Market Profile Plus by bolter

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Thanks guys. However, I must confess to being a mental midget when it comes to Excel. I do most of the smart stuff in Matlab, then paste into Excel for presentation.

Today was a great example of how using a wide stop on day when you suspect you may have the wrong bias gives you room to work the trade. I sold the YM at 10895 and 10915 as planned and took some heat on the trade. But the stop at 10945 kept me alive and eventually I closed out at 10915 (POC) for a measley profit and a scratch. Meanwhile I picked up 20 pts on a double top-CCI divergence-tick 1000+ at 11:10. This market felt like a late rally was at hand when I closed out at 1:30 and went to bed. Lo and behold.

I didn't really believe I would get filled on my planned ES trade, and I didn't. However, I did short at the HVA and reversed at the LVA for a few points and a scratch trade. The ES spent most of the day in the VA. See chart.

I plan my trades before the market based upon the open relative to the VA and POC. Below POC=shorting rallies etc. This is despite what the longer term MP is telling me about the market direction. However, I can change my bias during the day if 1 of 3 or 4 things happen. This was the case today (see YM chart). Unfortunately I was already in the short trade so I stuck with the plan. However, with this change in bias had I traded the entire day I would likely have bought the pullback to the POC at 1:30, a perfect setup for a market that felt like it wanted to go higher. Yeah right ... would have could have! No honest guys - you gotta believe me.

YM Chart

n1v413.png


ES Chart

n1v4fo.png



Not a bad start. Small profit, but most importantly I felt reasonably in-tune with the action. I'll be back later with todays plan.
 
Now here is something you may be interested in. Then again maybe you won't . Who cares it's my journal and I'll post whatever crap I want.

Anyway in my regular job we track stuff like COT data, seasonal tendencies etc as part of the asset allocation process. There is some interesting developments in the S&P COT data that I thought I would share.

The Large Specs (hedge funds, CTA's etc) lose money hand over fist in the S&P market. I suspect this is because the majority of the volume is funds hedging their long portfolio. Whatever the reason is they are generally wrong and it pays to fade them.

Two things have happened recently that I am watching. Firstly they lifted nearly 30,000 contracts short at the end of 2005. Whenever they reduce their short holdings the market struggles badly for several months.

The second thing is that this big short reduction has left them net long - which is highly unusual for these guys. When this happens the market struggles. Not only are they net long but they are now at a record net long position.

n206qh.png


The last record net long was Jan 2001, and before that July 2000. And we all know what ensued.

n206z4.png


Now I'm not suggesting for a moment that the markets are about to tank, but it will be something interesting to watch.
 
Great journal.

I'm just learning MP myself, so I'll be following this journal closley.....hopefully I'll be able to contribute as well.

I've been reading Dalton....easier to understand then Steidlmayer.

I've been an equity swing trader for several years and am switching over to day trading ES, NQ, YM and ER2. I will start paper trading this week after setting up a sim account at IB.

bolter - in case you havn't seen this yet...check out www.ioamt.com. Curious to know what you think.

thanks.
 
Thanks xxxskier.

Agreed on Steidlmeyer. Dalton is an excellent read. If you're a glutton for punishment you could tried Jones work on ODC (Cisco Futures). He's a bright guy but I just don't get it. Maybe it's just me.

Ordinarily I avoid chat rooms because they get me second guessing my trades. But trading at night does get kinda lonely so I'm thinking about signing up for one. I hear good things about IOAMT and Billy so that is a distinct possibility. Plus I would like to see what the latest thinking on MP is.

Cheers
 
The YM is looking like the most interest play from the open again today. It managed to breakut of the 4 day consolidation. The others didn't. Here's my MP chart for it.

n2dagi.png


Yestarerdays action was a bog standard range explansion day. It opened near the lows, traded higher and found value around 10925-10930. Broke out late afternoon and closed at the highs. The closing range was above the IB and they didn't overlap. The market is in a state of imbalance and I'll be looking to see if the range expansion is confirmed this morning, or whether it falls back to the previous VA.

It's quoted down on Globex at the moment at 10961. We'll probably open above the POC (10925), so I'll be looking to buy pullbacks this morning. My likely scenarios is a slight pullback at the open before heading higher to find a new VA somewhere around or slightly above yesterdays closing
range.

So the play at this stage will be to buy a pullback to the bottom of the closing range at 10950 on the theory that this could be a new LVA. I'll then buy some some above the HVA at 10935. I like to use a tightish stop on these plays so I'll set it at 10915, 4 ticks below the POC. Initial target will be 10980 just below the volume vaccuum.

These are one of my favourite trades providing I get a fill. Got be patient and let the market come to you. Chasing a market is not a winning strategy. If we don't get a fill there will be other opportunities during the day. The other distinct possibility is that ES and/or NQ might break out today so I'll be looking at my charts before the open for a possible breakout play here.

Later.
 
this looks like the start of a good thread, to be honest i'm almost totally new to mp. I did some basic research on the net in understand the concept of POC, UVA and LVA on the daily chart and how they are formed. But what are the blue lines and the pink lines you are referring too and how are they calculated.
 
cvds,
The pink and blue lines are derived from the volume profiles. The VP's are the horizontal histograms which show total volume at each discreet price level. Scroll up the thread a bit for some sample charts. Blue line means a volume peak (ie: S/R) and pink a volume valley (ie: a price level where very few trades have been made).

Hope this helps. Good luck with your MP research.

bolter
 
ok think i understand what you generally mean, if i'm right these areas are not derived from the same timeframe but from a longer one ? weekly, monthly ?
 
Looks like the YM wants to open right at my initial entry price so I'll bring entries back to 10935 (HVA) and 10925 (POC) with a stop below suport at 10890. But I'm going to work that stop to ensure my risk/reward ratio stays in-line. That is if the action looks real weak I'll work the stop higher.

ES is quoted at 1282.75 (yesterdays peak volume price), below VWAP (1283.75) and TPO POC (1284.00). So I can't be sure what my bias will be yet so I won't be sending orders before the open. I'll see what plays out. NQ is is in a very similar position. The chance of a breakout is fairly low at this point.

There could be some gap plays today also, but you'll have to be quick.

Fair thee well.

bolter
 
bolter, good journal. I'm looking forward to its continuation.

Regarding your statement that funds get smacked in the S&Ps, might I ask how you conclude this? I pay a lot of attention to the CoT report in natural gas, and I find that though a lot of people think the specs get killed, the opposite is actually most likely true.

Thanks!

(I wrote an article in last August's TASC about this explaining why I think this, but I'll avoid summarizing my position here so that I don't hijack your thread too much.)
 
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