[robster970]

Hi folks,

Just for some context even though this is my first post on this forum, I've been trading for over 3 years with some success on swing trading ES but I have historically been mediocre intraday.

That is, until I started looking at MP and the basic auction theory that underpins it.

So I'm having some short-term success right now trading intraday with most of these trades coming from one of two places:

1) Completion of the OS when the day in not an OD or OTD and where the swing is quite long-lived. Basically I can see the buyers/sellers coming into the market quite nicely when the OS is mature and done it's job of advertising for buyers/sellers.

2) Mean Reversion trades typically after the IB has formed but most notably in the first period after IB when the first test of an extreme is occurring. I usually run these to the VPOC/POC but if there appears to be a lot of momentum coming through on T&S then I'll try and run it to the other extreme. This is rare because I tend to exit at the first whiff of resistance once past the POC/VPOC.

As I become more attuned to MP, I'll probably see more opportunities reveal themselves but right now, I'm happy with these two areas.

My questions are associated with changing market conditions because right now, VIX is at 20, ES is quietly trending upwards but under mediocre volumes.

a) Does and increase in VIX typically result in wider IB's as well is implicit higher noise levels to compensate for when placing stops? I ask because this would mean trading fewer contracts but expecting greater movement especially if the IB is wider and reversion to POC/VPOC is a greater distance (basically wider stop but bigger target)

b) Do trending markets typically display greater OD/OTD/ORR opening types than bracketed markets because OTF participation is more overt in the direction of the trend?

c) Do MR strategies tend to work better in bracketed markets because OTF buyers and sellers are generally agreeing on value?

Any experiences of a greater variety of market states appreciated, especially how others alter trade mgmt under different conditions.

[robster970]

Was the opening post so dull that it made people's eyes bleed and as punishment, nobody has bothered answering?

[joshdance]

Originally Posted by robster970 »

Was the opening post so dull that it made people's eyes bleed and as punishment, nobody has bothered answering?

Maybe it's because your post asks many questions, all of which really require statistical back testing. Those are not the type of general questions that are answered easily. Just my

[TheDude]

Originally Posted by robster970 »

Hi folks,

Just for some context even though this is my first post on this forum, I've been trading for over 3 years with some success on swing trading ES but I have historically been mediocre intraday.

That is, until I started looking at MP and the basic auction theory that underpins it.

So I'm having some short-term success right now trading intraday with most of these trades coming from one of two places:

1) Completion of the OS when the day in not an OD or OTD and where the swing is quite long-lived. Basically I can see the buyers/sellers coming into the market quite nicely when the OS is mature and done it's job of advertising for buyers/sellers.

2) Mean Reversion trades typically after the IB has formed but most notably in the first period after IB when the first test of an extreme is occurring. I usually run these to the VPOC/POC but if there appears to be a lot of momentum coming through on T&S then I'll try and run it to the other extreme. This is rare because I tend to exit at the first whiff of resistance once past the POC/VPOC.

As I become more attuned to MP, I'll probably see more opportunities reveal themselves but right now, I'm happy with these two areas.

My questions are associated with changing market conditions because right now, VIX is at 20, ES is quietly trending upwards but under mediocre volumes.

a) Does and increase in VIX typically result in wider IB's as well is implicit higher noise levels to compensate for when placing stops? I ask because this would mean trading fewer contracts but expecting greater movement especially if the IB is wider and reversion to POC/VPOC is a greater distance (basically wider stop but bigger target)

b) Do trending markets typically display greater OD/OTD/ORR opening types than bracketed markets because OTF participation is more overt in the direction of the trend?

c) Do MR strategies tend to work better in bracketed markets because OTF buyers and sellers are generally agreeing on value?

Any experiences of a greater variety of market states appreciated, especially how others alter trade mgmt under different conditions.

depends. sometimes yes, some times no - like everything else in this gig.

Take today - OTD coming out of a ST bracket. thats a fairly high probability it will barry o to the BO. Sometimes you get the BO in the afternoon , sometimes on the open.

trade 'em!

[joshdance]

Originally Posted by TheDude »

depends. sometimes yes, some times no - like everything else in this gig.

Take today - OTD coming out of a ST bracket. thats a fairly high probability it will barry o to the BO. Sometimes you get the BO in the afternoon , sometimes on the open.

trade 'em!

ST bracket?
BO -> breakout?

Too many abbreviations for me!

[BlueHorseshoe]

Originally Posted by robster970 »

Hi folks,
c) Do MR strategies tend to work better in bracketed markets because OTF buyers and sellers are generally agreeing on value?

I am certainly no expert on Market Profile, but I can tell you that the ES (or other S&P500 tracking instruments such as SPY) are just about the best place to employ mean reversion strategies - if you can't make them work here then you're not likely to make them work elsewhere!

Apart from the ES, other (large) stock indices tend to exhibit a strong tendency towards mean reversion, so the Nikkei, FTSE, and Dax would all be woth examining.

I hope that's helpful, and sorry I can't answer your other MP questions!

[TheDude]

Originally Posted by joshdance »

ST bracket?
BO -> breakout?

Too many abbreviations for me!

LOL
OMG!

Short Term - you got the other one. shouldnt really post when im in the market

[Tams]

Originally Posted by BlueHorseshoe »

I am certainly no expert on Market Profile, but I can tell you that the ES (or other S&P500 tracking instruments such as SPY) are just about the best place to employ mean reversion strategies - if you can't make them work here then you're not likely to make them work elsewhere!

Apart from the ES, other (large) stock indices tend to exhibit a strong tendency towards mean reversion, so the Nikkei, FTSE, and Dax would all be woth examining.

I hope that's helpful, and sorry I can't answer your other MP questions!

can you expand on your mean reversion strategies? it sounds very interesting.