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Week 5

This is the fifth weekly installment of my CL/CES journal I outlined in The Intro. Previous weeks:
Week 1
Week 2
Week 3
Week 4

The course is based on material provided by DLC Profiles, as well as Jim's texts on Market Profile, MoM and MiP. Anyone needing more information should fill out this form and schedule some time with DLC to get a deeper overview of the course.

On with the journal ...
CL/CES - Week 5

First, i was frequently called away from the market this week, so my daily notes are very bare. obviously, i was able to review the week, but not actively participate in it on a daily basis. along with a full family schedule, i work a full-time, non-trading related job, so this is how it is some times.

second, this was a great opportunity for additional content for CL/CES students since we had two webinar/conference calls with Jim/Terry this week. These meetings really bring home a lot of what we study on a daily/weekly basis. Hearing Jim talk about how he views the market, its behaviors, and how he positions himself constantly helps me synthesize 'classroom' learning and 'real-world' market experiences/observations.

third, i was still able to devote a lot of out-of-market time to my studies, and feel like i took away some useful lessons. always on a quest to deepen and expand my understandings (self, market, and trading), not just plough through X number of pages to 'get it done'.

fourth, i started working with WindoTrader this week and am, so far, very impressed. in fact, i will be putting together my own little unofficial 'review' over the holiday weekend (and i'll most likely be posting it to the MP Charting Software thread). i haven't seen much about it, so i thought it may be useful to add some first-hand impressions of it here. as usual, i don't get paid for any of this so it's just from this user's perspective.

with all that said, i was able spend a decent chunk of time in the market on Friday.

Friday, 02/13/2009
after closing near the highs yesterday, we ventured up a bit in the O/N session - until that 840 area shut down the buying. now it looks like we will actually be opening down a few points. we also traversed down into yesterday's M-period singles, but did not fill them. overhead levels: 836-37 (consecutive RTH HOD's), 840-41 (ONH and has just been a heavy level over the last several weeks), 847-48 (a pullback high from that big sell-off the other day), and 852-53 (the falling off point for that big drop). Below: 823-25 (bottom of yesterday's M-period singles and top of L-period), 819 (start of M-period spike from yesterday), 808 (VAL), and 805 (PDL). ** I'm currently using vol based VA/POC so my numbers may be different than TPO based levels **

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EOD Notes
we opened net short from yesterday's settle (chart reference #0) and initially i thought we were looking at some long liquidation as we started driving down into those singles (#1). but, selling fizzled out and up we went, filling the gap and balancing the O/N inventory - so the day kind of 'began' in C-period. weakly peeking through the previous two RTH highs (#2) didn't give me much confidence in the long side and convinced me we were in a technical movement. topsy-turvy week, pending stimulus/bailout blah blah blah, friday, friday before a long weekend: i suspect the big money took his fat pockets and went home early. We had weak-ass REU and eventually got RED but selling dried up when we filled the singles and dribbled through yesterday's L-period high (#3). pretty symmetrical looking profile at this point, but building a bit of lower acceptance in E- through H-period. even with the lower acceptance, no one stepped up to accelerate the selling and we headed up - until we got stuck at the D-period high (#4). very technical, very mechanical. we started one-timeframing down for the rest of the day, but even the sell-off stopped at a level (#5): yesterday's M-period spike bottom. finally we closed near the LOD (#6)

Trading Notes
i didn't do much trading. i took one trade, and it was a short. given all the external circumstances of this session, i felt shorting the recent RTH session highs was a solid, high-probability trade. it was a pretty low-heat, low-maintenance trade. i was looking to short it again, but RFAT struck again.

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here's a little bit of a broader view (still using single sessions) and my take on it. essentially, right now we are balanced, in the middle of our 800-880 bracket, closing out the week with some weak, short-term money pushing it down before a holiday weekend.

btw, i know everyone knows about snagit, but i am in love. it's been a couple of versions since i have used it and, oh my, how it has changed. i think i can make my journal a lot more 'charty' now
I posted some initial impressions of WINdoTRADEr on the MP Charting thread. a week into using WT and i am very happy, very excited to have finally decided to give them a try.
Have you found the volume profile profides better numbers than the TPO count? Thanks for the update on your MP charting search.
Originally posted by BruceM

Have you found the volume profile profides better numbers than the TPO count?
great question Bruce, I'm very glad you brought that up today. there are three common methods of determining value: TPO, volume (contracts), and ticks (trades). in my experience i don't often see much difference as far as value area creation. it seems like it's usually within a few ticks in either direction for all three methods.

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A chart with three profiles for today's RTH session. The first is TPO, followed by contracts (volume), and finally ticks (trades).

however, i consider volume as a purer contextual data type than TPOs or ticks. if we spend a lot of time (i.e. many TPOs) in an area and trade a bunch of times (i.e. lots of ticks) there, but no volume is going off, it seems less likely to me that a non-volume generated POC will be contextually accurate. inevitably, this is probably a matter of personal choice and/or preference. i've actually always kept TPO based charts and only recently converted to volume. i just felt like i was ignoring an important component and overweighting an incomplete component.
Thanks for the update on your MP charting search.
my sincere pleasure
i know that most people take charts and charting very seriously, very personally, so i really felt compelled to share my recent experiences with the forum. i realize no charting package will create a great trader, but it seems reasonable to provide myself with the best tools and resources from the start.

thanks again for your questions. hope this helps.

today offered an interesting example of how different Vol based and TPO based profiles can look. Point #1 shows the vPOC, #2 shows tPOC, #3 vVAH, #4 tVAH (and the red arrow illustrating the difference), and #5 shows the difference between the vVAL (left profile) and tVAL (right profile).

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Volume vs. TPO based profiles

on a separate note, Point #6 highlights the wall of selling over the last several sessions (RTH and ON), concentrated in about a 2-point range. it looks like someone isn't warming up to the idea of the ES trading above 797 for now. i'll keep it on my radar.