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Surfing Risk Intraday - Volume Profile and Order flow

  • #41
  • Feb 7, 2014 6:44am Feb 7, 2014 6:44am
Quoting dappa
{quote} I personally don't think any of it works. I have seen many high volume bars, large range, and price keeps going in the bars momentum. I have seen the so called upthrust bars with large volume and price never turned around, the high of the pin got broken and price kept going. I have seen many no demand and no supply bars and couldn't figure out which one was valid and price still fell or rose. It doesn't work all the time. Its like anything else, you never know if it will work this time or not. Yet to find someone that trades it and makes...
Yeh it is tricky, I am left with that kind of feeling too.

To me it isn't obvious either, because the higher volume upbars hitting a supply zone (as one example) might be supply entering, or it could be buyers overcoming supply. You can't really tell that in advance, but it is sometimes useful to know.

Trying not to clutter thread, so will leave further discussion on RiskSurfer VP and OF stuff, which I think is the real gravy.
  • #42
  • Feb 7, 2014 6:47am Feb 7, 2014 6:47am
Quoting MCRotter
{quote} Yeh it is tricky, I am left with that kind of feeling too. To me it isn't obvious either, because the higher volume upbars hitting a supply zone (as one example) might be supply entering, or it could be buyers overcoming supply. You can't really tell that in advance, but it is sometimes useful to know. Trying not to clutter thread, so will leave further discussion on RiskSurfer VP and OF stuff, which I think is the real gravy.
One more word on this, I agree that VSA can be used determine when sellers have stepped in in a rising market, but what we don't know is if they're actually going to overcome the momentum, in many cases, the sellers only fuel the move higher once they run out of bullets and have to puke
Trade ideas posted daily with a follow up each night. See post #1
  • #43
  • Feb 7, 2014 1:12pm Feb 7, 2014 1:12pm
I have to say that for all this time I have been researching and reading about the marvelous world of trading, this is one of the best, if not the best source of information I have ever found. The way RISK SUFER explains every chart, trade, indicator, etc, etc, and every detail on this subject, makes it easy not only to understand, but gives you certain confidence for you wanting to keep on going with his lectures. This guy really knows what he is talking about, I highly recommended to go to his page (www.risksufer.com) and take a look for yourself on what this trader can offer you for your learning and career as a trader if you are seriously thinking on taking this path and job for a living.


Last but not least, you can really tell he is willing to help you in a very honest way. That is priceless.
  • #44
  • Feb 8, 2014 3:22am Feb 8, 2014 3:22am
Quoting vmz
I have to say that for all this time I have been researching and reading about the marvelous world of trading, this is one of the best, if not the best source of information I have ever found. The way RISK SUFER explains every chart, trade, indicator, etc, etc, and every detail on this subject, makes it easy not only to understand, but gives you certain confidence for you wanting to keep on going with his lectures. This guy really knows what he is talking about, I highly recommended to go to his page (www.risksufer.com)...
Many thanks for the feedback Jorge..

Your words are so kind that I'd imagine most people are going to think I wrote that myself... haha

Have a good weekend all, more posts coming on Monday
Trade ideas posted daily with a follow up each night. See post #1
  • #45
  • Feb 8, 2014 12:45pm Feb 8, 2014 12:45pm
That website link doesn't work
  • #46
  • Feb 8, 2014 1:49pm Feb 8, 2014 1:49pm
Quoting dappa
That website link doesn't work
I know, it's been spelt incorrectly, but it's only the same one I put in my first post
Trade ideas posted daily with a follow up each night. See post #1
  • #47
  • Feb 8, 2014 4:37pm Feb 8, 2014 4:37pm
<p>
Quoting dappa
That website link doesn't work
</p>
<p></p>

My bad dappa... here it is the correct link.

www.risksurfer.com

Its the same as he has as a Forex Factoty's username.

Hope this help.


Regards
  • #48
  • Feb 8, 2014 8:44pm Feb 8, 2014 8:44pm
Quoting vmz
<p>{quote}</p> <p></p> My bad dappa... here it is the correct link. www.risksurfer.com Its the same as he has as a Forex Factoty's username. Hope this help. Regards
Thank you!
  • #49
  • Feb 10, 2014 5:02am Feb 10, 2014 5:02am
Opening and Closing Ranges

Unlike the spot FX market, the futures markets are not open 24 hours a day. They have defined open/close times.

Both the open and close are important periods to take note of, as you have a spike in volume and some unusual activity.

Every time the market opens, you have traders that for whatever reason, need to be in the market immediately (customer orders, hedging, etc). To to this they place a MOO order or 'market on open' order. These orders are executed by and algorithm that tries to match them as efficiently as possible and give everyone the best fill. On a typical day it takes 1-2 minutes of trading before all the opening orders are executed and more typical trading resumes. These opening orders create an initial swing high/low which we define as the Opening Range. This opening range becomes significant to us for the rest of the day, once it has been fully established. Often when the opening range is formed, it holds as support/resistance. Equally if they opening range fails to hold, it tells you something about the prevailing strength/direction of the market on that day. This setup is particularly clear and tradable in the S&P 500 future, when they pit opens alongside the cash stock market.

This example is from the E-Mini ES future a few days ago. 1 minute chart:

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A similar effect can be seen at the close of the market. MOC (market on close) orders establish a closing range, which can be significant for the market going forward
Trade ideas posted daily with a follow up each night. See post #1
  • #50
  • Edited 9:08am Feb 12, 2014 3:46am | Edited 9:08am
Fundamentals

The markets in general have been very news driven lately, So I think it's an appropriate moment to talk about news and fundamentals.

First of all, I know many people intentionally ignore effect of news on the markets because they consider them irrelevant. That's absolutely fine. My intention isn't to try to persuade anyone that they are making a mistake by ignoring it. Nor do I wish to preach to anyone how they should be trading. However I started this thread to explain the way I trade and convey an alternative view on the markets. Fundamentals play a major role in my trading so I cannot really leave them out.

I see a lot complaints from people, that markets "don't make sense" They are confused that when a piece of negative news hits the wires the market doesn't react the way the would expect. Their conclusion from this that the markets are corrupt and manipulated, that they move randomly and by their own free will.

They throw their arms up in the air and say "what are these idiots doing!! The eurozone is falling apart and yet they are BUYING the S&P!!!??, what fools!!"

All I can say is, don't be like them. Don't think for one second that markets move randomly and for no reason.
As everything in life does perhaps, the markets have reasons to move the way they do. Markets move because Central Banks, Hedge Funds, Prop traders and individual with ridiculous amounts of money at their disposal, trade them. And they do not trade them because they have flipped a coin and it told them to go long. They very valid and logical reasons to do so.

In my view the market is never wrong. If certain events happen, and you do not see the reaction you were expecting, this gives you some very big clues about the state of the market.

One important thing to accept is that the market has 'moods'

Sometimes the market just wants to go up and up and up. Any excuse is used to fuel a rally. Good economic data will send the market into a huge rally. While negative data might push the market down initially but it is soon discounted and it's not long before we're trading higher again. When you see these kind of reactions you know what mood the market is in, and therefore what direction your bias should be.

Another important thing to learn is the level of severity of certain news/announcements, and how much you would expect it to affect your market. This is something that takes time and comes with experience, but it can present fantastic opportunities when you combine it with natural places you would want to entering the market anyway.

Let me give an example;

You are a Bund trader

1) The market has been trading down all day, and is now 80 ticks below the open

2) You know from your research that 80 ticks is towards the maximum range you would expect out of a normal day, so you are already in 'Buy' Mode.

3) Suddenly Jeffery Lacker from the FOMC comes on the wires, and announces that the Fed should raise interest rates sooner rather than later.

4) The Market spikes down 20 ticks to a support level you have marked on the chart. The range is now 100 ticks and you are trading at an area you know buyers will want to enter. You are seeing more an more reasons to buy this market.

5) From you knowledge base you that Mr Lacker is a very Hawkish member of the FOMC and every time he is interviewed, he mutters something about raising rates.

6) You also know that Mr Lacker is not actually a current voting member of the FOMC, therefore he can think what he likes, he cannot actually influence rates.

7) From this information you have a even more reasons to buy... You are fading an overreaction to 'non' news. you are at a support level AND the market is over extended. You would have to call this trade a No Brainer! It's an ideal opportunity to exploit your edge.

Now lets change the example slightly. Replace Jeffery Lacker with Janet Yellen making exactly the same hawkish comments.

This changes everything. Janet Yellen is traditionally a very dovish member of the FOMC. and she has recently been appointed as Fed chairman. If she suddenly changes her stance and becomes hawkish, this is huge news to the market. The reaction is likely to be far greater, and there is no way I would fade this news.

These are the kind of things I consider when I make trades. I'm not saying it's the right way and I know many people will think I am overcomplicating things. It helps that I find these things quite interesting, so it's not hard work for me to research what makes the markets tick, especially when they make me a better trader.
Trade ideas posted daily with a follow up each night. See post #1
  • #51
  • Feb 12, 2014 10:18am Feb 12, 2014 10:18am

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That concludes the theory part of this thread. I'm sure I'll remember some more useful material down the road but I'll just have to add it in later.


From now I'm going to start posting trade ideas and examples. Almost all the trades I post will be samples from www.risksurfer.com, as I already perform a daily wrap up there it will be easy to copy it over here too.


I'll also be doing some live analysis and calling trades ahead of time, starting with the E-Mini S&P 500 in the next post.


I hope all those following the thread are getting some value out of it, feedback is welcomed and encouraged as always!

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Trade ideas posted daily with a follow up each night. See post #1
  • #52
  • Feb 12, 2014 10:48am Feb 12, 2014 10:48am
Here are my three charts for the S&P 500 future (ES) - Intraday - Rolling and Composite

Each evening I cross analyze all 3 charts for each market I trade, and derive levels I was to enter positions at the following day.

The ES currently has a very bullish feel about it, and with those weak highs from December at the 1845 area, I am FAR more aggressive from the long side. For me to take a short in ES right now, it would have to be a stand out, no brainer resistance level for it to be worth the risk.

The first level I was to buy is 1808-25-08.75. This is marked by the highest green zone on the intraday chart. The reasons for the entry are annotated on the charts

Intraday (5 minute)

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Rolling (120 minute)

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Composite (Daily)

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Trade ideas posted daily with a follow up each night. See post #1
  • #53
  • Feb 13, 2014 12:37pm Feb 13, 2014 12:37pm
Quoting Risk Surfer
Here are my three charts for the S&P 500 future (ES) - Intraday - Rolling and Composite Each evening I cross analyze all 3 charts for each market I trade, and derive levels I was to enter positions at the following day. The ES currently has a very bullish feel about it, and with those weak highs from December at the 1845 area, I am FAR more aggressive from the long side. For me to take a short in ES right now, it would have to be a stand out, no brainer resistance level for it to be worth the risk. The first level I was to buy is 1808-25-08.75....

Here's a follow up to this trade idea. The low volume area of 1807.50 did hold nicely, although we took a bit more heat on the trade that I expected, 5 points drawdown, but now we're trading almost 20 points higher

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Trade ideas posted daily with a follow up each night. See post #1
  • #54
  • Feb 14, 2014 9:13am Feb 14, 2014 9:13am
Here's a trade idea I posted last night for subscribers. Strong support in the Bund at 143.49-51.

The reasons for the entry were a stand out low volume node created during yesterdays session, with confluence on the daily chart in the form of a High volume node created by the recent action as well as price action from the summer of last year.

I literally use a 5 tick stop on these entries, I expect the level to hold to that degree of accuracy

Currently the level is holding as the low of the day, price has rallied 20 ticks so far (that's 4 x my risk) and is still going.

Here are the charts with annotations. The green horizontal line represents the Risk Surfer support zone at 143.49-51 in this case

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Trade ideas posted daily with a follow up each night. See post #1
  • #55
  • Feb 15, 2014 5:26pm Feb 15, 2014 5:26pm
Thanks for those examples. Do you feel that low volume nodes react better than high volume nodes, for example, are you more likely to get a bounce from those areas.

Also, what platform are you running these charts on, they look great.
  • #56
  • Feb 16, 2014 12:00pm Feb 16, 2014 12:00pm
Quoting MCRotter
Thanks for those examples. Do you feel that low volume nodes react better than high volume nodes, for example, are you more likely to get a bounce from those areas. Also, what platform are you running these charts on, they look great.
There are definitely some big differences between the two:

Low volume nodes: Lower probability of working, Likely to be a cleaner, faster bounce with almost no drawdown, so you can keep a very tight stop

High volume nodes: Higher probability of stopping a move, bounce may be less clean, or price may get stuck at the level (as the same prices get accepted once again)

I trade both equally aggressively depending on the market and context at the time

Thats the Market Delta charting platform, they are the best in my opinion when it comes to profiling. I think they do a free trial if you want to check it out. There's also investor RT which is similar and cheaper, and I hear Sierra Charts are good too although I've never used them personally
Trade ideas posted daily with a follow up each night. See post #1
  • #57
  • Edited 2:25pm Feb 18, 2014 1:16pm | Edited 2:25pm
Only had one trade trigger today, I posted a short level in the Gilt (UK 10 year government bond) last night at 110.35-37, Reasons are marked on the charts:

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I liked this short as it coincided with ATR, so we knew that price may be at extended levels to the upside before our short level was even hit

You may notice that the previous session's VPOC (109.69) held early on to be the low of the day, this wasn't a level I was willing to trade, but it's nice to see this stuff working over and over again

http://risksurfer.com/wrap-up
Trade ideas posted daily with a follow up each night. See post #1
  • #58
  • Feb 19, 2014 11:59am Feb 19, 2014 11:59am
Hey Risk, glad to see a volume profile trader in here.

Software for charting, I see you use MarketDelta. Would you advocate using the DOM vs the footprint chart? Won't the footprint show the real volume traded vs the DOM where orders can be pulled and flipped...(Rotter Style?)

That aside, if it won't be too much hassle, any little tidbit from the 6E and the M6E would be a nice treat, as I'm still wrapping my head around Volume Profile Trading.

Thanks for you thoughts.
  • #59
  • Feb 19, 2014 1:17pm Feb 19, 2014 1:17pm
Quoting springger
Hey Risk, glad to see a volume profile trader in here. Software for charting, I see you use MarketDelta. Would you advocate using the DOM vs the footprint chart? Won't the footprint show the real volume traded vs the DOM where orders can be pulled and flipped...(Rotter Style?) That aside, if it won't be too much hassle, any little tidbit from the 6E and the M6E would be a nice treat, as I'm still wrapping my head around Volume Profile Trading. Thanks for you thoughts.
Hey Springger, I don't use the footprint chart at all, I can see some value in it, but it's really only showing you whats the Dom does. You're right, the footprint only shows actual trades have gone through, but the Dom does this too, it just doesn't accumulate the values the way the footprint does. And yeah the Dom displays all the resting orders on the bids and the offers, some of which are real, but many are fake (algo's attempting to manipulate the market a few ticks in their favour etc), I like having this information as you can often identify what's real and what's not.

I do try to play the flipper/rotter trades (they appear in the bund even nowadays) Often you can make a quick tick, but it's nothing like as reliable as it used to be!

I can post a few Euro charts yeah, but it's not one I trade, never had much luck with it. It's a thinner market, and I think VP lends itself more to thick markets such as ES or FGBL
Trade ideas posted daily with a follow up each night. See post #1
  • #60
  • Feb 19, 2014 2:38pm Feb 19, 2014 2:38pm
Check out the 6A (Australian Dollar Future)

For 4 sessions now we've had matching VPOCs to within 5 prices (0.9014 to 0.9019) The market is finding a lot of acceptance here and this is telling me the area will be very important. I expect us to move away from here quite sharply when it happens, as either buyers or sellers realize they're wrong and run for the exit. When price eventually revisits this area, I think it's very likely we will see a reaction.

I'll keep you posted

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Trade ideas posted daily with a follow up each night. See post #1
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