Day Trading the E-mini Futures

[gosu 10]

I know that when I have a few beers, thoughts of the market get crowded out and are replaced with the desire to see more of the rose and thorns tattoo on the lower back of someone half my age.

 

I give you credit for remaining focused on the market.

 

It is not something I have control over. I've accepted it as a condition I have to live with until my time is up.

[joshdance 10]

Could you please explain in other words what you did analyze here exactly? I've re-read it now several times but I don't understand... :crap:

 

You mention the 30 min, 60 min, 135 min and even a 45 min period. How does these relate to the aforementioned AM, MD, PM sessions you did analyze?

 

I just redid some of my analysis using the cash session hours only, and they do not differ much but will explain in this context.

 

The cash session runs from 9:30am to 4:00pm ET. This is 390 minutes. We can break the day up into slices of time several different ways.

 

One way is to subdivide it three ways, as gosu has done. His times are flexible, but for the purposes of my analysis I decided to equally divide the day into three parts: 9:30 to 11:40, 11:40 to 1:50, and 1:50 to 4:00. Each period is 130 minutes in length.

 

Another way is to subdivide it into hours. So, we examine one period of 9:30 to 10:30, the next from 10:30 to 11:30, and so on, and finally we have 3:30 to 4:15, which is why I made the reference to a 45 minute period. But for my cash session analysis is a final period of only 30 minutes (3:30 - 4:00). We will have 7 such periods in this scenario, the final one being 30 minutes.

 

Finally, I examined half hour periods, the "traditional" MP frame of reference, and there are 13 such periods from 9:30 - 4:00.

 

Attached are charts showing when the HOD and LOD is made. I left out the "neither", since it skews the scale and is really only relevant on the 130m bracket analysis, where the 2nd bracket (midday period) is about 80% likely to be neither the high nor the low of the day.

 

The times are the times when the bracket closes. Also, this is for the last 250 trading days. It does not differ significantly using 1000 days (~4 years), or 250 days (~1 year). Though, the tendency to make the LOD earlier in the day, and the HOD in the final 90 minutes or so is somewhat significantly greater since Jan 1 of this year, for obvious reasons.

Edited April 22, 2012 by joshdance

[joshdance 10]

I would like to reiterate that I believe in the value of statistics, but that I do not trade directly off of this information. I am simply providing a statistical basis for gosu's comments regarding the way that the market behaves, generally speaking. Outliers are always possible, and stats be damned in such cases. But when the stats are similar in the prior 90 days, 250 days, and 1000 days, it does tell a convincing story about the "usual" pattern of market behavior.

[MightyMouse 12]

I analyzed about 8 years of ES data ending in about 2009 comparing the RTH to the overnight to a buy and hold for the whole year. My crude findings seemed to show that the bulk of the move in ES occurred in the overnight session, regardless of whether it was a bull or bear market. The interesting observation was that in a bear market. where the buy and hold strategy would have produced an overall loss, the bulk of the move down occurred in the overnight. Also, when the buy and hold strategy would have produced a gain, the bulk of the move occurred during the overnight. There were periods, during the bear market, that would have netted a profit if you had bought the open of the RTH and sold the close of the RTH. Conversely, there were periods, during the bull markets, that would have netted a loss if you bought the open and sold the close of the RTH. Or, put another way, you would have been better off buying the open and selling the close of the overnight session during a bull market and doing the converse during a bear market. Yes, you need to know for sure if it is a bull or bear market, but the goal of the study was not to attempt to figure out a "set it and forget it" strategy for trading ES.

[joshdance 10]

In doing my weekly prep, I noticed that neither briefing.com nor earnings.com had AAPL on their "highlighted" list of companies releasing earnings this week. This defeats the purpose of having a web site even list them at all, as I'd rather not pour through hundreds of names.

 

What the heck is wrong with these sites? Do they not know that AAPL is hands down, the #1 stock of attention for investors and the market, as far as single stocks go? What is wrong with them? Is there something very obvious I'm not considering here?

 

"Good thing I checked the 4/24 calendar and saw that Boyd Gaming is releasing earnings, whew, almost missed that one!"

[TheNegotiator 13]

Interesting overnight move so far. Considering the balance profile has matured a little so we can see some agreement of "value" (82.75 vpoc) and considering that value was rejected (in that it did not bring in new buying), the next session or two could have a big impact on the longer term auction. Fail to get above 65-66.50 (although possibly 70.50 too) and we could see another test lower to overnight lows and balance lows and possibly 47/48 area of significance. However, given the low prices it's also possible to see responsive buyers come in and if they are strong, close the gap. I would think if this does happen, that 92.50 will be a near term goal (probably not today but you never know).

 

Personally, my gut feeling is lower, but I could just be confusing that with stomach rumbling. Of course the last possible option is a "more data please" scenario where we don't actually do much other than develop some more volume (probably around 65-66.50).

 

One way or another, I'll be right! :rofl:

 

(cough) Here's a chart anyway:-

 

[MightyMouse 12]

No matter which direction we go, the overnight range is awesome. That is, awesome for ES. It should make for some really good daytime moves today. Good luck to all.

[joshdance 10]

Hope you guys are short at this moment. I missed an early buy, then tried to buy again, and lost 4 ticks on it. Then I shorted 57.75 around 9:50 -- almost shaken out a few minutes later when it retested, but held through it and just closed 1/2 at 55. Target was 54, but the sellers aren't quite "running away" with it so I was a little safe. 49 is my final target but it really needs to slide to get there with prior 4/10 support at 53 or so.

[TheNegotiator 13]

Early chart update:-

 

[joshdance 10]

Chart showing balance and failed auction after the open.

[joshdance 10]

49 is my final target but it really needs to slide to get there with prior 4/10 support at 53 or so.

 

I have closed and am flat at 56 ... unfortunately I stepped away for a moment when it went to 54 the second time, and I could have possibly closed there for a better price. It failed to get above VWAP, but lots of buying pressure coming in here, and sentiment may have shifted for the time at least. So, I'm flat, and waiting for next thing. If it goes lower, I'll try to jump on.

[joshdance 10]

Let's hope I'm not being flip-floppy, but I'm long form 55.50 -- it struggled way too much to retest the lows, let's see if we can get to 60.

[slick60 10]

Is anyone here familiar with and attempting to apply Peter Steidlnmayer's volume strip analysis at present.

For those who are not aware or familiar with his new approach to the electronic markets here is a link to a 94 minute video at the CME describing same.

CME Article Page - Single Player

 

I am trying to employ his reasoning on a 15 minute market profile chart with volume assessment on individual brackets broken down.

 

Thanks

 

slick60

[joshdance 10]

Is anyone here familiar with and attempting to apply Peter Steidlnmayer's volume strip analysis at present.

For those who are not aware or familiar with his new approach to the electronic markets here is a link to a 94 minute video at the CME describing same.

CME Article Page - Single Player

 

I am trying to employ his reasoning on a 15 minute market profile chart with volume assessment on individual brackets broken down.

 

Thanks

 

slick60

 

I watched that video several months ago, and unfortunately it is not that specific as far as actual methodology. The basic thoughts I got from that video are that we want to allow others to engage in price discovery and assume the risk. When they do, their footprints (volume) will be identified, and THEN we assume less risk by initiating trades at those (high volume) areas. That's about it as far as I remember though maybe there was more to it. Very logical, powerful stuff, but it seems not much different from using volume profiling, instead of a traditional market profile.

[joshdance 10]

Let's hope I'm not being flip-floppy, but I'm long form 55.50 -- it struggled way too much to retest the lows, let's see if we can get to 60.

 

Well I scaled 1/2 at 57, and holding the stop at 55.50, BE on the other half. High probability of being taken out, but no risk and only potential reward up to 59s for my target.

[joshdance 10]

Back in short, 56.50 ... time for it to go if it's going to.

[joshdance 10]

Back in short, 56.50 ... time for it to go if it's going to.

 

Out for -4 ticks ... enough of this chopfest for now, taking a little break

[slick60 10]

I watched that video several months ago, and unfortunately it is not that specific as far as actual methodology. The basic thoughts I got from that video are that we want to allow others to engage in price discovery and assume the risk. When they do, their footprints (volume) will be identified, and THEN we assume less risk by initiating trades at those (high volume) areas. That's about it as far as I remember though maybe there was more to it. Very logical, powerful stuff, but it seems not much different from using volume profiling, instead of a traditional market profile.

 

Hi Josh

Yeah that is basically it. This morning breaking auctions down as I do when a completed curve is in place and a new step 1 begins I split the brackets and take note of the vol number and wait for that number to be met. If we close the opposite way then it signifies minus development which Peter says "should run". Here is a snap as I had it.

 

2012-04-23_1056 - slick60's library

 

slick

[TheNegotiator 13]

Just looking at the broader picture for a comparison of action to the last break down from the upper balance. 4/4 & 4/5 was kinda a break before the break, but balanced. Today, we are in a very similar situation at the moment. The current RTH profile is quite balanced and relatively small. IF we do the same sort of thing, it's possible we reach up higher to that original 65-66.50 area.

 

[TheNegotiator 13]

Note on area: 59.50/60.00 is day 78.6% retracement/open/base of singles. Could be important.

[TheNegotiator 13]

Slightly updated chart from before to account for 4/16 naked vpoc.

 

[joshdance 10]

it's possible we reach up higher to that original 65-66.50 area.

 

That is what I'm hoping for as well. Hope is what it is, because I'm in it with no control except to exit at a point where it no longer looks probable. 62, test of pre-open balance high, then 65, is what my premise is.

[joshdance 10]

gosu, if you're around-- given your way of modeling the market, your general thesis is that if the morning high of 61.25 is taken out, then that means the low of the day is already in at 54 -- is that correct?

[gosu 10]

gosu, if you're around-- given your way of modeling the market, your general thesis is that if the morning high of 61.25 is taken out, then that means the low of the day is already in at 54 -- is that correct?

 

Today falls under the single caveat.

[joshdance 10]

Today falls under the single caveat.

 

Did you 'know' that before the open -- due to the gap? Or is this something you have discerned during the AM session? Is there a specific criteria (perhaps the large gap) that makes it more objective that this is the single caveat scenario?