How do you get volume to figure out the value zone. The point that this at best could be very time consuming unless you have software that computes this. Iguess you can guess this with a scattergram chart with vol on the y axis and price on the x axis. Obviously this requires programming and is possible but if you don't have a programmer who works cheap you are out.
Everything posted by Marek Liyanage
Levin recommends going long or short as close to the extremity of the VA as possible with a point stop. In the morning it traded within the VA meeting criteria at the 10 AM bar, but rallied back to It then continued to meet the criteria, and traded down to Best to use a break even or better stop on the second contract after taking profits at an interim target on the first contract. Try for a 2.
Anyway, that is how I think of it, but perhaps others do it differently. I use Interactive Brokers, which provides real time and very low commissions. Using the e-mini is the value zone determined based on the full day trading including overnight action? Months ago I checked out this system and had the very same question..
If I took time and sales from yesterday and ran them thru a spreadsheet I guess I could massage the numbers and come up with the 'value area'.. But I trade a variety of stocks and it was completely impractical. Unfortunately their charts only show daily or weekly, so although you can check for 'headroom' or 'vacuums' in the volume at certain prices, you can't see those areas on say a 5 minute chart, so it would not work for this system.
However, ThinkOrSwim offers their platform for free and they do implement 'VolumeProfile' as one of their studies. Apply it for any chart on the 1 minute timeframe and you get a top and bottom of the value area and a 'POC' which pretty much corresponds to the most actively traded timeframe. Pretty easy to see. Fortunately, Barry Levin publishes those numbers in his daily pre market newsletter which anyone can sign up for. He and his traders also have webinars and provide a training program. They evidently have up to 12 techniques they use. You have to extrapolate a bit as Marketclub provides 20 minute delayed quotes, but I also have IRA accounts with Fidelity so have access to real time quotes from them.
With my HP laptop, I do alright. I am retired so I don't have a day job. I would not advise doing it unless you are able to do it full time. However, these techniques have provided me with some excellent position trades, and one advantage of using the options is 'staying power' so that there is the option of carrying a position overnight or longer, something one probably would not want to do with the E-Mini with the overnight swings.
It is a killer indicator for trading the E-Mini with low risk entry points. One needs real time prices for best use. The POC point of control is in the value area at the price where the highest volume took place and acts as a pivot. Here's what I think would be awesome. I mean think about. It could supplement the trade triangles technology nicely as they tend to become less useful in trading markets like the kind we've been in.
A very interesting tip. Please respond.
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The adjustments I talked about the other night would have traded the first 3 swing highs 2 winners, 1 loser , the current settings missed those but was 2 ticks of triggering on the daily high for a premium short. Anyway for today, the entry was nice long at This setup would be making me as a discretionary trade get to the short side and exit the ATS trade.
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The painted green line is the target for this trade 4pts which seems unlikely given this technical setup. The long system runs a risk reward ratio due to the bullish nature of the overall market. I think this is going to get stopped out pretty soon, which means I really need to figure out how to code a trailing stop in thinkscript for these situations.
The ATS stop is at Anyway, as anticipated I was stopped out of the first long that DeathFromAbove took today. However it entered again later in the day with the profit target hit as the session drew to a close. There were actually 3 continuation trades to the downside in afternoon trading, which I would have taken short with discretionary trading.
It is highly improbable that I would have manually traded the second buy signal today, even though it was a nice morning star reversal:. On to the crude trades, where I left cash on the table in DO and decided not to flip positions in CAM which was showing more weakness. I also caught a quick scalp long in CB on a bull flag this morning, closing for a small profit before it reversed with the market.
Regional banks and financials got a hammering today, so I shorted a retest of prior swing support as it bounced aggressively from thin air which transpires to be the 25EMA on the daily, so I assume it was algos. This kept ticking up and forced me to close half. It then finally began to show roll-over signs candles rejecting highs and it dropped. I closed out for a small gain on the second half. This was a pretty bad trade. First off I should have closed the full amount on the third spike bar and secondly I should have started a new short position as this rejected Today was a nice recovery day after yesterdays overtrading where I got all of Mondays losses back and a little more after only trading the opening hour and a half.
One Fact The Market Bears Don't Mention
I got a fill in after hours which meant that I fortunately missed out on a -6R drawdown in early trading today, but tragically missed out on the 7 point rip to highs over as the stock traded parabolically for the whole session. I also offloaded my TLT in early trading as the market began to show signs of recovery ahead of the Fed. My best trade of the day was a long in QCOM after it showed signs of a high probability continuation move to the upside as it paused following a strong 3 bar move:. In other trades, I faded the gap on OC — getting short as it filled the gap after a bounce move on thin volume after the initial panic selling at the open.
Not only did it look like filling the gap, the fill candle showed signs of exhaustion as it wicked away from the highs and then sold off. There is also a good lesson within this chart. The more you day trade, the more you will notice moments where you will notice a large relative spike in volume, but the current bar remains within a very tight range. Normally, large accumulation or distribution will move the stock price so when this phenomenon occurs, it can be an indication of an impending move.
How to Pick Intraday Market Direction – The 80% Rule
I remember it happening in AMZN around a few weeks ago when I was short and the price exploded a few minutes later. It happened twice today in OC and a few bars after the price spikes, the price dropped aggressively. Both of these price spikes occurred during consolidation phases pointing to the downside, which added to the probability of the move following through. Back to the futures charts and the opening today was double coloured in terms of Arnie which is what I wanted.
The bottoming doji and subsequent morning star reversal formation pointed towards a probable reversal, and for the rest of the morning the futures chugged up on greatly improving internals. After trading sideways for the next 3 hours, it was the Fed chatter that drove the markets positive and then to new highs.
DeathFromAbove triggered twice during this period, taking shorts a little off the swing highs for two winners:. Now then, I also have an optimization dilemma for DeathFromAbove. I have been playing with the system a little which includes code to attempt to catch the back-end of the first leg down or up.
The modified code only triggered 6 more tickets 3 trades which were 2 max profit longs and one full risk long loser. A heavily bearish bias again in early trading chop negated last weeks performance as I ended up down the day The session started out badly with 2 perfect trades failing support or resistance in what was a very indecisive market.
For the first 3 hours, the market internals were never out with the 1. It was a very frustrating day for me and I got chopped around in most of my early trades. I was also struck by a few black swan incidents and a lack of discipline throughout the day.
As the day drew to a close, my bearish bias finally payed dividends and I hit a string of winners which significantly reduced my drawdown from -7R to -2R at highs. I also went on a CI shorting rampage which cost me 4R units in total today. This thing had the thinnest volume of all time hyperbole yet still ground up the whole session. I shorted 3 high probability short setups and none of them showed any follow through. On a side note, the The worst thing from today is probably exiting my TZA too early. I missed out on another 30 cents per share on 6 lots.
Anyway, frustration aside, the ATS had another perfect day with 2 triggers and two winners. It basically shorted the days high and bought the days low to take 6 points out of ES. The close long signal was triggered at the open of the last candle for the day, had this remained open until then it would have been closed half a point higher at The game plan for tomorrow is firstly to reduce my trading volume to below on the day and secondly to wait for a more convincing market. Finished early today after an overnighter in ADI showed profit at the open which was followed by 2 minor losses.
Still struggling with maximizing the trade efficiencies but a good week either way.
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Here are my stats for the week not commission deducted ;.