Micro E-mini Madness (2% per day)

[sstheo]

6 MNQ shorts this morning. Done for the day.

The overnight action was very bearish on news that 5% of the oil supply was taken off-line. The overnight inventory was overly bearish, and in these cases we often get a pop. But once that is over, we often get a resumption of the trend. My shorts were all short scalps in the stall. And you can see that scalping in this case was the right thing to do as most of my exits were right at the bottom the respective leg down. I have learned (the hard way) not to stick around when there are profits in front of me.

 

[sstheo]

Hi sstheo,I've just seen your detailed response now,and can't thank you enough. I've now inserted and overlayed the cumulative delta on my 9m ES chart (which is the only asset that I trade for now),but still need to understand how to use the cumulative delta to probe price action context,and determine the relative strength or weakness of the asset.
Any assistance in using the cumulative delta to better understand the surrounding market structures and only trade in context of underlying orderflow will be appreciated.

CDelta is not the holy grail, but it helps keep me on the right side of the market. If you use the setup as I have it, then look for confluence between markets ES/NQ/YM. The CDelta on RTY is less important because the volume is so low.

My favorite usage besides the 4 large charts is on my fast scalping/entry chart. Right now the RSI has put in two bottoms, and I am below the Stop and Reverse ATR indicator, and the HA candles are starting on the white (up). Notice that the CDelta is ABOVE the white candles. If it were below the white candles I would not consider a long. But since it is above, then a long becomes a possibility. However in this case, I will probably wait until I am above the ATR. (The current day is near the highs and now looks bearish at the moment.)

 

[sstheo]

Bobiz, as you are using Cumulative Delta the way I am demonstrating, it is very important to keep the time frame in mind.

Here is a chart of CL looking back 8 days:

Now here is the same chart looking back 1 day:

Notice that the position of the CDelta line changes relative to the actual prices.

So which one is correct? Should I be long or short? The answer is "It depends!" The time frame you prefer to trade on is the key.

Over 8 days of trading, it appears that the bulls are now slightly too bullish.

Over the last 24 hours, you could make a case that this leg up has a bit more to go.

So always look at different time frames. When the directions line up, then you probably have a great entry long or short.

 

[Bobiz]

Bobiz, as you are using Cumulative Delta the way I am demonstrating, it is very important to keep the time frame in mind.

Here is a chart of CL looking back 8 days:

View attachment 209173

Now here is the same chart looking back 1 day:

View attachment 209174

Notice that the position of the CDelta line changes relative to the actual prices.

So which one is correct? Should I be long or short? The answer is "It depends!" The time frame you prefer to trade on is the key.

Over 8 days of trading, it appears that the bulls are now slightly too bullish.

Over the last 24 hours, you could make a case that this leg up has a bit more to go.

So always look at different time frames. When the directions line up, then you probably have a great entry long or short.

Thanks for all the detailed explanations. I'm still probing the cumulative delta relationship to price action context,relative to time frames and even whether the chart is full screen or half screen,and the crossover seems to be subjective.Reducing the size of the chart alters the cumulative delta crossover of the price,and is giving me a lot of concern.
I'm a slow learner,and is mindful of the fact that it's gonna take me some time to understand how it will improve my trading.Time will tell.

 

[sstheo]

Thanks for all the detailed explanations. I'm still probing the cumulative delta relationship to price action context,relative to time frames and even whether the chart is full screen or half screen,and the crossover seems to be subjective.Reducing the size of the chart alters the cumulative delta crossover of the price,and is giving me a lot of concern.
I'm a slow learner,and is mindful of the fact that it's gonna take me some time to understand how it will improve my trading.Time will tell.

Indeed this is a very subjective tool. You might consider a variation of it that is also very helpful to me that is also available on MultiCharts. The "footprint" charts (volume delta) are also something that I look at, and they are not subjective at all. I will post info on these later.

 

[Bobiz]

Indeed this is a very subjective tool. You might consider a variation of it that is also very helpful to me that is also available on MultiCharts. The "footprint" charts (volume delta) are also something that I look at, and they are not subjective at all. I will post info on these later.

That's ok, I'll look forward to your post on Volume Delta and it's applications.

 

[sstheo]

Bobiz,

Here is one of my volume delta charts: 15 tick range bar on MC. The yellow dot is the point of control, or largest volume traded on that candle. Because we are after hours, the volume is lighter and there are more gray bars (neutral) than strong buying or selling bars.

This chart lines up very well with the CDelta chart discussed earlier, but now it is part of the bar, so for these 15 ticks, I know exactly what the aggression is! And with the volume below, I can see if there will be a probable reversal (usually within 2 or 3 bars).

Set it up like this:

And one more check box:

Let me know if it works...

HOW DO I USE IT? I trade WITH the colors. Only rarely will I go long on a red bar or short on a green bar. Why? Because each bar is like a speedometer for buying and selling. I don't want to stand in the way of the momentum, and that is exactly what this bar shows me. If the price is approaching a very strong support or resistance level I may front-run the reversal, but that is rare. I used to use the POC as a place to put my stops (just beyond the POC from the price), but the market has been way too volatile for that recently. I still like to see them though.

 

[sstheo]

No live account micro trades today. I am trying to do better at not getting chopped up. Sometimes it is better to sit out.

The FOMC meeting is tomorrow, and I correctly guessed that the market would trade in a tight range today in anticipation.

The Value Area High from yesterday at 3004 and the Value Area Low at 2997 are holding prices fairly well. I also guessed that the Point of Control at 3,000 would act like a magnet for much of the day.

Chances are very high that there will be a rate cut tomorrow, and I think the market will eventually pop today or tomorrow, but right now the continued threat of war over oil field bombings seems to be muting the bulls today.

I do notice that the CDelta line is bullish, so there is some muted long action going on.

 

[Bobiz]

Bobiz,

Here is one of my volume delta charts: 15 tick range bar on MC. The yellow dot is the point of control, or largest volume traded on that candle. Because we are after hours, the volume is lighter and there are more gray bars (neutral) than strong buying or selling bars.

This chart lines up very well with the CDelta chart discussed earlier, but now it is part of the bar, so for these 15 ticks, I know exactly what the aggression is! And with the volume below, I can see if there will be a probable reversal (usually within 2 or 3 bars).



View attachment 209204

Set it up like this:

View attachment 209206

View attachment 209207

And one more check box: View attachment 209208

Let me know if it works...

HOW DO I USE IT? I trade WITH the colors. Only rarely will I go long on a red bar or short on a green bar. Why? Because each bar is like a speedometer for buying and selling. I don't want to stand in the way of the momentum, and that is exactly what this bar shows me. If the price is approaching a very strong support or resistance level I may front-run the reversal, but that is rare. I used to use the POC as a place to put my stops (just beyond the POC from the price), but the market has been way too volatile for that recently. I still like to see them though.

Hi sstheo,Thanks for your kind assistance and explanations.The volume delta resonates with my trading more than the cumulative delta. I've used Sierra chart's version (delta volume) with cumulative delta bars- up/down tick volume for a few days now,and is still trying to tidy up my ends.
I also use heikin ashi to fine tune my entry ,and will be exploring your short term heikin ashi applications.

 

[sstheo]

There are lots of people who say that volume studies are meaningless. But my experience says otherwise. They may have a good system without it, but it has really made a positive difference for me.

Assuming volume is relevant, where was the aggression? Who is moving the market? There are hundreds of thousands of limit orders just sitting on the DOM, but NOTHING will happen in the market until someone hits "Buy the Ask" or "Sell the Bid" or Buy/Sell at Market. When this happens, that person is being more aggressive than the counter-party. The assumption is they are more committed to the long or short position. My experience agrees.

Yes, there is lots of chop in ranges, and ranges fill 70% of the charts on a daily basis, but volume studies can still help. But they really shine at the beginning and middle of trends.

YM, 1:40 ET 9/17/2019

I would be long here on YM, even though we are now up against the Resistance from a prior high. Why? Because the candle is GREEN. (The candle color is based on volume aggression and not the position of the current price in relation to the open.) The greenness is from the internal long pressure.

And they really help me know when the trend is ending. I often get advanced warning when a candle turns GRAY. I know things are balanced internally:

At some point at least one of the candles in the trend will turn RED:

Now I know that the trend is taking a pause. It may be a full reversal, or just a pullback in the trend. But I know that I need to take profits or start looking for shorts (maybe) if scalping, or maybe even add to my position on the pullback if long with a swing-type trade.