Bolter, Yea, I just ran back and checked out your volume chart. Another question, where do you get the volume data per price level from? Do you export that info out of esignal or something? I use esignal as well, found the volume/price chart, but doesnt actually tell you the #'s.
bolter, If only.... My "newbie mind" ruled the day. I didn't stick to the plan and it cost me. I can't thank you enough for starting this journal. To have structure for the trading day ahead is invaluable. I had a GREAT week trading the YM and I expect to build on it from here. btw, 1257 on the ES was also S2. (sorry, old habits...) Have a great weekend! PaperTrader
dajester147, That's exactly correct. I export 1 min data from eSignal and then process it in Matlab to generate the MP, volume@price, levels and other stats. I then paste my data into Excel for presentation purposes. I'm happy to provide a copy of the program to anyone who has Matlab. Let me know and I'll post it. The logic is not difficult, you could program it in whatever you language you normally use. An investement in time and effort to be sure - but very worthwhile. bolter
Papertrader, Do you keep a journal? I highly recommend this discipline for newbies. It formalises the whole learning-feedback process. Stick with it.
haub, xxxskier, You guys asked about indicators that I use .... I like to use a bare minimum of indicators, and I keep them very simple. Each one I use serves a very specific purpose and there is no overlap. I've taken the time to learn them inside and out. Are there better indicators out there? Probably. Should you immedtiately switch to what I'm using? No - take the time to figure out what you need and what you're comfortable with. I see some guys with literally 30 different "things" on their screen/charts. How the hell can you possibly assimilate at this data in real-time and make clear decisions? I believe you need to distill trading down to it's form simplest form - the fewer real time decisions you have to make to greater your chance of success. So here's what I use: 1. Time and Sales window - I filter out < 50 lots. Trades only, not quotes. Ideally, this should be the pit contract (where applicable) if you can afford it. This is the tape. I'm only interested in what the big gus are doing, and I'm looking at what size is trading at the Bid vs the Offer. 2. I have a small 5 min TRIN chart. I'm only interested in the trend (rising or falling), and the absolute level at the extremes - overbought, oversold. 3. On the price chart I use a Keltner channel (20 bar SMA and 2.5 ATR bands). When price is at or outside the bands I know the market is getting stretched. I obviously draw the VA and key levels on the chart and update them everyday. Below price I have the following studies stacked (not tiled), So I'm only looking at one at a time. Incidentally I use a 5 minute price chart. 4. $TICK - I've explained how I use this already. 5. ADX(14) - For guaging strength of the trend. I usually ignore it until it is > 30. 6. CCI(20) - extremely useful. Serves two purposes - OB/OS +/-200. And most importantly for spotting divergences. 7. Volume - bog standard. Nothing fancy. 8. Bid/Ask Analysis - A neat eSignal study that enables you to monitor volume at the Bid vs the Ask. 9> Onbiously I have a MP chart (add-on) chart open covering the last 3 days. That's it. As you will have gathered I'm not a scalper and I'm not looking for 1-2 point trades. I'm looking for trade setups of 4 points +. And I want a minimum risk:reward of 1:2. Now how do I use all this for trade setups. Basically, I have my levels from MP and VP, and I have my initial trading plan mapped out. As you know I like to ship my orders well in advance, entry, stop and target(s), whenever possible. This discipline help you from getting shaken out of a trade. I will work stops and targets during a trade but I rarely pull the plug on a trade altogether. I will wait for several hours for a tagert to be reached if that's what it takes. Often I'll walk away from my screen and do something else while a trade is in progress. Sometimes I'll leave an MOC order and go to bed. I watch the tape, the $TICK and the B/A analysis closely to get a feel for what the market is doing. I'm also keeping half and eye on the trend in the $TRIN. The other indicators I'm watching every so often to measure how strong the trend is, how over-stretched we are, and if a reversal looks imminent. Divergences between CCI and price are a very powerful signal to watch for. Trading is a complicated business, It takes a while to learn the ropes. The best overall piece of advice I can offer is look for things that work consistently, distill them into "rules", refine them over time and keep doing them as often as you can. One point to note I am experiementing with constant volume bars on eSignal as opposed to a 5 minute chart. I much preferred price data in this format when I used Tradestation but I need to satisfy myself they work ok in eSignal before I swap over. If you don't know what I'm talking about do some research. Hope this diatribe is of some use. eSignal users - get these efs's from Central. BidAskAnalysis.efs KeltnerSMA.efs SymbolCompareAsNPS2_EFS2.efs VolumeProfile1.efs VolumeProfileRealTime.efs VolumeProfileRealTimeTickData1.efs VolumeProfileRealTimeCustomeLookback.efs In order to find these enter the following in Google: BidAskAnalysis.efs site:esignal.com
Thanks bolter! Not too many professional traders will share their trading secrets. Much appreciated! As far as the journal, I've printed the intraday charts for YM/ES fro this past week and I plan on studying them to find out what I did right and wrong. With 6 wins and 2 losses on the week I did pretty well. Still have newbie faults to work on though. Thanks again! PT
Bolter, This journal has turned out really well. Not even a pissing match, yet I have been checking out MarketDelta's free 30 day trial, and think that you could probably use their software to greatly enhance your current use of MP. With your knowledge, I imagine you could make instant use of it. It's still taking me some time to adjust, but I'm not well versed with this type of trading. Like to hear your thoughts on it anyway. (I have no affiliation, http://marketdelta.com) Thanks for sharing your knowledge and spending so much time explaining things. Cheers!
Hey thanks for that Arb. I absolutely agree that Market Delta looks like a really neat piece of kit, and is a natural extension of MP. It's been on my list of things to look into for some time. At the moment I'm evaluating IB front-ends, but Market Delta is next. I'd be really interested in your feedback once you've had more experience working with it. All the best.
Bolter, Thank you for a terrific thread. Hopefully, without distracting too much from the ES/YM/ER2 analysis, I'm posting two charts of today's opening on the DAX which others might finding interesting and pose a question/comment about markets other than US SIFs. The first chart (5 min bars) shows the DAX encountering resistance right on the LVA after a small bounce on a gap down open. The second chart shows a support level based on volume profile and the 10 min chart. After the fact of course, but still interesting. GBL also failed right on the LVA. The question is about 24 hour (or almost 24 hr) markets such as Globex currency futures. I would guess that choosing the boundaries for the trading day would be quite important in calculating market profile. I'm not sure than 12 midnight is the right thing. Perhaps 5PM US EST should be the close and 6PM the open ?