Apr10 P/L%

For the past month the fund have lost record percent during the last year and a half (taking in account performance of my previous not public fund). It have shrink some 24 and a half percent. In term of ES points, minus result is almost equal to the march profit number - 10.50 ES points loss. The reason of such result is simple - four risk management faults and psychological mistake at the early beginning of the month.

Volume Points of Control importance

Comprehensive investigation of the 30th april trades carried out the pattern that nicely depicts significance of the VPOCs usage in trading.

Here I go w/ the chart of the session which was mentioned above. Orange lines are VPOCs, most commonly traded price during particular past days. In my case, all past sessions of the april.



In term of ES session performance and execution particularly to the VPOCs, I have pointed out 4 key support/resistance levels. Exact numbers you can see above. I also painted them into green color on the chat above.



Going forward, to make it more vividly and clearly, I put zig-zags on the chart to explain the market moves. After the open bell bears started to push the market lower. But buyers nicely protected near 1203.25-1203.75 ES points level - 20th, 23rd and 29th april VPOCs. After almost half an hour bears became stronger, so they have pushed the market lower. The only level where some support have appeared was exactly 1193.00-1193.50pts. Here 14th and 22nd april VPOCs are set. Then buyers have managed to push market higher, but 1203.25-1203.75pts level - numbered first on the char above - have already been occupied by bears and played resistance level role. On the chart below I have put aside some details from the chart above.



As you can see "support and then resistance level" pattern have repeated during the session. And VPOCs level have always played leading role in ES performance. Thats how the pattern looks like without prices details.



So the main conclusions are:
1) The lower distance between VPOCs - the stronger its average price, neither support or resistance, level will be;
2) Paying attention on VPOCs allows you to monitor overall picture and environment of the session versus focusing only on previous twenty-thirty minutes before the trade entry, as I always did.

30/04/10

Opened short, 455th trade, on tremendous energy sector sell-off in response w/ what, ES breaking above VWAP was hardly imaginable. The position was soon closed, cause:
1) no selling pressure appeared;
2) internals were not in my trade favor - environment was slightly bullish w/ already one $tick above +300 for the first near five minutes of trading versus one $tick below -200, plus $add was at +100 while S&P 500 at near -0.1%;
3) energies (XLE ETF) was continuing to slide sharply, but the market reaction was already reluctant;
4) financials - the weakest sector at the moment - started to recover.


Almost twenty five minutes after the open bell I have opened 456th position in a bet of the market decline. The reasons were:
1) $add posted lower low unlike ES;
2) financials recovery pullback (that was one of the reasons of the previous short exit) was over and already battered sector started to fall sharply;
3) as well as technology sector, on behalf of XLK ETF and of course Nasdaq Composite futures, started to slide.

Four minutes later fixed the trade on the reasons of:
1) no industrial and consumer discretionary sectors - the strongest - sliding or even lower lows;
2) no Russell 2000 futures lower low.

But time have showed, that trade exit reasons were poor and not appropriate.
A) The key point in a moment when the market do slide is to see the weakest sectors movement approval. If weakest sectors do not slide, then the market will stop falling. But in the current pattern weakest sectors, as did the market, were shrinking. So reluctant downside move participation of the strongest sectors was not serious problem for the sellers. And minutes later Russell 2000, industrial and consumer discretionary sectors have postes fresh session lows.

B) As i have pointed out in the 2nd trade reasons, $add was weaker then ES. But that was only half of the story.

Usually, during the session $add possesses one principal position - it is weaker or stronger then ES. Obviously, in one out of three occasions, during the session $add make a change. And if in the first part of a day ii is stronger then the market, in the second it can become weaker then ES (or vice versa). And of course sometimes $add can change its correlation w/ the market three time or even more. But in such cases call that session just range day.

The thing is that on the friday 30th april session $add started the day stronger then ES. But when I opened my 2nd trade it was exact that time when $add reversed its relation w/ the market. That occurrence is very influential to ES in particular. So it was one more issue to stay at the short position.

C) Plus one more, final, point in order to explain why the market continued to slide is Volume Points of Control issue - most commonly traded price during particular past sessions. The thing is that strong triple VPOC level was broken and the next huge support level was 10 ponits below. See detailed analysis about last session VPOC profile here.


Closer to the month finish opened 457th long trade, cause:
1) $add w energies sector (the strongest at the moment) unlike ES have posted higher highs, plus 2) to post interim high was one small step deal to financials (the weakest) and Goldman Sachs stocks also.



But in deed, the only appropriate reason on the long entry was only interim bullish $add. Goldman was at the brink to the higher high but it have failed to soar, cause overall session bearish fundamental factor was at a place - the bank criminal investigation start. The market continued to decline and the loss was soon unavoidably fixed.

27/04/10

The long position was opened because: 1) materials sector (the weakest) unlike ES didn't post lower low, plus 2) double bullish divergence w/ $tick confirmation was at a place. But soon trade met stop loss as the market continued to slide, cause there was one huge bearish fundamental factor - Goldman Sachs Senate hearing - eleven hour TV show that have pushed to the downside both financial sector and at least stocks indexes overall.

26/04/10

Entered the position in a bet to catch profit from rising market on the reasons: 1) Russell 2000 and Nasdaq Composite futures w/ $add didn't post new session low unlike ES had; 2) financial sector - the weakest during the session - started to recover slightly, plus 3) internals were in favor. But the market sharply fell through. The decline was so breaking that I even haven't placed stop loss order. And as a conclusion, soon whole risk management system was broken.

In unite w/ risk management fault the reasons of the entry were not so perfect as I belied in. In fact there was no bulls superiority as 3rd reason of the trade entry have said. Before the position open, there was only 2 $ticks above +800 w/ no $ticks below -800. But such $tick execution did not correspond to bullish internals. Market environment was neutral. And when mote then two and a half hours ES was tring to break above VWAP and faile to do this, it was obvious that the market likely to go down.

In conclusion of this trade I want to emphasize, that one of the key reasons of my recent poor trading performance is fail of monitoring overall picture and environment of the session and focusing only on previous twenty-thirty minutes before the trade entry.

23/04/10

Opened long position on: 1) bullish internals w/ 100% of the session time $tick EMA 20 was above zero, plus 2) there was no sellers come in, no matter $tick non confirmation. Fixed trade, cause it seemed like market was not able to continue trend higher, cause unlike yesterdays session, $add was also bearish as was $tick, respectively. But despite this, the market did continue to soar.

All in all, it was almost zero week w/ modest loss of some one percent. This makes the fund to fix the loss of about 15 percent for the whole april, for now.

22/04/10

Entered short on: 1) no $tick confirmation of ES new higher highs, plus 2) Nasdaq w/ Russell futures also haven't posted hhs. Fixed loss, cause internals were against trade, indeed, and even further $tick non-confirmation didn't effected the market anyhow.

20/04/10

Picked up into the long position because: 1) $add have strongly posted higher high (calling for upside breakout of the triangle appeared on the ES chart) and 2) internals were in favor w/ only 2 $tick below -600 and 3 $tick above +1k. Triangle was really broken out to the upside but to my surprise: 1) there was no $tick confirmation of the market upside move and 2) $add was even sliding. That were appropriate reasons to fix the trade.

But the market continue to trend higher. Nevertheless, soon I did entered short position betting on the pullback, cause: 1) small bearish multi divergences have appeared on the ES chart, plus 2) there was, putting it lightly, no $add higher high. Closed the trade just as the opportunity to fix the banch of cash have appeared. The market just gone crazy - I couldn't explain it by other words - and have executed by rules and means I have never seen before. We did have huge volume but no acting and $add performance uncorrelated w/ the market. Strange things are at a place. Overall, do like my todays execution and the reasons of the trade open.

19/04/10

Entered short position cause: 1) first huge bearish divergence (but w/ no $tick confirm) have appeared, plus 2) Goldman Sachs failed to break above 162.25$. Soon fixed the trade, cause 1) there was no sellers momentum, 2) GS started to recover sharply and 3) Nasdaq Composite fututres w/ materials, the weakest at the moment, sector started to trend higher. Later the market entered doldrums, when Goldman w/ Nasdaq have posted higher highs but ES have been trending lower.

16/04/10

Rushed into the long position cause: 1) there was no further selling in financial sector (the weakest, thanks to Goldman Sachs breaking news); 2) $add started to recover and 3) Russell 2000 posted higher high. But ES failed to break out VWAP to the upside. The trade met stop loss order. And the reason of it were: 1) Goldman Sachs failed to make higher high (click thhe chart above to see); 2) $add also failed to push market higher w/ no higher highs; 3) strong weakness appeared in the tech sector (Nasdaq Composite futures and XLF ETF in particular) that was no hit by the financials session drowndown.

15/04/10

The long position was opened on the reasons: 1) ER w/ NQ did make fresh highs unlike ES and 2) ES did show ascending triangle. Trade was fixed by stop loss order. The truth was that my broker have provided me faulty data - there was no ascending triangle - an bullish indicator.

14/04/10

Entered long, because: 1)sellers couldn't manage to push market lower w/ no $tick below -400; 2) $add looked stronger then $spy; 3) no sellers during past 15 minutes before the trade entry according to ES Globex volume data and finally 4) internals were in favor (w/ 3 $ticks below -600 and 7 $tick above +800, plus $add was soaring near 1.35k while S&P 500 fixed only +0.8%). Fixed, cause more then 10+ minutes ES couldn't manage to post higher high. Plus, it was real nerve-wracking that didn't cost few surplus points profit.

13/04/10

The long position was opened on the reasons of: 1) $add posted higher high; 2) energies (the weakest sector during the whole session at that moment) also made higher high and looked better then the market during last half an hour. Jumping ahead of itself, the trade exit was not the best ever. The position was fixed by the take profit order placed before I have left trading screen for a while near yesterdays session morning high.

Not so cool was also an entry. Today was obviously the repeat of the patterns seen on 17th & 19th february sessions. In all three examples, including todays, bearish divergence showed up on the ES chart. And no matter $tick confirmation, it did realize. But in the same time when ES do post bearish divergence, $add looks better then the market and is trending higher. In 2 out of 3 occasion when divergence higher high was equal w/ previous high, $add unlike ES, did posted fresh interim high.

And in all in 3 occasions $add bullishness was forerunner of the future market move to the upside, after pullback caused by ES bearish divergence. So in the future I should take into account such divergence w/ $add and the market performance pattern.

12/04/10

I thought it would be nice idea to enter short position cause the following environment was at a place: 1) materials w/ energies - that were on of the weakest - have slided while the market continued to move higher; 2) there was no Russell 2000 higher high and 3) financials - the strongest sector - was too reluctant to post higher high.

I though wow, that's nice time to fix the trade when financial sector, again, was too reluctant but now to slide further, plus $tick already twice didn't confirm ES lower lows. All at all, ES did splashed to the upside, but still financial sector was the leading issue that had pushed the market to the downside.

09/04/10

Entered long cause: 1) $add weakness and 2) energies (strongest) w/ materials (weakest) did post higher highs. But soon the trade was fixed by stop loss order. The market did pullback on ES normal bearish divergence w/ $tick confirmation that I haven't noticed before the position entry. But than, btw, the market did move higher, like my bet was.

08/04/10

The short position entry was based on: 1) energies sector (the leading market mover) weak performance relatively to ES; 2) $add weakness w/ 3) no $tick confirmation of recent ES higher highs. But soon I thought it would be better to leave the trade, cause: 1) energies, materials (the weakest from most volatile), financials (strongrst), consumer discretionary (2nd strongest sector) all of of them lloked better the ES and $add whole the session was weak - poor entrys reason.

07/04/10

Short position was opened cause: 1) there were materials sector (2nd strongest) w/ energies (the leading market mover) interim lower lows; 2) no Russell 2000 futures higher highs the moment before entry, unlike on the ES w/ NQ charts and finally 3) internals were in favor. But very soon materials swinged sharply higher, plus market (according to ES performance relatively to VWAP) was in the range mode, so it was too shaky. But time did show, that the trade exit was too early and the market did decline sharply.

Closer to the session finish entered long on the reasons: 1) $add looked better then $spy; 2) there were bullish divergences on Nasdaq and Russell futures charts, plus 3) no financial sector (strongest) new lower lows w/ huge upside swings in energies (click on the chart above to see). But market stated to move against my position and soon the trade was fixed by sl order. 1) $tick did say its word - it was not appropriately bullish to let the market rise; 2) weakness in $add showed up and 3) energies spike higher - that was one of the entrys reason - was shut off at just a moment.

06/04/10

Opened long trade on the reasons: 1) Nasdaq Composite futures as well as energies (leading market mover) did post higher high, plus 2) internals were in favor. But the market pullback didn't finish and trade did meet w/ stop loss order. The fact is that reasons were poor - internals were not so bullish.

01/04/10

Entered 1st april trade on the reasons: 1) technical sector (the leading session laggard) even further weakness, plus 2) Nasdaq Composite futures have already posted interim lower low. After few minutes I have fixed short position, cause: 1) NQ w/ tech sector weakness was not breaking news; they had already slashed the market to the downside hour and a half before and to tell the truth 2) the reasons of the trade entry were not so appropriate and as strong as I wish them to be. Plus internals ($add w/ $trin) were not in the trade favor. But the downside move have continued. Probably, I have misleaded some issues.

Rushed into 2nd, but already long trade, betting that the downside leg have finished. It did overred, but only after near five minutes from the point of the position entry. The reasons of the trade open were: 1) no $tick confirmation of the new ES lower low; 2) the strongest sectors, materials in particular, have struggled to push the market higher - there were huge inflow in XLB ETF, the chart do show, and finally 3) NQ (the leading laggard among its peers, ES w/ ER) started to recover sharply. But ES finished sliding only when the weakest sector, technicals, didn't move much lower for more then 10 minutes unlike other sectors. ES did pulled back to the upside but then market entered in doldrums. The strongest sectors bullishness have vanished sharply, even when the weakest sectors didn't want to slide any more. The long position was fixed by stop loss order, that have hedged trade from loss.

3rd day trade was opened, cause: 1) tech sector again was at the brink to post interim lower low, plus 2) ES unlike NQ didn't ticked equal recent higher high. But the reasons of the entry were even further disastrous and the market did continue to trend higher.