A mini ES scalper's journal

1-20-2010

Started at 12:30 ET.

Price was in a narrow range since 11:10. Went long at 12:48 expecting the price to break micro supply line at 2nd attempt ( 3rd touch). Long 1128 and stopped out at 1127.

Long 1:20 at 1127 as it broke the micro supply line. I was expecting a breakout this time, but exit too early as soon as price touch the next level supply line, a previous's dynamic resistance. I was positioned for the breakout perfectly, but could not hang on a little longer to take the advatange. The proper target would be the same hight of the price channel since 12:20, which would be 1.5 pt. The breakout pt is 1127.5, so the target should be 1129, which is also double bottom neckline 1129-1129.50. While all this is good on theory/after factor, it might be a little difficult to do in real time. I believe it can be done, but take experience.

At 1:50, the breakout completed two leg movements. Looks like it is working on a retrace to 38%/50%. I will look for pullbacks to see if any good opportunity. The two leg up broke the W neckline. I want see if it will throwback to retest 1129-1129.50 neckline and 100 min EMA around 2pm.
 
1-20-2010

Total trades: 3 RT
winner: 2
loser: 1
net P/L: 1.5 pt

The pullback from 1:30 breakout did hit 100 min EMA at 2:30. Went long at 1129.75 at 2:20. Out at 1131.75 The first resistance from the trendline since 1:15 second swing low.

The equal distance from W neckline to the second swing low is about 3 pt. The minimum distance the price might go after breaking above neckline is 1132-1132.5.

I guess it might want to test 38% fib at 1133.75. Since the selling might resume as it near close, I would not go long as price is close to 1/3 retrace level. All the retrace from 11:15 until now could be just a big consolidation before down move resumes.

Since I am doing scalping, I always get out before the retrace/consolidation begines after a breakout if I get in earlier. I rarely entering breakout with stop order since there are often false breakout at 2nd, or even 3rd attempt. Most time it works on the breakout after very long and narrow consoldaton (2-3 hours) since then the breakout woul dbe quite powerful.
 
I was looking at the 60min SPX charts and the 5 min ES chart. Yesterday, I've noticed that SPX might be forming a broadening top since Jan 11 th. The price made slightly higher highs and lower lows. The broadening top should have 5 reversals and the last one usually breaks the lower support decisively. Since it didn't break the 1130 support decisively and almost made 50% retrace, it might invalidate the broadening top pattern unless it breaks down violently within next one or two days.

On today's 5 min ES chart, it looked like a rising wedge since 1:30. Since the predominant trend from this morning was down, there is a good possibility that the down trend will resume as rising wedge breaks out.
 
I have several other commitments this morning at my work place until noon. So I might not be able to concentrate to trade today. Yesterday, I noticed a broadening top forming on SPX for the last several days. It broke the support decisively this morning (look at the contract vol on ES). 1115 is the equal distance and first meaningful support for SPX.
 
I got some time at my desk. I'll do a paper trade since I am not very comfortable with the volatility now. I like the 1pm swing low with vol spike less than that at 11:45. Enter long at 1112.75 (stop 1110.50). I expect the price at least to retest 1115 then 1117 within next 60-90 minutes. I will stay with this paper trade unless the stop is hit.
1:33 move stop to 1114.00
1:34 move stop to 1115.25
1:38 move stop to 1115.75
at 1:39 stop out at 1115.75 for 3 pts

The high at 1:38 hit 1116.75 a tick short of 1117. The price is still within micro demand line since 1 pm swing low. It is also middle of the down trend channel since 10:40. 1117.25 was a 23.7% fib level.

1:45pm 1115.50 could be the bounce. It looked like a cup & handle if it retest 1116.5 again shortly. I'll pass buying pull back on this one since I want to see how price reacts as it tries to break 1117 again. 1117.50 might be some resistance there.
 
Price dropped below the micro-demand line since 1pm. It drifts flat while the dynamic resistance becomes lower over time. It might retest 1116.75 around 2pm. There might be some inverted HS forming with neckline 1117. If it breaks 1117 with strength, 1121 can be next resistance , 38% retrace. I will not buy breakout at 1117 with stop order. I'd like to see how price reacts there. I might be looking for a pull back to get in long after it breaks 1117 (second chance buy on a throwback if it finds support at 1117).
2:08, price below 100min EMA. It may still find support on channel center line.
Since the down trend was quite strong this morning, any long play could be within correction. So be nimble and use stop to protect a trade if price suddenly goes against the trade.
2:20. Lower low could be end of second leg down in correction within uptrend. It could be also some kind of decending triangle forming. If it breaks 1110.75, there coulbe more down side move.
 
It is breaking out upside. Inverted HS? Vol looked decent. The breakout looks good. I'll look for pullback to retest 1117.5 or a throwback to 1116.5 to go long. In retrospec, after first 2min pullback bar at 2:26, a buy with stop at 1117 or 1117.25 was a good scalp for quick 1.5-2pts. I'll be away from desk from 3-4pm ET and will not be able to watch the market.

2:39 Enter long 1117.50 (stop 1115.75), target 1121. last paper trade of the day. 2:47 stopped out. for a loss of 1.75 pt.
re-enter long at 1116.5 (stop 1115.50) seeing vol dryup here. Stopout again with 1 pt loss. Breaking 1115.50 might invalidate the reversed HS. If I were trade live, I probably would not take the last two trades rather satified with a 3 pt gain for the day from 1st trade. There are some psychological differences here for me when trading live vs paper.
 
1-22-2010

Traded YM today
total trades: 3 RT
winner:1
loser: 2
net P/L: 6 ticks of YM (-30USD)

Started at 12pm ET, had to be away from 1-2pm ET.

Went long at 12:30 as price broke the second less steep microsupply line drawn from 11:30 to 11:36. Took a quick 7 ticks profit at 10319. Price bounced bak as it met resistance at the supply line and then broke out from the small rising wedge. I didn't go short here since I wanted to see how price react as it reachs the trend lend drawn from 10:20 and 12:10 swing lows. Right before 1pm, the price broke this trend line. The price target after wedge breakdown was equal distance to the price range before entering wedge.

away from desk between 1 to 2 pm ET

Price broke a multiple top nekline at 10290, a throwback at 1:20 and broke down again. That was a good entry for short.

Entered two long positions from 2:39 to 2:55. Both stopped out shortly after entry. The reason I went long there was the price hit the lower side down channel line with some vol spike. Those were risky trades. After being stopped out twice, I have noticed the quick price bounce back was probably due to short covering rather than good dip buying. After 3pm, the price bounce could not even break the center channel line (a down channel drawn from 12:35 top of small wedge to later lower highs.

Another observation from TOS of SPY, as price break ut to lower lows, the big volume market order (sell on bid) has disappeared. I have seen market order selling on bid/buying on ask for the last several months everytime when price breaks any intraday extremes by making new itraday high/low. The last big vol market order selling on bid I saw was probably around 2:40 at 10210 level (I am not 100% sure since I could not go back too far on my TOS, but I am not sure I have not seen it for the last 15-20 min as price continue to make lower lows.)
These market order might come from two types of trades, stop order buying/selling for those who want to enter a new trade on breakout or stop order for those who were buying dip/selling top to close their trades. When these orders disappear, it might imply those who are buying the dip to support market are no longer doing so. Are these market makers? or they probably just switched side and joined sellers? From pure price action, you can see that selling was relentless. There was praticaslly no good buying since middle of the session except for some shrt covering.


The best short entry during middle of the day was probably at 1:20 as price touched 100min EMA and immediately fell back. Another two good short entries were from 2:20 to 2:35 as price hit dynamic resistance of down trend channel. After 3pm, price dropping outside the down trend channel and expands. At 3:10 it hit the ceter channel line and fell again. What a fee fall, however, I could not get a very good read of the price so didn't take any trades after 3pm. The down trend channel became steeper.

It looks like buyers just disappeared for the last hour. Selling continues/accelerates after every short covering.

In the morning the market looked like a swing/choppy to me, and turned into a nice trend day. The speed of price movement today is pretty good. I immediately entered stop after every initial trade filled. It is the best way to cut loss short in a fast moving market if you are on the wrong side.

Wow, look at the down trend supply line drawn from 2:35 and 3:05 lower highs. So far there have been four touches by price retrace and bounced back immediately.

The reason I traded YM today was I could probably get a little better fill or tighter stop. The liquidity is not a problem during normal session for YM though occasionally there were 2 tick spread, which is still less than 0.25 pt ES spread.
 
I am looking at today's chart again and try to see what I could have done differently to play such trend day.

Some observations ( I use SPX chart to exclude the off hour trades)
1. On 5 min chart, it was a bear flag from 10:15 to 11:30
2. Since price broke the neckline at 1110 around 1pm, price pattern was like "stairway" with breakout/flat consolidation and repeat.
3. At 2:40, as price broke the intraday low 1105 from 10:15, it formed a nice downtrend channel with minium consolidation (some brief small pullback due to short covering perhaps).

Since price has been below 100min EMA after breaking 1110, either short at breakout with stop order or short at down trend supply line afetr 2:30pm should have work well.
If short at every breakout to new low, 2 pt stop would not get hit as price broke 1110 (round number? 1110, 1105, 1090). If short at supply line of down trend channel, the stop could be even less than 2 pt.

On 15 min chart, every bars open is equal or lower than previous bar's close since 2:15.

It might help to go to higher time fram if price is moving very fast. It might help to stay in a trend a little loger than quick scalping for small profit.
 
I want to make some comments on exit of a trade.

Once I enter a trade, there are two possibilities most of time. The price goes at my original trade's direction or against it. Stop order is there to take care teh problem if price goes against the original entry. I would not wait (hope) for price to come back without taking actions if it goes beyond my typical loss tolerance (it is relatively small for day traders).

If price goes my way, I use several exit methods.
1. at target from measured movements from classic price patterns
2. at certain fib level for retracements
3. at the price level when it stalls after a breakout
4. as price touches channel lines, S/R.
5. at same price level as entry or very small profit/loss for premptive stop (intuition driven).

Often I will miss out some good profit by exit too early. I would consider it is the intrinsic drawback of scalping. In general, in order to catch large moves, it required to hang on to a trade through pullback/consolidation/congestion as long as the trend remains intact and the initial entry is on the right side of dominant move.

Another way to stay a little longer to catch most move if on the right side from the beginning is to use 2 contracts, one for scalp and one for swing (use breakeven after trades become profitable and close one for scalping to secure some profit).

However, there are other ways to stay in a trade for a little longer to catch most move even for scalping especially in a runaway market (other three markets, swing/choppy, congestion, labored move, acording to J. D. Hamon). I have seen some methods from various trading books and will need to experiment with these methods. It will not allow you to exit at absolute extremes, but probably more than 75% of the entire price range, which is pretty good.
 
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