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Intraday Trading the US Index Futures

  • #201
  • Dec 11, 2019 9:21am Dec 11, 2019 9:21am
Goal reached on the first trade today, which happened to occur in ES. I was a bit hesitant as the first 10 minutes were a giant doji, but the 15M was a large bull hammer bar, and the NQ was moving up well, so took the High 1 buy with a target in between Yesterday RTH High (blue) and this Week's RTH Open (purple).
Attached Image (click to enlarge)
Click to Enlarge Name: ES 12-19 (5 Minute) 2019_12_11 (7_13_25 AM).png Size: 102 KB
Small disciplines repeated with consistency lead to great achievements.
  • #202
  • Dec 11, 2019 10:51am Dec 11, 2019 10:51am
Quoting jmflukeiii
Goal reached on the first trade today...
Well done. You gotta love that. Thank you for posting. The time and effort you take to post are appreciated.
Without VSA, you're playing checkers while the Smart Money plays chess.
  • #203
  • Dec 11, 2019 11:49am Dec 11, 2019 11:49am
Quoting HiddenGap
{quote} Well done. You gotta love that. Thank you for posting. The time and effort you take to post are appreciated.
Thank you for keeping the thread alive while I was gone! And appreciate your posts as well, especially with what seems like a bit of an added dimension with the order flow bars. Very limited experience with them myself, so interesting to see how they are used.
Small disciplines repeated with consistency lead to great achievements.
  • #204
  • Dec 12, 2019 9:21am Dec 12, 2019 9:21am
Thanks to another China tweet, indices moved up nicely. Waited for a pullback in the NQ and got a nice big win. Notes on the chart.
Attached Image (click to enlarge)
Click to Enlarge Name: NQ 12-19 (233 Tick) 2019_12_12 (7_12_36 AM).png Size: 102 KB
Small disciplines repeated with consistency lead to great achievements.
  • #205
  • Dec 12, 2019 4:25pm Dec 12, 2019 4:25pm
Journal Entry:

I woke up feeling good this morning. I was all set to have a great day. I had put yesterday's losses behind me. Traders, like good DBs in the NFL, have to have short memories.

Rolled over in the ES to the March contract.

Two [LIVE] Trades: 0 Wins, 2 Losses (rather than losses, these can be opportunities to learn.)

Trade 1: -10 Ticks

Trade 1 was in oil (CLF0).

A wide spread candle appeared that closed near its low on increasing (and relatively high) volume. This was recognized by Tradeguider as an Up Thrust. The next rotation confirmed as it closed DOWN. Despite the fact that I had not gotten the OrderFlow confirmation needed, I entered at the open of the next rotation.

This was a mistake. There is evidence in the OrderFlow that must be present to take a trade. Do not be in such a hurry to take a trade. There will always be opportunities but your account is not infinite. Therefore you might as well wait for the best ones.

I was prepared to lose 10 ticks and the market obliged and stopped me out with a 10 tick loss.

Trade 2: -7 Ticks, Net loss -17 Ticks.

The rotation that took me out of the market turned out to be another Up Thrust. More importantly, this rotation satisfies the OrderFlow requirements of an entry signal.

I entered on the open of the next rotation. The market moved against me from the jump. My stop was 10 ticks away. The ideal place to put the stop would be 1 or 2 ticks above the Sell Imbalance (1 tick above does equal 10 ticks fro.m entry). I bailed after the Market moved 7 ticks against me.

Ultimately, the Market moved 8 ticks against my entry before turning around and dropping roughly 34 ticks.

I did not give it the full 10 ticks because I had already lost 10 ticks in the prior trade. The issue here is that I did not get out because the Market told me I was wrong, I got out because I did want to lose anymore. I need to be prepared to lose all 10 ticks unless the Market gives me either clues to get out sooner or clues to lower my risk.

Attached Image (click to enlarge)
Click to Enlarge Name: OrderFlow 10.png Size: 260 KB


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Click to Enlarge Name: OrderFlow 9.png Size: 304 KB
Without VSA, you're playing checkers while the Smart Money plays chess.
  • #206
  • Dec 13, 2019 8:51am Dec 13, 2019 8:51am
Today's trades setup in the NQ prior to the ES. Just prior to open there was a swift rejection of last week's high (green dotted line) which broke the last pullback high. This last pullback high was visible on the trading tick interval, as well as the higher context tick interval, and was also at the midline of the 60M trend channel which respected its high projection overnight (chart attached).

The first pullback I traded too early and ended up breakeven on the trade, and unfortunately let myself get spooked out of the better entry lower - note that this lower entry was also a 2 leg pullback from the break of the last pullback in the downtrend. That second leg entry lead to a break of the intra-pullback high, so then traded a pullback after that break: note increased risk but had greater probability of price going a little bit higher. Exited at yesterday's close (orange line) which so far is holding the top of RTH trading.

Attached Image (click to enlarge)
Click to Enlarge Name: NQ 03-20 (233 Tick) 2019_12_13 (6_42_32 AM).png Size: 87 KB
Attached Image (click to enlarge)
Click to Enlarge Name: NQ 03-20 (60 Minute) 2019_12_13 (6_48_25 AM).png Size: 100 KB
Small disciplines repeated with consistency lead to great achievements.
  • #207
  • Dec 13, 2019 9:10am Dec 13, 2019 9:10am
Quoting jmflukeiii
Today's trades setup in the NQ prior to the ES.{image}{image}
Next trade in NQ; with some profits, felt a little better about holding. Unfortunately, auto-trail kicked in and took me out before i could drag it away (yesterday high was my target and would have likely exited there anyway). +0.25, +7.00, and +22.50 on three trades. Great end to the week.
Attached Image (click to enlarge)
Click to Enlarge Name: NQ 03-20 (233 Tick) 2019_12_13 (7_05_57 AM) 2.png Size: 117 KB
Small disciplines repeated with consistency lead to great achievements.
  • #208
  • Dec 13, 2019 11:05am Dec 13, 2019 11:05am
Journal Entry:

Yesterday shook me a bit, but I woke up today unphased and ready to go. My intent was not to beat the Market, but rather, not to beat myself. Successful traders are process-oriented as opposed to outcome-dependant. Having said that, I don't think there is anything wrong with having a "goal for the day".

Pre Trade:

I felt comfortable with how the trading day progress. I did not get any opportunities. More precisely, I did not allow myself to take random trades "in air". If Wide Range Body (WRB) Zones (I call them Supply/Demand Delta Zones) and Stacked Imbalance Zones do nothing else but keep me from over-trading, they're still invaluable. I exhibited patience as I waited for zones to be created or for price to enter existing ones.

There was a nice Up Thrust into a Supply/Demand Delta Zone in the ES, but the Up Thrust did not meet my OrderFLow requirements and I stayed out. This is a lesson learned.

One [LIVE] Trade: 1 Win.

Trade: +15 Ticks

Aggressive sellers in the Market created a Stacked SELL Imbalance Zone. As price came back into this area, I saw what I wanted to see. That's what it is all about: What you want to see; Where you want to see it.

I entered the trade (See notes on the chart) with the usual 10 tick stop and 15 tick profit target (for the CL). I resisted the desire to move the target to 17 ticks in order to "recapture" the ticks lost yesterday. You can't make money fighting yesterday's battle today.

I took some heat early but remained calm and in the moment. I moved my stop to just above the SELL imbalance and then to break even once the trade hade moved roughly 10 ticks in my favor.

Attached Image (click to enlarge)
Click to Enlarge Name: OrderFlow 11.png Size: 259 KB
Without VSA, you're playing checkers while the Smart Money plays chess.
  • #209
  • Dec 13, 2019 6:00pm Dec 13, 2019 6:00pm
Quoting HiddenGap
Journal Entry: Yesterday shook me a bit{image}
HG - on your entry bar, where you said short on open, what do you make of the 37/364 price level? The 383 is buying at that level correct, volume at the ask? If so, why does so much volume at the ask result in the sell-off? Or perhaps its not a cause-and-effect.

Another more elementary question: the 364 number i mentioned, should that be compared (for imbalance) with the number immediately adjacent to it (37), or the number diagonal (1 over and 1 down = 111)? I'm assuming diagonally given that at that moment in time, the bid and ask would be separated by 1 tick.

Lastly, a Sell Imbalance would be simply a higher number in the left column as compared to the number in the right column 1 over and 1 up?

And one more lastly, the levels with a gray box around them, what does that identify?

I'm sorry if these questions are ridiculously wrong or elementary or both... I have no experience with these types of charts and have been using NT8's new "volumetric" bars to try to look at your charts in another light and just have no idea what I'm looking at or for. Thank you for any commentary. I've attached my chart for fun.
Attached Image (click to enlarge)
Click to Enlarge Name: CL 01-20 (3 Min Volumetric) 2019_12_13 (4_00_16 PM).png Size: 254 KB
Small disciplines repeated with consistency lead to great achievements.
  • #210
  • Dec 13, 2019 9:05pm Dec 13, 2019 9:05pm
First off, thank you for the questions. I am by no means an expert, but I will do my best to answer your questions. I will also attach a couple of videos that will probably explain things better than I do.

Quoting jmflukeiii
{quote} HG - on your entry bar, where you said short on open, what do you make of the 37/364 price level?...[W]hy does so much volume at the ask result in the sell-off?
This can be a bit counter-intuitive and is really key to me. This a beautiful example of ABSORPTION. The buyers are coming in heavy at the market and are being matched with passive (resting) orders. In fact, there is so much supply at this level that all that buying fails to make price rise.

When you are not seeing what you would expect-massive buyers sending price UP, you have to ask yourself "why?".

Quoting jmflukeiii
Another more elementary question: the 364 number I mentioned, should that be compared (for imbalance) with the number immediately adjacent to it (37), or the number diagonal (1 over and 1 down = 111)? I'm assuming diagonally given that at that moment in time, the bid and ask would be separated by 1 tick.
Quoting jmflukeiii

Another good question and you are correct. The bid and ask would be separated by 1 tick. Therefore the comparison is done diagonally.

Quoting jmflukeiii
[A] Sell Imbalance would be simply a higher number
...
Yes and No. You are correct about what numbers are being compared. But an Imbalance is defined by the percent difference not the actual number difference. Most software packages use 300% as a default. So if the number on the left is 9 and the number in the right column 1 over and 1 up is 3, the software would signal a SELL Imbalance as 9 is 3x greater than 3. The percentage is of course user-definable and market dependant. So 400% might work in the ES but be too much (resulting in almost no Imbalances) in Gold.

Quoting jmflukeiii
And one more lastly, the levels with a gray box around them, what does that identify?
I call this the Commitment of Traders (COT). Mainly because I've watched a lot of NOFT videos and that is what they call it in order to distinguish it from the Point of Control of a volume profile. But in essence, it's the highest volume of the rotation.

Inserted Video


Inserted Video


Inserted Video
Without VSA, you're playing checkers while the Smart Money plays chess.
  • #211
  • Dec 14, 2019 11:42am Dec 14, 2019 11:42am
I certainly don't want to hijack this thread. This is a thread where all methods and systems are welcome. But since I was asked a question about OrderFLow, I have to take the opportunity to post my favorite trading video of all time.

Inserted Video


Regardless of the method/system one chooses to employ in the Market, it remains a fundamental truth that the Market is an auction and exists solely to facilitate trade.
Without VSA, you're playing checkers while the Smart Money plays chess.
  • #212
  • Dec 16, 2019 10:52am Dec 16, 2019 10:52am
Quoting HiddenGap
I certainly don't want to hijack this thread. This is a thread where all methods and systems are welcome. But since I was asked a question about OrderFLow, I have to take the opportunity to post my favorite trading video of all time. https://www.youtube.com/watch?v=WrxlVjZJawQ Regardless of the method/system one chooses to employ in the Market, it remains a fundamental truth that the Market is an auction and exists solely to facilitate trade.
Not at all, this is much appreciated! I had limited time over the weekend, but looked into it a little bit. Will continue with a little study here and there. The fundamental truth is correct, I might not be quick enough or smart enough to evaluate it with such granular detail.

For today, first trade was in NQ. Obviously strong strength up overnight. Immediately after open the last swing high was broken, which then results in me looking for a pullback to go long. Given the strength of the break and the distance to the stop being acceptable, I simply put a limit order in immediately following the breakout and was filled within a second. I exited at a double top for +11.00.
Attached Image (click to enlarge)
Click to Enlarge Name: NQ 12.16.19.png Size: 101 KB
Small disciplines repeated with consistency lead to great achievements.
  • #213
  • Dec 16, 2019 12:11pm Dec 16, 2019 12:11pm
Quoting jmflukeiii
For today, first trade was in NQ. Obviously strong strength up overnight. Immediately after open the last swing high was broken, which then results in me looking for a pullback to go long. Given the strength of the break and the distance to the stop being acceptable, I simply put a limit order in immediately following the breakout and was filled within a second. I exited at a double top for +11.00. {image}
Very nice.

Although being out of the market is technically a trading decision, I haven't had any trades (yet) today. I'm exhibiting the kind of patience needed for me to succeed.
Without VSA, you're playing checkers while the Smart Money plays chess.
  • #214
  • Dec 16, 2019 12:27pm Dec 16, 2019 12:27pm
Quoting HiddenGap
{quote} Very nice. Although being out of the market is technically a trading decision, I haven't had any trades (yet) today. I'm exhibiting the kind of patience needed for me to succeed.
Patience is what matters and what I have lacked the most in my life!

However, I have repeatedly noted that right at the open there is a setup that occurs in accordance with my plan that completes the situation created in the pre-market. I have often been overly cautious and avoided these setups, looking for further confirmation in the RTH session. However, often that confirmation results in a trade that is too late (i.e. breakout already occurred) per my plan.

Confirmation = greater probability. Greater probability = worse risk.
Small disciplines repeated with consistency lead to great achievements.
  • #215
  • Edited 11:02am Dec 18, 2019 10:25am | Edited 11:02am
So today was a bit mixed. Lots of notes on the NQ charts below where I have been trying to incorporate some order flow analysis. I like the histogram charts the best as I feel a bit overwhelmed with all the numbers on the other type of chart. I don't really know how to use it, so continuing to trade my "system", but tried to incorporate some of the volume profiles as confirmations, stop placement, targets on the second trade.

Attached Image (click to enlarge)
Click to Enlarge Name: NQ 12.18.19 trade chart.png Size: 115 KB

Attached Image (click to enlarge)
Click to Enlarge Name: nq 12.18.19 volume.png Size: 148 KB


On ES: First trade was a continuation trade after the surprise bear bar. However, it didn't advance quickly, immediately went against me, so I tried to exit with 1 tick profit. Second trade, I was late to the entry, but we had a clear wedge form with excellent signal bar. I held through the wedge pullback and exited around the 3200 BRN where price has been oscillating all week. I could have held this to a new high on the day, but wasn't expecting the breakout that is occurring, volume felt light. I guess hindsight is always easier.

Attached Image (click to enlarge)
Click to Enlarge Name: ES 03-20 (5 Minute) 2019_12_18 (8_16_52 AM).png Size: 71 KB


Looking at the low of the wedge with the profile bars is interesting. At the low tick there was tremendous sell delta, more than 50% of the total volume of the bar. But price then went up. Absorption?

Attached Image (click to enlarge)
Click to Enlarge Name: MES 03-20 (5 Minute) 2019_12_18 (9_01_44 AM).png Size: 82 KB
Small disciplines repeated with consistency lead to great achievements.
  • #216
  • Dec 18, 2019 10:43am Dec 18, 2019 10:43am
Some follow-up SIM trades in NQ. Feedback/thoughts from HG would great -
Attached Image (click to enlarge)
Click to Enlarge Name: MNQ 03-20 (512 Tick) 2019_12_18 (8_40_50 AM).png Size: 112 KB
Small disciplines repeated with consistency lead to great achievements.
  • #217
  • Jan 2, 2020 5:58pm Jan 2, 2020 5:58pm
Great trades today by again buying -

Attached Image (click to enlarge)
Click to Enlarge Name: NQ 03-20 233 Tick 2020_01_02 3_55_56 PM.png Size: 79 KB


Or you could continue to think its time to short such as the 11:15 EST short call in that other thread.

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Click to Enlarge Name: YM 03-20 15 Minute 2020_01_02 3_58_13 PM.png Size: 84 KB
Small disciplines repeated with consistency lead to great achievements.
  • #218
  • Jan 3, 2020 11:08am Jan 3, 2020 11:08am
Trades today. Managed a bit too aggressively unfortunately on that run up and one trade became three trades.

Attached Image (click to enlarge)
Click to Enlarge Name: MNQ 03-20 233 Tick 2020_01_03 9_07_02 AM.png Size: 90 KB

Attached Image (click to enlarge)
Click to Enlarge Name: MNQ 03-20 233 Tick 2020_01_03 9_01_49 AM.png Size: 92 KB
Small disciplines repeated with consistency lead to great achievements.
  • #219
  • Jan 3, 2020 1:46pm Jan 3, 2020 1:46pm
"All traders won't be back until Monday." Steve Grasso, CNBC Fast Money.

Accordingly, only SIM trades today (and all week).

3 Trades*: 3 Wins.

* For shits and giggles, I took a trade in the ES last night during my non-trading hours. It was a winner and is also reflected in the trade box P&L.

Trade 1:

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Click to Enlarge Name: SD ProVolume 5.png Size: 194 KB


Trade 2:

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Click to Enlarge Name: SD ProVolume 6.png Size: 178 KB


Trade 3:

Attached Image (click to enlarge)
Click to Enlarge Name: SD ProVolume 7.png Size: 154 KB
Without VSA, you're playing checkers while the Smart Money plays chess.
  • #220
  • Edited 3:02pm Jan 3, 2020 2:27pm | Edited 3:02pm
Quoting YYZ
{quote} what is ESHO and CLG0? I could not find them in finviz.
ES - S&P E-Mini Futures Contract
H - March Contract (quarterly roll)
0 - 2020 year code

CL - Crude Oil Futures Contract
G - February Contact (monthly roll)
0 - 2020 year code

EDIT: I should mention that not all platforms include the full nomenclature as above. For example, Ninjatrader would be ES 03-20 and CL 02-20. Think or Swim I think is ES[H20] and CL[G20] (or just type in /ES or /CL).
Small disciplines repeated with consistency lead to great achievements.
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