Monday, 23 November 2009

Range Bars Part 2

Range Bars have the unique advantage of being able to tell you in advance where the high and low will be. I had a question last week about how I enter my trades using range bars.

This gives you, as the trader, the advantage of being able to enter a trade with either no slippage or even slippage in your favour.

Let's look at the charts in the blog for the ES. Probably over 90% of the entries have a price the same as the price of the close of the bar.

This is not hard to achieve. I use two different methods, which of the two I use are written into my trading plan.

Say the set up has been identified. All it needs is the trigger and the range bar to close. We are 4 ticks into a 5 tick range bar. The Low so far is 1100.00 and the high so far is 1101.00 and the market is trading 1100.75 bid and 1101.00 ask. If the range bar closes at 1101.25, I want to be long.

I have two ways of entering as I said. The first is that I just put in a 1101.25 BUY STOP LIMIT so that when the market goes  1101.00 and 1101.25 ask, I will be one of the first to get filled as soon as 1101.25 trades. Of course I risk that the 1101.25 high does not get taken out and in fact the market goes down and takes out the low. But that eventuality is covered by my trading plan which requires the order flow to be up. The second way I can enter, if I am a bit more tentative but still want to be filled at 1101.25 and if the market is slower, I put in a BUY STOP of 1101.50 with a 1101.25 LIMIT. So the limit from the stop price is not 0 or +1 but it's -1. Any trading platform can do that. I do run the risk of missing the trade if the market suddenly gets stronger than I read it to be.

So with range bars there is no entry slippage.

My whole methodology has a number of so called nuances around the entry and exits. Using the SIM created the "muscle memory" so that these things become second nature and Kiki applies them without thinking, at least most of the time. That's why the SIM is so important. Like  pilots in flight simulators, we practice and practice in an environment where the outcome has no negative consequences and we practice until we are perfect. Then we risk money and have only that stress to deal with, not the stress of not knowing the ins and outs of our trading plan and the mechanics of our trading platform.

Trading for today:
The first trade today is one of my favorite types of trades. They don't come around too often and they are hard to take unless you have a specific setup in your trading plan.
I woke up with the ES strong, order flow was buying but price was at the keltner bands already and the CCIs were in overbought territory and going sideways. The risk here is that if the buyers slowed down, it would not take much to reverse the flow. Now we get to the fun bit. I looked at my 24 hour MP of the ES (I have attached it as a separate chart as its pretty important today for this trade). As you can see, I have split the profiles as I usually do and there is a nice VAH at 1095.00 and a virgin POC at 1101.50 with SINGLE PRINTS in between. Paradise for me as I "knew" that as soon as we hit the single prints, we should run straight up the zipper. We did. This is probably the only type of trade where I don't scale out at all. Its all in and all out. I exited just before the VPOC at the top of the zipper (line of single prints). Then I just went for a walk with the dog. This type of pre RTH action usually means that we will mark time until closer to the RTH opening. And that's what happened. Trade 2 used the S&R levels well. Two nice trades and we have the rest of the day off.

Click to enlarge


  1. Tom, I'm trying to find the same Market Profile indicator in Ninja charts but I'm not having much success do you pay for thae one you use.

  2. Great work!

    Unfortunately i can't call you dad...

    (quess adoption is not an option)

    But i still hope to learn some from the high quality info you put out here.

    I have some questions but will save them for later. Will study what you have said so far some more.


    -- oe

  3. Dude!

    Happy birthday to me!
    Yesterday was my birthday, but I feel like I got my present today finding your blog.

    I just finished going through the blog with only a time out to get a bowl of ice cream. (Leftovers)
    I must admit I feel a little nervous and guilty. Why? Nervous you might stop, and the guilty part is I do not want anyone else to find you, Lol.

    I do have a question or 2 if you do not mind. (Actually x 10, but will not take for granted) You have only mentioned the “Momdot” in the
    “Big Girls Don’t Cry” and how important is a DOM and also Time & Sales prints to you?

    Last but actually should have been first I would like to thank Kiki for having the desire to follow in dad’s footsteps. If not
    for your desire, I am sure this blog would not exist. Thank you so much.

    Look forward to tomorrow.


  4. Hi Tom,

    I am sure many traders appreciate what you are sharing here - quite priceless. I do use market profile and my own interpretation of order flow for trading Dow mini and Euro futures. What I find inspirational is your posted trades. I hope you continue to post them either with or even without the charts with marked trades. With a professional mentor so close to her, I am sure Kiki would blossom into a consistently profitable trader - a rare breed.

  5. Happy Birthday Severino and many more. I don't look at the DOM bid/ask sizes as the big guys play games. Time and sales is too mesmerising. My two volume indicators tell me what I need to know in a visual way - quickly.

    I use MP from as an add-in to NinjaTrader.

    Thanks all for the nice things you said.