Inventory Grab Alert 4/30/09!

Status
Not open for further replies.
this is a good thread, similar to my line of thinking.

i am an early user of market delta with ES (about 4 years now) and have been through various "phases" of how i use it. for example, i used to use it to "fade" what looked liked little trends within larger trends. but for whatever reason, the past 1-2 years that strategy became less successful.

my current style of trading (which has been very successful) is to try and identify the initiative buying/selling and then go with the momentum if i believe and/or think i can identify what the big players are doing and how they seem to be doing it. . to do this i use cum delta, composite MPs (merging days together) for the longer term view and my version of a T&S.....one filtered for large lots compared to a T&S that is not filtered.

in general if i see a trend with initiative activity i will try to "follow the trend"....or at least hop on for a ride. when i'm wrong it's often because i wasn't paying enough attention to other factors such as various internals i watch.

at times, i will not "go with the immediate trend" if i don't see support in the internals moving in the same direction.

one thing that i learned the hard way (and this is why i changed how i use market delta a few years ago) is that in ES you have to remember that there are many different players with different motivations, different goals, and different styles. just to name a few there are directional players, pure speculators, inst. hedgers, retail "hope and pray" types, and others. they don't all enter a trade the same way and they don't all exit a trade the same way. some scale in and others go all in, some scale out and others scale out, some prefer to use resting orders (limit orders) on entry and/or exit... and others prefer to act fast and lift offers and hit bids.... and some are simply testing price levels to see what type of activity occurs at that level....and there are floor traders trading the Big S&P contract that sometimes "get out" or flatten using the emini.....plus many others players and styles.

so i guess my point after all that rambling is this....you can never be certain if delta accurately reflects the intention of the big players. and don't forget, then there is the situation where lots of little players can absorb what a few big players are doing and push it the other way. in other words, green delta does not always mean "buying" and ES will go up and red delta does not always mean "selling" with ES going down.

for me, i have to look beyond ES at other market factors to help me determine whether this is the case or not on any given day.

i like this thread a lot, but i just look at things a bit differently.
 
From riskfreetrading = Just that you know I like to good deeper into things, so feel free to go as deep as you can. _END_

"Ohh Baby, make me scream with pleasure" :eek:
 
Quote from xxxskier:

i am an early user of market delta with ES (about 4 years now) and have been through various "phases" of how i use it. for example, i used to use it to "fade" what looked liked little trends within larger trends. but for whatever reason, the past 1-2 years that strategy became less successful
More...

The simple patterns naturally delf-destruct (aka arbitraged away) fairly quickly and the only way to benefit from them financially is to write a book or publish a paid newsletter...


my current style of trading (which has been very successful) is to try and identify the initiative buying/selling and then go with the momentum if i believe and/or think i can identify what the big players are doing and how they seem to be doing it. . to do this i use cum delta, composite MPs (merging days together) for the longer term view and my version of a T&S.....one filtered for large lots compared to a T&S that is not filtered.
More...

I believe filtering for large lots has largely lost its merit already, possibly because it's very easy to break large orders into small ones. I'm sure there are times where large lots just have to go through quickly, but in general, no edge in that info. I actually checked it myself recently and it's astonishing how indistinguishable the CD is with various lot-size filtering applied.

Good insights here. What do you look for in multi-day MP?

D.
 
Quote from xxxskier:

this is a good thread, similar to my line of thinking.

i am an early user of market delta with ES (about 4 years now) and have been through various "phases" of how i use it. for example, i used to use it to "fade" what looked liked little trends within larger trends. but for whatever reason, the past 1-2 years that strategy became less successful.

my current style of trading (which has been very successful) is to try and identify the initiative buying/selling and then go with the momentum if i believe and/or think i can identify what the big players are doing and how they seem to be doing it. . to do this i use cum delta, composite MPs (merging days together) for the longer term view and my version of a T&S.....one filtered for large lots compared to a T&S that is not filtered.

in general if i see a trend with initiative activity i will try to "follow the trend"....or at least hop on for a ride. when i'm wrong it's often because i wasn't paying enough attention to other factors such as various internals i watch.

at times, i will not "go with the immediate trend" if i don't see support in the internals moving in the same direction.

one thing that i learned the hard way (and this is why i changed how i use market delta a few years ago) is that in ES you have to remember that there are many different players with different motivations, different goals, and different styles. just to name a few there are directional players, pure speculators, inst. hedgers, retail "hope and pray" types, and others. they don't all enter a trade the same way and they don't all exit a trade the same way. some scale in and others go all in, some scale out and others scale out, some prefer to use resting orders (limit orders) on entry and/or exit... and others prefer to act fast and lift offers and hit bids.... and some are simply testing price levels to see what type of activity occurs at that level....and there are floor traders trading the Big S&P contract that sometimes "get out" or flatten using the emini.....plus many others players and styles.

so i guess my point after all that rambling is this....you can never be certain if delta accurately reflects the intention of the big players. and don't forget, then there is the situation where lots of little players can absorb what a few big players are doing and push it the other way. in other words, green delta does not always mean "buying" and ES will go up and red delta does not always mean "selling" with ES going down.

for me, i have to look beyond ES at other market factors to help me determine whether this is the case or not on any given day.

i like this thread a lot, but i just look at things a bit differently.
More...

xxxskier,
Excellent post and thank you for your insight. It sounds like your method is quite similar to AMT's, except that he finds areas of resting inventory (held long/short positions) and then trades according to price action within those zones. Hopefully this thread will stay focused and we can all share our ideas about using Cumulative Delta for trading.
 
Quote from manlycure:

The simple patterns naturally delf-destruct (aka arbitraged away) fairly quickly and the only way to benefit from them financially is to write a book or publish a paid newsletter...



I believe filtering for large lots has largely lost its merit already, possibly because it's very easy to break large orders into small ones. I'm sure there are times where large lots just have to go through quickly, but in general, no edge in that info. I actually checked it myself recently and it's astonishing how indistinguishable the CD is with various lot-size filtering applied.

Good insights here. What do you look for in multi-day MP?

D.
More...

i agree, large lot filtering is not always effective, and is certainly less effective then it used to be. asmore and more people begin to see the same things then the game changes. when filtering is used in conjunction with other things such as cum delta,and watching it as ES comes into certain levels i do get useful info from it. even more important to me now (especially trading ES) is the the way i look at internals, it helps me get a sense if ES is leading, following, or maybe throwing a head fake. overall, filtering still has some merit, albeit much less then before.
 
Quote from SoCalTrader619:

AMT would you be so kind as to post a chart of what you see at the 843's through the 839's as a potential support area?
More...
Sorry.....I have been busy all day since my last postings.

Actually, the zone that I see as most important at the 839's recent pivot low area is 840.50 to 843.00 ....... take a look at that area and see what you think.

Tonight in the AH session, any trading at or above the 883.00 level will have to be observed for current held short inventory neutralization in that delta zone (that will pick up the volume flow substantially....that would be the hint of neutralization taking place......sellers bailing on their held inventory). We may also get low volume price probes up as high as the 885's/886's. If there is not any significant increase in volume flow, then you can be assured the sellers from that area will continue holding until the cash session to reevaluate (we need to be watching if the sellers who sold 885's to 883's defend this zone with additional selling). :)

BTW, I don't really do any large lot filtering myself.......I have not found any significant advantage over and above what I already do.
 
Quote from AMT4SWA:

Sorry.....I have been busy all day since my last postings.

Actually, the zone that I see as most important at the 839's recent pivot low area is 840.50 to 843.00 ....... take a look at that area and see what you think.

Tonight in the AH session, any trading at or above the 883.00 level will have to be observed for current held short inventory neutralization in that delta zone (that will pick up the volume flow substantially....that would be the hint of neutralization taking place......sellers bailing on their held inventory). We may also get low volume price probes up as high as the 885's/886's. If there is not any significant increase in volume flow, then you can be assured the sellers from that area will continue holding until the cash session to reevaluate (we need to be watching if the sellers who sold 885's to 883's defend this zone with additional selling). :)

BTW, I don't really do any large lot filtering myself.......I have not found any significant advantage over and above what I already do.
More...

It seems to me that the net delta long zone begins in the 30's with further accumulation of net longs in the low 40's.
 
Quote from riskfreetrading:

AMT:

Thanks. A clarification: I did not ask what OBV is (I know the definition). What I wanted to know is that you explain (with an example if needed) the difference between cumulative delta and OBV as you see it in your mind! So I am interested in how you perceive the difference (if any) in your mind, and not in individual definitions (though the pointer to the delta definition should be helpful).

From what I read yesterday, it seems to me that OBV and cumulative delta are the same thing? I am not referring to how you analyze things, but rather to the relative meaning of the two concepts.

Just that you know I like to good deeper into things, so feel free to go as deep as you can.
More...
I added the OBV example link for those who MAY NOT yet know what it is.....just being helpful.

OBV is very different than Cumulative Delta imo.......OBV is ALL volume traded. Delta is volume parsed by those hitting the bid or ask with market orders......those entering the market where "get in now" is more important than what price they enter into the market at.

I want to measure the "ENTER NOW" crowd more than I want to measure the "WAIT FOR MY PRICE" crowd, or URGENCY over PRICE.......that is how I visualize it.
 
Status
Not open for further replies.
Back
Top