Okay.... Here it goes. I have been around here for a while but this is my first post. I have always wanted to trade futures for a living and tried few times with limited, short-lived success. Recently after reading Market Profile by Bolter(here on ET), I got interested on price/volume analysis. I tried to learn Market Profile but found it too complicated so I just started doing some analysis of price and volume (unlike Market Profile I do not include the Time componenet on the analysis) and got some intersting results. I feel that I'm onto something here. I paper-traded my system starting Feb 2nd to March 2nd and in the last 20 trading days I had 8 wins, 2 losses and 10 no signals days. My average winners are 6.875 ES points and average losers are 3 ES pts. There is 1 signal a day with a 4 pt. stop and exit at close if not stopped out. I know there is no fear and greed while you're paper trading so I'm going to start trading live tomorrow. My account has been funded and I'm ready to go. More on the actual strategy on the next post.......
First of all I find the price range(value-range) where a significant volume traded compared to the day's volume. For today (March 02, 2006), the value-range is at 1285-1286 and 1290-1291. The price did go below 1285 ( at 10EST), but it quickly got rejected and moved higher to 1292(at 11 EST) where it was rejected again. It was back down to 1284.5 where again it got rejected and moved higher and closed at 1290.75(4 EST). I do not consider the price after the cash S&P closes. Plan for tomorrow (March 3rd, 2006). If the ES is above 1291 at exactly 9.30(EST), I'll have my buy-limit at 1286 with a 4 Pt. stop. If the ES is below 1290, I'll have my sell-limit at 1290 with the stop at 1294.
Another example on Feb 3rd 2006.... The value-range was identified as 1272-1273(based on the price/volume on Feb 2nd). On Feb 2nd the price closed at 1271.75(at 4est) and it was at 1269 on Feb 3rd at 9.30est. Since the price opened below the value-range, I entered a sell-limit at 1272 with a stop at 1276. The high for the day was 1274, low was 1263.5 and closed at 1265.75 for a profit of 7.5 ES points. I do not have a profit target because I do not want to miss the trend days and I cannot predict/control whether a day will be trend-day or a non-trend day. Therefore, I exit at close. What I can control is where I enter and how much I risk. I have missed few days when the trend is so strong that it never comes to my buy/sell point which is okay.
Good thread. I'll be following it daily. I use a very similiar method in trading ES. I also followed Bolters MP journal and am learning MP. I've decided to not be a MP purist not so much becasue it's a complicated thery, but becasue when Steidlemayer developed the theory the CBOT and CME did not report volume the way they do now. There is much more data available now versus the 1980s. I'm curious as to how you are creating your volume profile charts. skier
Sorry I do not have an actual real-life example to post here because one of my friend does it and tells me the range. But for example, let's assume that the price and volume are as follows. 1291 ---- 13000 1291.5-----5000 1291----5000 1290.5----2000 1291----2000. So you just add all the 1291s together. In this case it'll be 13000+5000+2000 = 20000. Do this for all the prices and put the prices in an ascending order in excel and create a histogram. One thing to add is that the price/volume is of the big S&P contract and I round it up to the next quarter point for ES. Hope this helps.
i use market profile to day trade stocks and it is very beneficial to me.....i read "mind over markets" by Dalton.....eminitrader007 im not to sure what you mean by taking out the "time component" of the analysis as the time is crucial for detecting ranges behavioral characteristics that a stock has at certain times of a day.....i use 1/2 hour increments and market profile lays out a daily map of the stocks progress that make it much easier to predict where the stock wants to go......how do you use MP without the time interval?
I was influenced by Market Profile but what I'm doing is just price/volume analysis. I'm not using MP at all. There could be instances when the MP value-range and my value-range match but that's just coincidence. What I basically do is look for significant volume at a certain price in a day irrespective of the time and compare that price-range to the low, high, and close of that day and next day's open. I have certain rules that I follow if the prices close above/below certain point and opens above below certain point. Lows and highs are used to determine stops. Anyway, I think I read the book Mind Over Markets 3 times and I still do not get it.
Well, hell, you don't whether a day is trend day or not! Some of you guys invite disaster. How about a little learning? I exit when the phone rings breaking me out of a catatonic trance. Only kidding, real people.
Stopped out. Loss: 4 pts. Done for the day. Still have faith in the system. Will post value-range for Monday later tonight. Good Luck.