A Journey into Market Profile

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i forgot to post the numbers for today:

VA-HL 647.2 640
PD-HL 647.5 635.2
ON-HL 636.2 633.7
OR-HL 635.9 635.1
OR-SB 637.4 633.6
2.5-SB 650 632.7
SR1-BS 643.6 631.1
SR2-BS 651.7 626.9
IB-HL 636.50 630.90
DDF-HL 636.2 635.1
DDF 635.65
MA 641.8

FWIW, i am done for the day. i'm up net about 1.8-points and green for the week.

as i progress on this little journey i call trading, it never ceases to amaze me how well i can uncover new weaknesses while i am already addressing other weaknesses.

for example, i used to be very bad about taking heat. i started working on that, slowed the bleeding, and while i was working on that issue, chasing movements popped up. okay, no problem. low-heat was much more in check and i started taking extra caution not to chase moves (a new bus is always on the way). now a new issue has surfaced - missing my exit or reversal point and letting profits flutter away (most recently, into losses).

i am usually in a trade during the major movements. i am often in trade during HODs and LODs. so now i have to look at how i handle turning points. i'm actually looking forward to this project. i've been working on not losing money, then it was not throwing money at movements, now i'm actually working on how to keep ticks and points the market has given me.

take care and gtty -

omni

BTW: the main things i've seen so far in the ER2:

1. filled ON-H plus a couple of ticks (and found no new business)
2. filled ON-L
3. reached OR-S
4. reached 2.5 below PDL
5. reached S1
6. reached Weekly S1
7. filled most C-period singles
8. buying tail from the 14th (629.70) within 5-ticks
9. weak RE down
 
i've had a few requests for a key to the acronyms i use, and i figured that was a pretty good idea. so here it is:

Previous Day Info
VAH Value Area High
POC Point of Control
VAL Value Area Low
VA Value Area
PDO Previous Day Open
PDH Previous Day High
PDL Previous Day Low
PDC Previous Day Close

Current Day Info
DVAH Developing VAH
DPOC Developing POC
DVAL Developing VAL
DVA Developing VA
HOD High of Day
LOD Low of Day
RE Range Extension

Initial Balance (first two time periods)
IB-H Initial Balance High
IB-L Initial Balance Low

Overnight Info
ON-H Overnight High
ON-L Overnight Low

2.5-point observation
2.5-S PDH + 2.5-points
2.5-B PDL - 2.5-points

Daily Support and Resistance Calculations
SR1-BS Daily Support / Resistance
PP Pivot Point

WSR1 Weekly Support / Resistance
WPP Weekly Pivot Point

Directional Day Finder (thx Lefty :D )
DDF-H Opening 5-min range High
DDF-L Opening 5-min range Low
DDF Opening 5-min range Midpoint

Fading the Gap
OGF Opening Gap Fade
OGC Opeing Gap Continuation

hope that helps. i use acronyms a lot. a lot of it comes from the industry i've worked in for about 7years - telecommunications. the industry lives by TLA (Three Letter Acronyms) and ETLA (Extended Three Letter Acronyms). i kind of carry it over into, well, just about everything i do :D

anyway, if i use anything that wasn't on this list, i'll (hopefully) remember to define it before i start sprinkling it throught my posts.

take care and gtty -

omni
 
6 24 Wrap-up
the ER2 continued breaking on the 24th. The range was smaller than the 23rd’s but still more than 2-points above average. It also closed up almost 2-points from the LOD. Some chartage for the 24th:

MP: http://charts.dacharts.com/2005-06-24/ab624_mp.png
MP with splits: http://charts.dacharts.com/2005-06-24/ab624_mp_splits.png
MP vs data through the 13th: http://charts.dacharts.com/2005-06-24/ab624_mp_thu_613.png
Current MP vs 3ODC: http://charts.dacharts.com/2005-06-24/ab624_mp_vs_3ODC.png
Current MP vs 5ODC: http://charts.dacharts.com/2005-06-24/ab624_mp_vs_5ODC.png
Current MP vs 10ODC: http://charts.dacharts.com/2005-06-24/ab624_mp_vs_10ODC.png
Current 3ODC: http://charts.dacharts.com/2005-06-24/ab624_new_3ODC.png
Current 5ODC: http://charts.dacharts.com/2005-06-24/ab624_new_5ODC.png
Current 10ODC: http://charts.dacharts.com/2005-06-24/ab624_new_10ODC.png

Overnight
Made it up to 36.2 and down to 33.7. These two numbers will provide some preliminary resistance and support, as well as targets.

Gap
Though it had gapped down almost 2-poitns from the 23rd’s close, by opening we were hovering near PDC. As such, I’m looking for an OGF long around PDC and have ON-H as a target (and reversal into OGC position). The ON-H is almost exactly 1-point above PDC, so it’s a ‘natural’ target for this opening trade.

MP and Other Reference Points
We opened well below VAL and very near the bottom of the 23rd’s range. Probing up to ON-H on light volume, the ER2 began heading towards ON-L. Within the opening 15-minutes we were 1-tick from ON-L.

Having misplayed the OGF and missing the first OGC play, I finally got short PDL. This was a more risky entry than selling ON-H, but given the light volume above this area, I felt it was still a viable trade. I got out early at 33.4 (between ON-L and 2.5-B), lost a couple of ticks re-entering, and got out at 2.5-B. I went long at 32.5, which was a mistake. It wasn’t a mistake because I was proven wrong, but because along with already being under the 2.5-B mark, we were seeing healthy resistance a little above the 33.0 area and net selling volume was increasing. At this point, the daily S1 looked very probable, and I was on the wrong side.

The other problem with this trade was that I was actually up about 5-ticks at one point and didn’t liquidate or reverse. Half a point ain’t a lot, but on a trade basically suited to grab what I could from a bounce in a down market, half a point is great.

After getting hurt on that move, I made took another long at 31.3 (frontrunning the S1). On this trade I was up nearly a point, but ended up with a loss as I held to long. It’s okay to play the counter movement jags, but I have to remain cognizant of the type of trade I’m in while I’m in it.

After getting punked on two longs, I found an area that was more conducive for a long – the weekly S1. I went long at exactly WS1 and rode it back up to 2.5-B/S. Even on this trade I held it too long, because I liquidated on the second jog to the 2.5-B/S area, which means we made it to this area, I didn’t reverse, I held through the retrace, and I missed the chance to take another long basically duplicating the first. I know it is all in hindsight, but I still feel it was a costly mistake.

As for MP related aspects, I don’t have the day as it was evolving, but I can say:

1. The IB contained one of the daily extremes (HOD)
2. We did have RE down
3. We filled most of the C-period singles
4. Singles still exist between 33.30 and 33.0
5. On the 3ODC, we have singles between 34.6-35.1 and 37.4-38.7
6. We had a buying tail that stretched into the 23rd’s range but not into it’s VA
7. We were within 4-ticks of filling a selling tail left from the 13th

Summary
I again caught less than 20% of a pretty decent range, but I saw continued improvement:
1. On reducing heat tolerated – which should equate to more favorable trade location
2. On not chasing movements – I can see one instance
3. On taking action – when I hesitate, I often lose

I also saw areas with more room for improvement:
1. Taking my trade setups
2. Taking my profits based on the type of trade I am in
3. taking my reversal trade setups

Tomorrow, I do it all again and try to improve some more. Buses will come and they will go.

Points of Interest
1. 3ODC offers many singles to be filled
2. Overnight extremes again offered attainable targets and one daily boundary
3. IB again held a daily extreme
4. The volume that was around the 36.2 area vanished

Take care and gtty –

omni

BTW: Still fiddling with the format of the journal.
 
i traded the OGF (long 28.2) and exited near PDC (29.3). i look for about point and this trade lined up nicely this morning. however, i was going to stay in a little longer, but was having issues with esignal and had to reboot machine :mad:

once i was back up, my trading app was acting squirrely. in fact, i lucked out twice when i couldn't cancel an order (took it for a couple ticks) and again when i couldn't set my exit limit (again, took a couple ticks). these were barely scalps, and the best part was i exited - i felt fortunate that badder things didn't happen, so i jetted :D

i made a couple other trades, mostly little scalps on pull-backs, and am sitting at about 2.9-points net. i'll check back later to see where we are (or aren't :) ), but i'm so freakin tired right now i think i would give back much of my morning if i hung out any longer.

so far, we've seen:

1. ON-H reached and breached (by 1.5-pts)
2. ON-L reached and breached (by 7-ticks)
3. IB conatining both extremes
4. opened within range and within VA
5. DVAL held for long entry after IB formed
6. VAL long made for a nice long with very low heat
7. POC has been upper barrier (IB 3-ticked it and DVAH sitting 1-tick under it)

anyway, that's all for now.

take care and gtty -

omni

BTW: looks like the DVAL long just worked out for over a point.
 
 
6 27 Wrap-Up
today was an inside day - both in range and VA. we saw about half the range we have seen over the last couple of sessions.

Overnight
we saw it trade up to 29.6 and as low as 27.9, so we have initial targets for the day.

Gap
we gapped down to about 28.1 by 09:29am so i was looking long. actually, i got long a few minutes before open. but, as i mentioned in a previous post, technology was not friendly to me today, so i missed a sizable portion of the OGF.

MP and Other Reference Points
since we opened within value, we were looking to sell VAH and buy VAL. both of these setups worked well (each with very little heat), and the VAL long worked twice.

the IB contained the daily low (which was retested to the tick). we also had RE to the upside, but the RE only reached 2-ticks above VAH, so the short was a very viable trade.

the DDF was very sticky today. it wasn't the POC, but when the MP is broken into 5min segs, the actual amount of time within each TPO is heavily slanted towards 29.9 and 29.8 (DDF was 29.8). another obvious aspect to this region is its close proximity to a major psychological barrier - 630. either way, the ER2 spent a lot of time right around this area.

both overnight extremes were reached and breached, but the ON-L was breached by just 6-ticks. meanwhile, the ON-H was breached by about 2.5-points. so, while the overnight didn't contain either RTH extreme, both were hit and the lower extreme was closely contained.

Summary
well, aside from (or in spite of) my technical hurdles today, i was pretty content with my trading decisions. i even have a favorite trade - it was my worst trade. it was my favorite because it embodied everything i am currently working on:
1. hesitation
2. chasing trades
3. willingness to take heat
4. reversing
5. taking profits
6. profit erosion
7. i think there were a couple other things, but they escape me right now

it's easy to like smooth, fat winning trades. but it's the bad trades the teach me to trade better. i learn how to be a better winner from my losses. it's like Dr. Maltz writes in:
http://www.amazon.com/exec/obidos/A...8/sr=2-1/ref=pd_bbs_b_2_1/103-0134753-9931045

anyway, i appreciated my wins today and more importantly i accepted my worst trade as indicative of what i am capable of doing - to my detriment.

Points of Interest
1. retesting the IB-L to the tick
2. super sticky DDF
3. highly successful VA trades

take care and gtty -

omni

BTW: i gave back a few ticks of my 2.9-points (and it wasn't even on my worst trade). i then eventually got the ticks back (on my worst trade) to finish at the exact same level (about 60% of today's range). i took the heat i did because i was using a stop based on the beginning of the movement i was in (i got in late due to my hesitation), not my actual entry into the position. i don't recommend this practice - i recommend getting favorable trade location from the beginning. anyway, there it is ...
 
Friends –

Pain
Today was a bit of a stinger for me. Honestly, I debated whether I would post at all today. I didn’t take on a massive loss or wipe out my account, but it was still painful. but i gotta do this, on good days and on less good days.

Yesterday I wrote that I trade better as a result of my losses. Today, I hope that’s true.

First, it was a trend day. It’s well documented that the trend and me, we ain’t always friends. I know I trade better in an indecisive, back-and-forth market. But didn’t I come out green on both of the recent trending down days? Why, yes I did. Which leads me to the realization that I have a down bias, or at least I did today.

FuturesTrader71 Inside My Head
FuturesTrader71 has written about the importance of internal dialog / inner-speak / little-voice type feedback. I agree and can only appreciate my inner efforts in hindsight today.

A little before opening, I was looking at the price action of the ER2 and the overnight numbers. Wow – up damn near 4-points in the overnight. Looks like a gap ripe for fading down. Well, as I’m watching the price bob up and down, I found myself thinking, “We’ll never see the ON-L today.” When it popped down to 33.10 in pre-market, I was thinking, “We’re not even open, and I’m probably looking at the LOD.” My internal dialog was telling me today didn’t look like a good day to fade. I did not listen.

To some degree, I was right. I look for gaps, fade them, and then look for continuations. I had a gap, so I faded it. I got busted on it, but not initially. It hemmed and hawed around my entry point (I was even in profit for a short spell) and I thought of reversing (HESITATION). I didn’t and I eventually got stopped out for a loss. Internal Dialog 1, me 0.

Cut to later in the day, after some losses (all shorts) and a win (my only long). I was short (BIAS) from mid-38s and found myself in profit and hovering around 37.8 and 37.9. Internal Dialog says “It’s stalling. Reversal time.” But I’m looking at those singles in C-period, how we’ve only 3-ticked the IB and DVAH, that long B-period buying tail, and the DVAL (I think it was around 34.90 at the time). This was my pullback opportunity and I missed it. it literally never looked back. Internal Dialog 2, me 0.

I’ll post my regular report later, but suffice to say, I was disappointed with today. The best part about today’s trading was that I finished only down 2.1-points on a day that probably would have beat the $hit out of me just a couple of weeks ago. The hardest part about today was that I was in the trades at the right time with the right tools and knowledge, but I wasn’t ready to pull it off. Two sayings came to mind today:

"Trading can be a hard way to make an easy living or an easy way to make a hard living."

"I’ll see it when I believe it."

tomorrow, more buses arrive and depart.

FT71, thx for trying to teach a man to fish :)

Hope everyone had a good day :D

Take care and gtty –

omni
 
 
6 28 Wrap-Up
today was a big day, especially if anybody got long the ER2 at open – and sat on it all day. One trade, no heat, 10-points or better. Me, not so much :(

Overnight
the ER2 was as low as 30.7 and popped up to 34.0 during the overnight session. By opening, it had maintained most of that gap.

Gap
with almost a 4-point gap, one of two things seemed likely to happen – it would come crashing down through the gap, ON-L, and then some, or it would break out from the gap and have a banner up day. It was the latter.

MP and Other Reference Points
we opened way above VA and PDH. The overnight action gave us some preliminary targets, and only one came into play – the ON-H. The ON-H contained one extreme – as support, not resistance.

The IB was pretty broad, but not enough. There was RE to the upside to the tune of 6-points. Since the daily MP was pretty much writing itself, a helpful approach was to look at a 3-, 5-, or 10-ODC. It filled all the singles within the 3-ODC, traded through 5-ODC POC, and up to 10-ODC POC.

Even if somebody couldn’t get long at open (or waited until the IB formed), a long after the RE above IB-H would have brought no more than max 1-point heat (and the max heat was actually from 3-ticks above IB-H). So, you get long at 38.6 – and wait. Up, up, and away! It’s always easier after the fact. Considering my earlier post from today, it’s obvious I was not on that bus.

As for other levels, we blew through daily R1 before we opened, R2 within minutes of open, and were moving through R3 by F-period. We even broke out above weekly R1. There seemed to be a lot of concentration around the 34.0 area (ON-H = 34.0, 2.5-S/B = 34.6, DDF = 34.1, R2 = 34.9, guy’s MA (which I think is a 5-day) = 34.3). Today, this area turned out to be a support area that was barely a memory by closing.

Summary
Longs had a big day. Fortunately, whoever was on the other side of my trades didn’t make out too wildly – off of me, anyway. It was a trend day and I struggled. I really like trading the intraday wiggles and flip-flops. On days like today, I either need to adapt or sit it out. I don’t worry about ‘missing out’ on big days like this anymore. I know they come and go. Along with being a trend day, it was an up trending day. I think I have identified a possible short-side bias. That realization was probably the most surprising thing I’ve discovered about my trading. If I look back at my worst trades or days, I am guessing it would be on pretty strong up days.

as i forge ahead, i see the underlying pair of traits that ties together my self-defeating actions: discipline and consistency. to all those who have already firmly conquered these two traits, my sincere congratulations goes out to you. i will get there. all it takes is time, money, and active desire. :D

Points of Interest
1. Filled singles from 3-ODC
2. Traded up to 3-ODC POC
3. LOD was reached within the first minute of trading – and never seen again
4. HOD was reached in the last minute of trading

Take care and gtty –

omni

BTW: i don't mean to imply there were no pullbacks at all today. there were. i simply couldn't get on the right side at the right time for the right duration.
 
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