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Dogpile

ES Trading for 9/24 + Rest Of Week

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Higher timeframe (15 min) is at 20min EMA, closed gap, and went up on lower volume. Not looking too promising for the long side. We may chop around here between 1524 and 1530. We'll see...

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yea...I just dont see the sellers yet. There is a tad more excess for longs to be concerned about than cheering on on the 5min chart anyways...but nothing thats making me excited about either direction.

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If the ES starts to trade below 1526, that would be a preliminary signal that control is transitioning to sellers. Confirmation is provided when the next time period (F) prints below 1526 accepting those prices.

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I am just watching the craziness, no trades yet... almost took a NQ short.

 

Just noting this 'PVP flip' --- just happened. Jerry discusses this phenomenon but I don't really 'get it' yet.. Just noting it for now.

 

note: a PVP flip is when the highest volume price changes. We had 28k contracts trade at 21.50 this morning. now we have 32k+ traded at 26.75.

 

VWAP on the day is ~1524.75 so far. If price trades down, the average price will be lower than the highest volume price and implies a 'negative skew'...

5aa70e08e22fa_Sep24ESPVPFlip.thumb.png.66983e631ff90cc19b163dd56166189f.png

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If the ES starts to trade below 1526, that would be a preliminary signal that control is transitioning to sellers. Confirmation is provided when the next time period (F) prints below 1526 accepting those prices.

 

According to Market Profile, control has transitioned to the seller.

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my thinking so far is that we effectively formed a fat profile of price acceptance around 31.00 yesterday. There was a break lower overnight but this has been rejected as price returned near 31.00. Thus, we are pinned up under resistance but have already tested lower. Thus we probably need to see a new 'balance' develop. This appears to be occuring now with my standard deviation bands contracting and nearly 40k contracts building at 25.50...

 

Price is being 'accepted' below yesterdays closing VWAP level but I don't know how important this is now because that trade played out overnight as we went down -10 off that 31.00 balancing -- my crude gauge for a good move after a balancing.

 

Thus, I would like to see some renewed momentum one way or the other and then play the first flag off of that for a low-risk, high-reward trade. Directionally, I am kind of neutral. Wish I had better conviction but just gonna try to go with some renewed momentum and hope for some trending action away from 25.50...

5aa70e08e8fb7_Sep24ES1215ESTUpdate.thumb.png.33811f13d1ac85d1a460f625770eb93e.png

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As you pointed out Dogpile, value is being built lower. This is bearish on a longer timeframe. If the ES trades above value, I will probably look to short. Things can change, but I'm looking for a short below 1524 or a short at 1531 or so.

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this reminds me of that other thread you started with stats about high or low being made in first 30-mins vs my post about pre-lunch high/low made (meaning in the 10am-12pm timeframe).

 

so far, we made low for day in first 35-mins, potential high for day made before lunchtime.

 

>40k+ contracts traded at 25.50 -- there are buyers out there... I hope we go down and stretch the range out which might make tomorrow a buy from lower levels on a Taylor buy day... Just think momentum has to be renewed as I don't see continuation selling here just yet.

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this reminds me of that other thread you started with stats about high or low being made in first 30-mins vs my post about pre-lunch high/low made (meaning in the 10am-12pm timeframe).

 

so far, we made low for day made in first 30-mins, high for day made before lunchtime.

 

>40k+ contracts traded at 25.50 -- there are buyers out there... I hope we go down and stretch the range out which might make tomorrow a buy from lower levels on a Taylor buy day...

 

I hear you and would agree that price can migrate in any direction at this point. So you think odds are that we'll have a Normal Variation Day and that the day's extremes have been pretty much established? This is a very real possibility for today based on the odds.

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<<So you think odds are that we'll have a Normal Variation Day and that the day's extremes have been pretty much established?>>

 

I don't really have a bias here. a test down could be ABC down and therefore be a buy. a test up could make a lower high and get rejected back down. Nevertheless, just going to try to find a clean entry and go with the momentum.

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Update,

 

market attempted an upside breakout... I bought and held for an hour but it didn't have legs and instead built a big PVP at 1526.75 (60k+ contracts) while volume overall has died. Net net, I made a trivial amount. Difficult structure.

5aa70e08f07b4_Sep24Structure1418pmEST.thumb.png.6585efe2ea6f614d3747ccc534cf0bad.png

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this reminds me of that other thread you started with stats about high or low being made in first 30-mins vs my post about pre-lunch high/low made (meaning in the 10am-12pm timeframe).

 

Have you guys ever tried to incorporate an opening range breakout strategy into your trading? I know in Marc Fischers book he mentions basically the same thing as far as the open and the high/low for the day. It seems like those ideas should be able to fit in with market profile/daltons openings quite well, somehow.

 

out of curiousity would todays open be considered an open test drive?

 

The wrest of the day just seems like a mess.

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Opening Range Breakout is a very old, tired strategy... Everybody and their grandmother knows it. Just doesn't seem like something so well-known could still work very well --- but I haven't tested it so I don't know.

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We may chop around here between 1524 and 1530.

 

Man, we traded in this range practically all day. Very boring trading day. One small trade today and that's it.

 

Things can change, but I'm looking for a short below 1524 or a short at 1531 or so.

 

Never really got a trade opportunity. We traded up to 1531.25 a little after 4pm EST, but I didn't take the trade because it was too late in the day for me.

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Opening Range Breakout is a very old, tired strategy... Everybody and their grandmother knows it. Just doesn't seem like something so well-known could still work very well --- but I haven't tested it so I don't know.

 

LBR's Short Skirt trade may be worth a try after a strong ORB,

but it is only a scalp trade. I did one during the last Fed Day

and it turned out to be more than a scalp. You just have to

trail your stop.

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Final Volume Distribution For Tuesday Sep 25, 2007

 

PVP was 1526.75 with 74,508 contracts traded there

 

After an Excess Low was put in on a gap down, the profile became symmetrical with final VWAP (26.75) = PVP and price just above this --- with significant 1531.00 resistance just above. Volume was weak after a strong start.

5aa70e092b222_Sep25FinalvolumeDistribution.thumb.png.944c35c31b2debc8c8ff5a869c5b1b8c.png

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I thought we might analyze the ES market in a different way and see if taking this bigger picture approach coinsides with others' thinking about potential future market activity.

 

I would like to see if there is any interest in discussing the ES market within the context of what Steidlmayer calls the four steps of Market Activity, which basically describes the steps of going from a balanced market to a trending market and then back to a balanced market. The four steps of Market Activity (as described in Steidlmayer on Markets) are:

 

  • Step 1: Series of prices in one direction.
  • Step 2: Trade to a price to stop the market.
  • Step 3: Develop around that stopping price.
  • Step 4: Move to efficiency (retracement).

I have attached two charts which area hopefully self-explanatory. According to the second chart, if my breakdown of the 4 steps is accurate for the ES, the ES is currently in step 3, which means that the ES may trade between the high volume area between 1538-1541 and today's low (buying tail) around 1520 prior to moving to step 4. This also agrees with Dogpile's high volume areas that he posted earlier.

ES-Step3.thumb.GIF.70fbe820abeab64998d0500558cab982.GIF

ES-NextStep.thumb.GIF.8745f581685216e5175933c6fa1bfa5b.GIF

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Do any of you follow Art Collins's free daily commentary and analysis at: http://www.tigersharktrading.com/authors/15/Art-Collins

 

I only started looking at it since beginning of the week, and his indicators for the equity markets have been quite bullish. Yesterday we broke down from the composite value area of the previous 4 days and the market had refused to go down any further. So far so good.

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<<Do any of you follow Art Collins's free daily commentary and analysis at: http://www.tigersharktrading.com/authors/15/Art-Collins>>

 

yes, I followed those after I first read his book about 9-12 months ago. I then joined a free site where I could chat with Art and did this for probably 8-10 weeks or so (site doesn't exist anymore). I learned that Art doesn't really use those czar-chart readings for his actual trades.

 

I wrote strategy after strategy integrating those various 'biases' that he talks about -- I couldn't seem to get higher than around a 55% win rate and they always had big drawdowns -- albeit profitable (most of his work involves daily charts). This eventually led me to the conclusion that you will basically never get a really good system based only on daily charts.

 

That said, there are some powerful ideas in his book. I have just set up another futures account to trade a strategy I wrote that is derived from one of his book strategies -- with a few of my own things added-in. I figure I will trade smaller contract size in this account, set the orders up in the morning and then focus on my trading account for the rest of the day. I am doing this because the strategy results are just incredible historically. I am willing to accept some drawdowns in this account -- even though the historical strategy results don't really show that. I will assume that 'future is not necessarily like past' and that there will be drawdowns --- this is the reason for smaller contract size. Although I didn't code it, I have a 'mental switch' that will turn the strategy off if the market just grinds higher for months on end. I feel like we just had a good market correction ('volatility storm') and therefore that now is not the worst time to begin a mechanical strategy.

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