ES Journal - 2019/2020

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manonfire said:
Taking a small short at 3039.25. Willing to add on close/overnight tomorrow with a 50 handle stop on full position. Looking for a move under 2,800 to lower end of monthly range.
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manonfire said:
Adding 3060. stop 3110. target under 2800
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Out of curiosity - did you cover these for a profit when we took that dive Thursday or are you still holding / looking to add all the way up to 3110?
 
Relentless said:
Hey this is a fantastic chart writeup! I've got a few questions for ya:

1) What exactly am I looking at with all of the small blue numbers at extremes in the 200s/300s value ranges?

2) Are there typical reasons causing the "thinner" trading? Devoid of larger interest for investors or traders to put on standard to higher positions in these areas? Or just Globex being thinner than RTH in general and possibly super thin some sessions?

3) Also I'm trying to understand why it would be considered as "poor structure" as opposed to just very bullish / very bearish during those periods of PA movement. Markets are way more efficient than they used to be so I'm trying to understand why gaps or certain PA durations would be considered poor structure.

Market profile / VWAP / market footprint is something I haven't gotten into studying just yet though I've been aware of it for some time.

In any case thank you very much for taking the time to build that chart. Very help - much appreciated.



Appreciate the response but you aren't really saying much here other than study and backtest it. I mean - I could have told anyone that :)

The point was to draw from your wisdom / experience as a trader. Obviously I don't have any issues doing my own research as I am always researching - this just happened to be a starting point for me on this subject matter.

People keep referencing gaps / air above or below / etc. and do not really say why so I was simply trying to understand why you or anyone else have found it to actually be important. Easy to say "oh look at ABC gaps at XYZ price levels..." or "be careful of all that air in said range...". Yet noone ever says why so thus far it has felt like one of those observations or statements people keep making but haven't provided an explanation as to why.

Easy to say something is an important point of interest. It's more rare that it actually gets quantified or proven useful.

Anyway thanks for the response.
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1) Just Truncated ES numbers 288 is 3288
2) Google Auction market theory. Many books, sites & videos that can do a far better job explaining than I can. Try to relate prices back to something you understand like the prices of oranges and human behavior in buying at certain levels
3) Good structure is a normal distribution of prices, Thin tails at the edge, with a fat boob centre. Small boobs (blue) get built with supply and demand, sudden changes in supply and demand shift prices to build boobs further away. But then the market repairs stucture, doing back tests - infilling PA etc. This converges to a larger macro boob (Yellow). See how the larger macro boob (yellow)tends to a normal distribution. Each market has its own character, some will trend strongly with no looking back, but each will hit balance at some point.
Screenshot_20200531-175326_Samsung Internet.jpg
 
Relentless said:
So in a sense it's kind of like other metrics that work depending on context e.g. Fibonacci levels or a 50% retrace. People can't seem to give a logical explanation as to why these are commonly watched or used - but it's obvious there is something to them if you watch the PA on charting long enough. Regardless of where they originated from, they are perhaps relevant for use simply because a large % of traders use / watch these levels including whales.
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I suppose.

I have no problems understanding why the 50 % retrace works well quite often as markets by their very nature retraces. 50 % is easily programmed, identified and watched by many.

I have no experience with the other esoteric Fibonacci levels/projections as it seems too random/illogical to me. Besides, you get so many levels on your charts that something is bound to stick by the end of the day/week. And if that's the proposition you're left with - might as well using something else for signals. IMO, of course. :)
 
Laissez Faire said:
o me, intraday gaps are quantified and proven useful a long time ago.

I don't have hard data on long term gaps being filled as a % probability, but I've seen enough of them fill over the years to know that they do.
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In my work, when gaps are confluent with a Naked POC (Point Of Control), a "gap play" does exist when the appropriate directional is triggered. Gaps and Naked POCs in my work, are magnetic price targets individually. Confluence adds to likelihood. Distance from current pricing, how long the gap has remained unfilled, and of course market environment are all factors to be considered in real time that affect as well.

Additionally, while gaps and naked POCs are each standalone price magnets, the mentioned confluence has a tendency to act as support or resistance... with larger gap fills having less ability.
 
Guys - attached is a great article with excerpts from a new book that just came out called "Flash Crash". It's all about a London-based trader who came up with a really slick bot that he designed to beat the other bots in the ES market. As a result of his efforts, he pulled down about $70 million....before getting caught.
The book has gotten all 5 star reviews on Amazon.
 

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