The value-range is 1287.5 - 1288.5 (based on March 3rd's data). Plan for March 6th. If the market opens below 1287.5, I'll have a sell-limit at 1287.5 with the stop at 1291.5. If it opens at/above 1291, I'll have a buy limit at 1288.5 with a stop at 1284.5. The reason I chose 1291 is because 1289.5- 1290.5 have been identified as the value-range more than once last month. I have noticed that these value-ranges do act as support and resistance. I'll post all the value-ranges for Feb later tonight or sometime this weekend.
007, I'm confused by your "value ranges", which appear to be only one point wide. Are you actually refering to an approximate value of the POC? Richard
Yes, in MP term it would be similar to the approximate value of the POC but please note that I do not take the "time" part into consideration.
Okay.. Here's an example(not an actual trading day) and this will probably make more sense. The price and volume numbers are random. Basically what I do is that I want to find a price-range where most of the volume traded place. The price range is usually 1 pt. The top and the bottom of the range will be the buy-limit or sell-limit price depending on where the price closed that day and where it opens the next day. In the atttached example 1263.5-1264.25 is the range identified. At any 1 pt. move in price this the the point where most of the volume changed hands. I'll round this up to 1263.5 to 1264.5. Since the close is above this range(and assuming that the open will be too), I'll look to buy at this price-range.
Thanks, looks pretty good. The numbers are pretty close to what I've come up with. I'll watch that web-site more closely.
I checked-out this web site and they have the volume by price information and it seems pretty close (although not exact) to what my analysis shows. The difference could be due to the fact that I use big S&P volume numbers whereas they use actual emini numbers.
Here are the value-ranges from Feb 02. 02/02---1282.5-1283.5 02/03---1272-1273 02/06---1268-1269 02/07---1267.5-1268.5 02/08---1257.5-1258.5 02/09---1267.5-1268.5 02/10---1273.5-1274.5 02/13---1262.5-1263.5 02/14---1267.5-1268.5 02/15---1267-1268 02/16---1281.25-1282.25 02/17---1291-1292 02/21---1289-1290 02/22---1284-1285 02/23---1293.25-1294.25 02/24---1289.5-1290.5 02/27---1289.5-1290.5 02/28---1297.5-1298.5 03/01---1282-1283 03/02---1286.5-1287.5 03/03---1290-1291 03/06---1287.5-1288.5 So basically by looking at all these ranges, we can say that 1289-1291 will prove to be a major resistance where as 1267-1269 will provide support.
eminitrader007, When I generate a Volume Profile for the ES from 2/2 to 3/3, I get the same high volume areas as you do. However, I would suggest to keep in mind the current market structure. The ES has been bracketing from 2/17 to 3/3 between 1300 and 1280. During an auction rotation like this, price will trade between these two extremes. Notice that in Friday's session (3/3), the ES traded from 1284.50 (near the bottom of the range) to 1299 (the top of the range) with little resistance on the way up. The ES then proceeded to retrace back towards the bottom of the range, going though so-called support like a hot knife through butter. The ES is currently in a trading range as is evident by the composite Market Profile or Volume Profile from 2/17 to present. Market Profile shows a perfect bell curve. That is, the market is in equilibrium, the next step is for it to start trending (i.e., become imbalance) as it breaks through one of the range extremes. This means a nice trading opportunity is coming. In a trending market, your support/resistance levels should work well. It's key to know when to employ a range trading strategy vs a trend trading strategy. I also recently started to use MP in my trading thanks to Bolter's excellent thread. Hope this helps.
You're correct. If it is a very strong market without much retracement, this strategy will not make money. In such cases the entries have to be modified. I have noticed that if the market opens up or down more than 6 pts, it will probably not come back to the range and if it does, it could be a reversal. We will miss some of the strong days without retracements but we'll be able to catch most of the reversals and most of the trends with retracement.