10 year treasury day trading help?

Discussion in 'Financial Futures' started by jfut, Jul 24, 2012.

  1. jfut


    Hi there,

    I day trade the 10 yr treasury note. Currently, I'm really stuck on something, hence my post. To summarise, I use long term market profile charts to help me find price levels that may offer good support and/or resistance. These same levels offer good points to enter long/short, in the event the support/resistance levels I previously referred to are penetrated. I am having trouble finding a set of reliable and consistent techniques that can help me judge whether or not a support/resistance level will most likely hold. I'm currently investigating cumulative volume delta and delta divergences, but I havent found something workable for me in this region of analysis as yet. Is there anyone out there that is able to offer me some insight? I'd be grateful for any advice.


  2. When price is just moving fast and I missed the trend, I use a combination of bollinger bands and previous value area highs and lows to find possible support and resistance. Areas where they converge are more likely to hold at least for a good scalp. I think it comes with experience where you can kind of figure out which areas are more important than others.

    I'm more into the 30yr than the 10yr just because of the higher tick value and wider range. I don't need the mass liquidity of the 10yr either. I don't use long term market profile but the daily market profile for day trading. The long term market profile is more for swing trading imo. I also watch the ES and NQ to help me figure out where bonds will go.
  3. Having spent a year already studying the business of which levels will hold in Day Trading (not Treasuries), I have come to the conclusion that it is impossible to determine that with any degree of certainty.

    I worked mainly with moving averages and pivot levels. Some days the 20 period EMA on a 30 minute or 60 minute chart would hold like a dam, other days price would move through it as if it was not there.

    Consider this - whatever level you have that has held before, if crap news comes out of Europe (or a false dawn), or Bernanke makes a speech that disappoints hugely, the market will just rip through that level if it is close enough.

    The folks that I am trying to learn from put a lot of weight on whether volume comes in to defend a level, or not. The basic premise is that the big players determine where the market is going, we just hitch a ride.

    That requires a lot of screen time to become adept at, but then Day Trading is a tough game.
  4. jfut


    Hi ExchangeBonds - thank you for the info.

    I will revisit Bollinger Bands and see if something ties up with my strategy there. I neglected to mention that in fact I use long term, medium term and short term market profile to extract key levels of interest, all of which can be useful in both the day trading and swing trading arena.

    I also agree with the use of intermarket relationships to help decide where the bonds will go. I've recently subscribed to Market Delta and have charts of both the ES and ZN (10yr) footprint profiles next to eachother in order to analyse order flow (bid/ask volume.) I think useful information relating to short term market direction is contained within order flow, although I'm yet to establish something concrete in this particular form of analysis.
  5. jfut


    Hi justrading - thank you for the help.

    You certainly have a couple of interesting nuggets of info that require some further thought on my part. I think volume coming in on key levels is something I'll certainly investigate more. In fact, I read somewhere that you can establish the extremes of a short term range by pinning the areas where volume enters the market and causes price to bounce then pinning the areas where volume dries up, subsequently resulting in bounces in the opposite direction, causing a number of small swings to occur. I guess once a short term range is established, perhaps the next phase is to analyse the order flow within this range for further clues...
  6. Have you done extensive historical studies such that you know how a bottom or top is formed? How it looks?

    After studying hundreds of tops and bottoms, you should start to get an idea. I do not know the treasury market, but in other markets I have been studying, fake breaks of levels are quite frequent. If you let time validate a price breakout, the chances are smaller that you will get trapped. Enter on the retrace.

    Zooming out and having an expectation of the big picture for the current day also helps gauging the odds for whether a level will hold or not.

    Simple volatility analysis is also a good idea such that you know what to expect on any given day.
  7. No one suggested using pivot levels or an ema as support and resistance. I agree those won't give you any valuable edge. You can use past price areas and then get into more specific areas with market profile.

    The bollinger bands just help if price is in a strong trend. Treasuries as a general rule is a range type of market. It won't blow through many levels unless some news event has occurred, in which case you should be going with the trend. I have both the 2 and 3 standard deviation to give me a reference of is price getting too extended. The 2 is generally worthless by itself, but I find the gap between the bands gives good information.