cory: Please don't be offended but I am not a vendor nor did I think that by posting that I would be representing myself as a vendor/teacher, etc.

 

I never expected to have what I do questioned as far as "proof"..etc. Why would it be in my interest to do that?

 

I only posted so that those who have a market understanding built on these concepts would participate with me and also to show that there are tools and concepts worth exploring.. to show to those interested some of what I do as they do for me.

 

After that - as N. said..."we all have to go on our own search.. If you are skeptical of any specific methodology you should avoid it... "

 

Remember it is what works for you... None of us here are replicas of each other...none of us see the market exactly the same way - none of us use the same tools the same way -though there are often similarities with MP/VP and at the same time we can be completely on opposite sides of the equation..using the tools differently.

 

Do you see what the real issue is? It's not what anyone else does..there is no answer..that is why Black Box systems sell so well and fail all the time... there is no turn-key answer..

 

Remember if there was just 1 successful training program that was replicable and could be executed successfully - we would all know about it and have attended it..

 

I know I would have and my trading education has cost many, many, many - get the point -Thousands of Dollars and years of dedication, persistance, frustration, losses, deadends, etc.

 

... The point being if there was a simplier way I would have gladly chosen that path.. I think we all would have..

 

Cory: I think you have to find the answers within...Find a methodology that is not at conflict with your logic - then you have to mold it to be yours..

[roztom 10]

1st rotation area..As of 1:19cst we just touched 54.00 my first VP mini-support for a rotation up..

 

This is a location I would not take for a continuation trade or just a rotation.. (too close to HOD/NVPOC - which was filled).

 

The 50.00 - 50.75 ish area might be a different story depending what time we rotate there and how it smells when/if we do...

 

If you look at VP you will see these fat balance areas where the market paused and where it was supported with little volume... those are the key areas to be tested IMHO...

 

 

I am going to post this trade that I took...just for those of you who are following MP/VP..I wrote that there were 2 areas of support based on volume areas visible on the profile...

 

54.00 & 50.75ish...

 

I did not take the inital 54.00 (to the tick) that went with a 56.00 target - it worked..

 

14:15cst we one ticked the 54.00 area to 53.75 and quickly rejected it (Buyers Still Active there). I went long and scalped to 56.50... just a midget..not something I'd recommend since it was late in the day but the VP was speaking... I only got 1.5pts per contract but still pays a few bills..took 30min...

 

Not exciting just a gind it out trade... This is something I have been working on...it is a confluence of volatility and reading volume .. BTW the volume is just at areas that you would see on a bar/candle chart..support in this case... I prefer the volume...it can sort out one support area from another... IMHO..

[steve46 12]

Hello

 

The attached chart shows the last three trades of the RTH session

 

I am posting this because I think some may benefit from taking a bit of different approach to

end of session trades...by "end of session" I mean last hour (approximately)

 

Arrows indicate what I call "algorithmic reversal signals"...characteristically these signals consist of a test of a node....followed by price moving away from that test, then returning to retest....this reflects the programmed or automated component of the market...as bots get in front of the remaining order flow and test it one way and then the other....some of this is experience however when I see it (at this time of day) I look for my entry on the retest and then I am prepared to take a small profit only...and (as can be seen in the chart) I am prepared to reverse if I see the same constellation occur shortly thereafter....unlike a lot of folks I enjoy this last hour of the day.....for me it is a challenge to see if I can get into the flow and read it (read the tape) correctly...

 

I use both supply/demand nodes and the confluence of time based pivots or value to position myself for these kinds of trades.

Edited February 16, 2012 by steve46

[roztom 10]

Hello

 

The attached chart shows the last three trades of the RTH session

 

I am posting this because I think some may benefit from taking a bit of different approach to

end of session trades...by "end of session" I mean last hour (approximately)

 

Arrows indicate what I call "algorithmic reversal signals"...characteristically these signals consist of a test of a node....followed by price moving away from that test, then returning to retest....this reflects the programmed or automated component of the market...as bots get in front of the remaining order flow and test it one way and then the other....some of this is experience however when I see it (at this time of day) I look for my entry on the retest and then I am prepared to take a small profit only...and (as can be seen in the chart) I am prepared to reverse if I see the same constellation occur shortly thereafter....unlike a lot of folks I enjoy this last hour of the day.....for me it is a challenge to see if I can get into the flow and read it (read the tape) correctly...

 

I use both supply/demand nodes and the confluence of time based pivots or value to position myself for these kinds of trades.

 

 

Thanks Steve: Very interesting

 

As far as time based do you use the Profile broken down into 5min bars inside one hour hour profiles or some configuration to slice & dice it to see distribution or VA development on a smaller timeframe?

 

... I saw similar setups as you posted however I do not have any nodes especially up above us.. right near the high of the day as we were approaching it.. I do have one there now after the fact.. and I do have some further up..Could you give me an idea what they are based on..

 

In addition could you comment on how you use T&S strip when we were at those areas...

[steve46 12]

Thanks Steve: Very interesting

 

As far as time based do you use the Profile broken down into 5min bars inside one hour hour profiles or some configuration to slice & dice it to see distribution or VA development on a smaller timeframe?

 

... I saw similar setups as you posted however I do not have any nodes especially up above us.. right near the high of the day as we were approaching it.. I do have one there now after the fact.. and I do have some further up..Could you give me an idea what they are based on..

 

In addition could you comment on how you use T&S strip when we were at those areas...

 

Tom I am glad to answer but have to excuse myself for the moment..please give me a raincheck until this evening

 

Thanks

Steve

[roztom 10]

Tom I am glad to answer but have to excuse myself for the moment..please give me a raincheck until this evening

 

Thanks

Steve

 

Tx Steve.. Looking forward to it..

[steve46 12]

Okay got a moment now

 

First with respect to nodes....I use the term in a way that probably differs from your understanding. If you take a longer term chart, and simply identify one trending move....then go back in time to the origin of that move (usually you find an area of horizontal development)...that area is what I call an "underlying demand node"....if you go forward in time to the conclusion of a trending move, usually (in the S&P Futures Market) you see another area of horizontal development, and that area is what I term an "overhead supply node"

 

These areas (the origins and terminations of trend) represent areas where a temporary balance of orders existed, and then at some point as the last buy or sell order was executed that balance was tipped in favor of the next order that arrived....an imbalance is created...if that imbalance continues, what you get is the start of a trend....and if that trend continues (what I define as a sustained directional move) then you know that the imbalance of orders continues to exist

 

On a longer term chart this is relatively easy to see....what I have learned to do is to identify areas where an imbalance exists on an intraday basis

 

and to make that system viable I combine it with time based pivots which I talk about in one of my threads..Simply put, each time period from a year, down to a day....has an open, high and low...those data points are "activated" as we get closer to the end of each time period (traders are willing to come in and take action at or near those prices). Value Area High and Low (taken from Market Profile) are part of my "time based pivots".

 

When price tests and area where I have identified a previous imbalance and I see that there is a time based pivot "number" there are well, that is called "confluence"...I read the tape and if it looks good I enter at those points. This is one of the ways that I trade intraday.

 

As you may understand I am not willing to disclose all the details of that system but those are the broad strokes.

 

I hope that helps..(have to run again)

Steve

[roztom 10]

Okay got a moment now

 

First with respect to nodes....I use the term in a way that probably differs from your understanding. If you take a longer term chart, and simply identify one trending move....then go back in time to the origin of that move (usually you find an area of horizontal development)...that area is what I call an "underlying demand node"....if you go forward in time to the conclusion of a trending move, usually (in the S&P Futures Market) you see another area of horizontal development, and that area is what I term an "overhead supply node"

 

These areas (the origins and terminations of trend) represent areas where a temporary balance of orders existed, and then at some point as the last buy or sell order was executed that balance was tipped in favor of the next order that arrived....an imbalance is created...if that imbalance continues, what you get is the start of a trend....and if that trend continues (what I define as a sustained directional move) then you know that the imbalance of orders continues to exist

 

On a longer term chart this is relatively easy to see....what I have learned to do is to identify areas where an imbalance exists on an intraday basis

 

and to make that system viable I combine it with time based pivots which I talk about in one of my threads..Simply put, each time period from a year, down to a day....has an open, high and low...those data points are "activated" as we get closer to the end of each time period (traders are willing to come in and take action at or near those prices). Value Area High and Low (taken from Market Profile) are part of my "time based pivots".

 

When price tests and area where I have identified a previous imbalance and I see that there is a time based pivot "number" there are well, that is called "confluence"...I read the tape and if it looks good I enter at those points. This is one of the ways that I trade intraday.

 

As you may understand I am not willing to disclose all the details of that system but those are the broad strokes.

 

I hope that helps..(have to run again)

Steve

 

Yes very understandable.. Tx..

 

BTW: I'd like to read more on that..could you direct me to that thread..tx

 

Could you discuss what you do with the T&S strip when price is at your area? Also do you filter T&S with a minimum number of contracts biid/offered for it to show?

 

 

Running to dinner

 

tx

[steve46 12]

Yes Tom

 

"The Tape" (for me) consists of the time & sales strip, NYSE Tick and a combination of $Vold and $ADD (Esignal or equal)...and finally I watch the DAX for "agreement"....simply put, when the market tests a key reference area, I am looking to see if it holds a bid (or not)....

 

When price tests a Key Ref Area, I simply watch the roll (T&S) and estimate totals for short time periods....as price responds I look at the Tick, watching for tests of extremes and for higher highs/lower lows....also try to scan the DAX for agreement....because the VOLD and ADD are slow to respond I look at them last.

 

Unfortunately I don't think it is possible to describe in detail how it looks on a website...I think you have to see it with someone who knows what to point out as it happens..

 

The thread is "An Institutional Look at S&P Futures" in the Emini Forum

 

Hope that answers some of your questions

 

Best Regards

Steve

Edited February 17, 2012 by steve46

[steve46 12]

Chalk it up to sleep deprivation...you wanted to know if I filter for size on the tape...I do not....I was taught to see the tape "natural" and to estimate size for 5 second bursts. You can't do that accurately if the size if filtered...

[roztom 10]

Chalk it up to sleep deprivation...you wanted to know if I filter for size on the tape...I do not....I was taught to see the tape "natural" and to estimate size for 5 second bursts. You can't do that accurately if the size if filtered...

 

Thanks Steve for the post.. When I use an unfiltered T&S strip it flies so fast my head spins..

 

Appreciate the comments. I will check out your thread..

[joshdance 10]

Thanks Steve for the post.. When I use an unfiltered T&S strip it flies so fast my head spins..

 

Appreciate the comments. I will check out your thread..

 

I also watch the tape unfiltered, but the problem with using ONLY the tape is that in a contract like ES, in a burst of activity you will literally never see it print; in fact, it simply won't render on the screen. So, to accurately see how much volume actually traded you need to look at a separate volume indicator. Watching the volume build on the indicator, and observing the speed of the tape, is very useful to me also. There are also times of relative inactivity during lunch, for example, where you may see buying or selling pick up for a few seconds as the tape gets very active, but then you look at how much traded and you will see it is very little. So, only having 100 or so lines of text tells a small piece of the story, because it is not representative of what actually happened, since it happens so fast these days. A two to five thousand contract burst in the millisecond time frame will never make it to your eye only looking at the tape, unfortunately.

 

Back when Wyckoff was doing it, he got prints every few minutes... imagine the speed of that tape!

[TheNegotiator 13]

So as a possible consideration right now, you could look at the fact the ES has moved away from the 56.50 area as a potential sign it could test higher. If the 58.50 is taken(and I think we started testing just as I am in the middle of writing the post which is again why it's hard to post trading ideas while trading) there is a chance it will move to test the 62.25 area properly(i.e.it missed by a few ticks earlier). on any move higher, I'd be looking at a number of things but perhaps most pertinently the short term cumulative delta. A weak reversal on it and there could be reason to believe that others are not 'joining in' on the move up so perhaps it won't last. I'll try to do a chart explanation in a few. Just to point out, this is a trade I won't be taking. Not because I think it's not very likely or anything like that, but because I just don't really want to trade into OPEX holiday weekend.

[TheNegotiator 13]

I also watch the tape unfiltered, but the problem with using ONLY the tape is that in a contract like ES, in a burst of activity you will literally never see it print; in fact, it simply won't render on the screen. So, to accurately see how much volume actually traded you need to look at a separate volume indicator. Watching the volume build on the indicator, and observing the speed of the tape, is very useful to me also. There are also times of relative inactivity during lunch, for example, where you may see buying or selling pick up for a few seconds as the tape gets very active, but then you look at how much traded and you will see it is very little. So, only having 100 or so lines of text tells a small piece of the story, because it is not representative of what actually happened, since it happens so fast these days. A two to five thousand contract burst in the millisecond time frame will never make it to your eye only looking at the tape, unfortunately.

 

Back when Wyckoff was doing it, he got prints every few minutes... imagine the speed of that tape!

 

Yes indeed. Take a look at a bidxask footprint chart. This way, you may be able to see the tape(in combination with a T&S- although remember the orders are unbundled anyway.)

Edited February 17, 2012 by TheNegotiator

[TheNegotiator 13]

okay after the break back up here i'd be monitoring activity and watching for the 58's (first low swing and wed's eth high) to hold on retest for continuation higher.

[TheNegotiator 13]

plus of course the vwap/vpoc we are bumping up against right now...

[joshdance 10]

I am in a sim short right now, average is 58.75, I shorted 59 and scaled one off at 57.50, and re-added. Looks like a nice double top to me at the high, and though yesterday's high has held, delta is negative enough that I'm willing to give this a try. Stop is at 59.50 so loss would be minimal if stopped out.

 

Targets are below at 55.25, 53.75

 

edit: to be useful, my entry criteria was basically that the high was retested without much fanfare or push, and honestly that little push right before the open seemed a bit fishy. Since we tested the overnight high and double topped, my guess is that we will test the overnight low, but I will take some off at yesterday's VPOC area along the way if we get there.

Edited February 17, 2012 by joshdance

[joshdance 10]

Yes indeed. Take a look at a bidxask footprint chart. This way, you may be able to see the tape(in combination with a T&S- although remember the orders are unbundled anyway.)

 

I have used footprint charts before and don't find them helpful to me personally. I have a VB showing me rolling volume per time on my volume charts along with the delta--so, it gives me what the tape does, except I like to have tape up for a quick momentum glance. Footprint is great if you want to see where the volume was concentrated, but I'm more concerned with how much in what period of time.

[TheNegotiator 13]

Fair enough. I think it's quite a personal thing actually with regards to how you see the trades as they print. Those are the targets I would have below aswell btw with possibly a test from above of 52.50 too. I anyway, it doesn't look like there's too much going on right now. just need to watch this current move to see if we get a lower or higher high.

[joshdance 10]

Fair enough. I think it's quite a personal thing actually with regards to how you see the trades as they print.

 

Indeed -- and my point in replying initially was simply that with T&S alone, in times of high activity, you don't actually see the majority of the prints, which means another tool can be useful to determine what actually happened.

[joshdance 10]

Not a reason to initiate a long yet for me, but order flow shift here at 11:18am -- enough buying to close my short, got a little over 2 points per contract on this. The VPOC from yesterday hit to the tick, from here it's too drifty to tell for me, so I'll just watch.

[TheNegotiator 13]

Midpoint, vwap and earlier vpoc all coming in around 58 here

[TheNegotiator 13]

Okay, I did a chart for what has gone on so far with points of interest. Remember it is fairly quiet. The thing is, a big part of it is that you watch to see what the market does at the areas of interest. It tests one side, fails, then tests the other. Or tests one side, breaks, then moves to the next. But much of the interpretation is done on the fly so I hope the chart is reasonably understandable.

 

[roztom 10]

N,Josh & Steve: Thanks for the comments on T&S... I find I can't have too much coming at me so I don't use it since I can't read it and watch the bars, Delta, etc.. - Multi-tasking anyone..

 

Today I also grabbed a few points on the short side to fill the gap, etc and am knitting...

 

Like Josh I believe, I am now in Sim to try to work on my rotational scalping..

 

I figure OPX might be about as bad as it gets so this is a good market for me to try to read and Sim... Indicators, etc tend to flip-flop which is what I want... The activity is usually on the open so this is like an extended lunch time trading... I figure if I can work a market like this & come out then I'll have my bases pretty much covered...

 

One thing is by end of week I am mentally caput so it is hard to keep focus..but that is why I'm doing it..

 

BTW, other than the levels we all seem to identify MP/VP I also target the other side of the 1/2 - 1/4 hr swings since I figure if everything sets up that we have a good probability of ticking those areas for stops... especially going into luch when I have observed when we get counter rotation...

 

TO give you a sense of it I am targeting 58.50 -58.75 level..and then 59.50 - 60.00 ish & the bottom of the Open swing on MP. It is the DVAH and that's where we might get some stops "if"we rotate... then again on OPX everybody might be cocktailing already... :doh:

 

I also of course use volatility bands for trade location and the magic 8 ball...

 

If you look at the current market @ 11:38 cst we have RE down, etc... In my mind I "suspect" the downside has been fulfilled - at least for now so the path of least resistance is an upward rotation- definitely counter to the RE but also along with the larger trend.. Not expecting much 2 - 3 pts on a few contracts isn't bad... with tight risk control..

 

SO Sim it is...

 

If anyone here is scalping I'd like to discuss it - tools, multiple timeframes, etc.

 

I allow for more slop when I am entering on my larger swings... usually I give up 1.25 -1.50 off a Swing H/L when I enter.. so I am trying to slice the salqami thinner but as you know that has problems.. I am trying to use a 233 t chart to read the candles at my areas since the scalping doesn't give you much room.. the entry is the issue for me not the exit so I am trying to see if I can get better execution going in without getting faked out in the noise... I have trades 233t before and it can be manic but when we get to the edge on aa envelope in a larger timeframe - for me 1.25R I like to look for a reversal pattern on the 233.

 

So if any of you have a good multi-time frame integration I'd appreciate hearing about it..

 

BTW, I am using dual BB's 20 SMA 1.9 & 2.45 - just to try to get ahead of the crowd... I also use another time frame that aligns with the 1.25 20 SMA so the bottom of the lower time frame BB lines up with the 20SMA 1.25r. I use that for repositioning with the trend for a continuation trade.. Of course when everything aligns like VP Cum Nodes or interday Developing Volume areas it helps.. I am not necessarily targeting the opposite sides of the envelope I look for the stops and anything else where I think the market will be attracted to...

 

Sorry for the ramble but the caffeine is wearing off :missy:

Edited February 17, 2012 by roztom

[joshdance 10]

N, I looked but can't find it -- you referred to a "weak low" recently and in your chart just now. How do you define this again?