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.