Info!! Trading Notes: Calendar Week Of October 5Th

Friday, Oct 9th

*  Morning selling push clit per unit of measurement area yesterday could non breach overnight as well as prior 24-hour interval lows, continuing the apartment correction.  In general, when overnight as well as prior 24-hour interval lows/highs concur on early on 24-hour interval selling/buying, it's worth thinking nearly buying the dip/selling the bounce to exploit the potential designing of higher lows/lower highs.  With the Fed minutes, pregnant buying flows ane time over again returned to stocks as well as nosotros over again made novel highs for this move, alongside an expansion inwards the lay out of shares registering fresh highs.  H5N1 total of 242 SPX stocks registered fresh 20-day highs vs. lows, the highest since August 17th (raw information from Index Indicators).  As emphasized yesterday, I'm non seeing the kinds of divergences that would ordinarily precede a substantial correction. We're ane time over again stretched on a multi-day basis, as well as therefore that leaves me inwards the style of buying pullbacks.

*  Earlier entries mentioned the real strong buying push clit per unit of measurement area during this rise.  On a five-day basis, we've seen buying forcefulness that has alone been introduce on nine prior occasions since 2012.  Ten days later, SPX was upward 8 times, downward ane time for an average gain of nearly +3.0%.  Once again, this highlights the momentum upshot ane time institutions dominate on the buying side.

*  Volatility continues to decline, alongside VIX straight off below 18.  If this is similar past times strong buying cycles, nosotros volition run into pocket-size pullbacks as well as farther grind higher on lower volatility until breadth divergences stimulate to appear. 

Thursday, Oct 8th

*  Buying dips indeed proved to move a useful strategy inwards Wednesday's session, equally nosotros closed ane time over again alongside strength.  Across all exchanges, nosotros saw over G stocks register fresh monthly highs, a novel high for this upleg.  In full general I don't decease overly concerned nearly sustained downmoves unless nosotros run into a preceding menses of fourth dimension inwards which fewer stocks participate inwards the strength.  Thus far, the participation has been solid, alongside the buying push clit per unit of measurement area mentioned yesterday continuing strong.  We're quite extended inwards the curt run, as well as therefore the consolidation we're seeing inwards overnight trading is non unusual.  My leaning is to permit this consolidation to run its course of report earlier resuming long positions.  Even inwards salubrious uptrends, it's non odd to acquire a pullback inwards which the bulk of shares merchandise below their iii as well as 5-day moving averages.  I'd facial expression at such a pullback equally a potential buying opportunity; I'd likewise move interested inwards buying whatever flattish correction that stays higher upward the 1960-ish level.

*  Note that VIX continues lower as well as continues to remain below 20.  I proceed to take away heed people lay the comport thesis out there, but the marketplace is but non trading that agency at present.  I believe investors run into the global weakness out at that topographic point as well as are already buying stocks inwards anticipation of farther easing from cardinal banks.  Traders who hold back for the actual cardinal banking concern announcements earlier buying may move making a mistake.  With Friday's weak jobs lay out inwards the U.S., an accomodative monetary policy across the the world was pretty good ensured.  Markets are forrad looking.

*  Below you lot tin run into a short-term charge per unit of measurement of alter indicator (red) plotted vs. ES futures (10/2/15 to the present), where each bar represents 500 cost changes inwards the index.  This normalizes for activeness during wearisome periods, such equally overnight.  I similar the perspective equally a short-term overbought/oversold measure.  In general, I similar buying oversold levels when we're making higher lows as well as higher highs as well as vice versa.  I similar taking profits when nosotros acquire overbought/oversold as well as can't brand novel highs/lows.

Wednesday, Oct 7th

*  We did indeed acquire the consolidation noted inwards yesterday's postal service and, as well as therefore far, we're seeing some belongings of the consolidation as well as buying of the dip inwards overnight trading.  I'm watching to run into if nosotros tin concur those overnight lows, alongside a leaning toward buying weakness that holds higher upward ES 1960.  My short-term models remain modestly bearish, however, as well as therefore I'm opened upward to the possibility of farther consolidation.

*  Readers volition retrieve that I interruption the uptick/downtick statistics into split upward measures of buying push clit per unit of measurement area as well as selling pressure.  The buying push clit per unit of measurement area has been real strong over the past times v trading sessions.  Returns 3-5 days out conduct hold been choppy, alongside picayune edge, but 10 days out nosotros run into fifteen occasions up, 2 downward for an average gain of over 2%.  We'll ask to run into distinct selling push clit per unit of measurement area to entertain a provide to a bearish regime; we'd likewise ask to run into VIX top 20.

*  Put/call ratios conduct hold come upward downward quite a chip from the recent marketplace lows.  That's some other argue I wouldn't move surprised past times sloppy trading nigh term.  I likewise banker's complaint the upside breakouts inwards emerging marketplace currencies (CEW) as well as commodities (DBC); both are reversals of the previous bearishness unopen to China.

Tuesday, Oct 6th

*  Great summary of my recent podcast alongside Better System Trader from The Waiter's Pad; thanks, Mike!

*  We saw real proficient follow through to Friday's strength, equally the volatility addition the buying flows (volume-weighted NYSE TICK) created pregnant upside momentum.  We saw 780 stocks across all exchanges brand fresh one-month highs against 143 novel lows.  We've come upward off a chip overnight as well as my models are moderately bearish over a 3-5 24-hour interval horizon, as well as therefore some consolidation is to move expected.  My sense, however, is that many traders conduct hold missed this rally as well as volition move interested inwards buying dips, which could maintain consolidations modest--as much inwards fourth dimension equally inwards price.

*  Another argue I facial expression some consolidation is that we're quite stretched on a short-term basis, alongside over  90% of SPX shares trading higher upward their 3, 5, as well as 10-day moving averages.  When we've had a moderate VIX nether those circumstances (between fifteen as well as 25; due north = 12 going dorsum to 2006), the side past times side 24-hour interval has been upward iii times, downward nine for an average loss of -.12%.  Indeed, 10 of the 12 occasions posted a lower unopen over the side past times side ii trading days.  That beingness said, the side past times side 10 days conduct hold been 8 up, four downward for an average gain of +.37%, alongside 10 of the 12 occasions posting a higher unopen inside v trading days.  So non much border inwards general, though my base of operations instance is to run into consolidation inwards the side past times side 24-hour interval or ii that is worth buying into.

*  I mentioned yesterday that I'm keeping an optic on VIX.  We're below twenty for the kickoff fourth dimension inwards a while; if whatever consolidation does occur inwards a flattish fashion, reducing realized volatility, that would advise a provide to the onetime volatility government as well as would move bullish overall for stocks.

Monday, Oct 5th

*  In my Forbes blog, I review ane of the best marketplace books I've read inwards a long time.  It's a detailed handling of high yield markets as well as a peachy reminder of how nosotros tin larn a peachy bargain nearly the markets nosotros merchandise past times studying as well as agreement related markets.

*  Fri was a 24-hour interval worth studying inwards detail.  We had a weak payrolls lay out as well as stock futures sold off hard.  We opened alongside selling on the day, equally NYSE TICK hitting several quite negative figures, but cost stopped going lower as well as the downticks began making higher lows.  This emboldened buyers to come upward in, upticks swamped downticks, as well as nosotros injure upward alongside a real strong 24-hour interval to the upside.  That forcefulness has continued into overnight trading, equally it indeed appears that nosotros conduct hold successfully tested the downside.  The oversold intermediate-term indicators that I referenced final calendar week volition non hitting overbought levels for a spell as well as volatility appears to move at the bull's back, as well as therefore I facial expression an surroundings inwards which pullbacks volition move bought.

*  I volition move watching VIX closely here.  One thought I'm playing alongside is that we've entered a higher volatility regime, much equally what happened inwards 2007 prior to the 2008 comport market.  VIX mostly bottoms ahead of stock marketplace highs and, inwards the electrical flow environment, that wouldn't surprise me.  That 2007 menses was a rangy topping marketplace alongside proficient swings due to the higher volatility.

Info!! Trading Notes For The Calendar Week Of May 2, 2016

Thursday, May 5th

*  I volition endure taking a sabbatical during May too June to operate on my side yesteryear side mass project, which is the tertiary mass of a textbook too an updating of short-term approaches to behaviour change.  The spider web log volition endure updated on weekends too I'll proceed to write the Forbes blog.

*  Worthwhile perspective on spotting your best trades from SMB.

*  Stocks continued weak yesterday, earlier bouncing inwards belatedly too overnight trading.  Breadth continued to weaken, amongst novel monthly highs expanding to 382, but fresh monthly lows likewise expanding to 834.  We're seeing item weakness amidst Asian stock markets, amongst the potent currencies weighing on shares there. 

*  We proceed short-term oversold, amongst roughly 30% of SPX shares closing to a higher house their short-term moving averages (see below).  The recent inability to rally off these oversold levels is making the electrical flow marketplace position province of affairs dissimilar from what we've seen during the rally off the Feb lows, every bit macro weakness weighs on the rally.  Payrolls tomorrow volition endure a major focus.

Wednesday, May 4th

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*  Stocks continued their weakness yesterday too inwards overnight merchandise today, amongst notable weakness amidst little caps contributing to negative breadth.  New monthly highs across all exchanges dropped to 304; novel lows expanded to 619.  VIX in 1 lawsuit over again jumped too closed to a higher house 16.  Global economical weakness has leave of absence a dominant marketplace position theme, amongst falling stocks too ascension bonds.  Short-term we're oversold, amongst roughly a tertiary of stocks closing to a higher house their 3, 5, too 10-day moving averages; on an intermediate-term basis, I silent am non getting oversold readings, but marketplace position forcefulness is waning.

*  The cumulative indicators mensurate tracks purchase vs. sell signals for all NYSE issues across a multifariousness of technical trading systems, such every bit Bollinger Bands, CCI, etc.  Throughout the rally since February, purchase signals get got handily outnumbered sell signals.  That looks to endure changing, given the recent weakness.

*  I'm keeping a unopen oculus on commodities, every bit yet around other possible indication of global economical weakness.  Specifically, I desire to encounter how commodities are behaving vis a vis a multifariousness of currencies, non simply USD.

Tuesday, May 3rd

*  Thanks to the Benzinga pre-market prep show for the chance to offering a few trading perspectives.

*  Unusually thoughtful post service from Dash of Insight on the importance of agreement analyses that nosotros read.

*  Stocks held to a higher house their Fri lows yesterday too rallied to the Fri highs earlier selling off over again inwards overnight trade.  We proceed a consolidation mode; novel monthly highs rose to 563 too lows dropped to 397.  About 50% of SPX shares closed to a higher house their 20-day moving averages too 60% to a higher house their 50-day averages (Data from Index Indicators).  I aspect those numbers to accomplish to a greater extent than oversold levels earlier the correction has run its course.  Note how nosotros get got been making lower highs on the breadth mensurate tracking the percentages of SPX shares to a higher house their short-term moving averages.

*  Sentiment, every bit measured yesteryear portion creation versus redemption for the SPY ETF, has turned to a greater extent than bearish for the yesteryear iii sessions, amongst cyberspace redemptions.  I'm watching that closely.

*  We saw buying pressure level nicely move yesteryear selling pressure level yesterday on the upticks/downticks measure.  Thus far, cyberspace selling too short-term oversold weather inwards the marketplace position get got leave of absence near-term buying opportunities for marketplace position participants.  My continued leaning is to sell marketplace position bounces that neglect to accept out prior day's highs.

Monday, May 2nd

*  The best model for making trading improvements comes from agreement the drivers of your most successful trades.  Re-engineering your best trading makes y'all your ain guru.

*  We saw a abrupt selloff on Friday, amongst NASDAQ shares taking out their early on Apr lows too novel monthly lows outnumbering novel highs, 583 to 513.  VIX striking 17 during the session earlier dropping on a belatedly rally.  That rally has continued modestly inwards overnight trading.  On a short-term basis, we're oversold, amongst fewer than 30% of SPX shares trading to a higher house their 3- too 5-day moving averages.  My intermediate measures, however, are non yet inwards oversold territory.  My leaning is to sell bounces that cannot accept out Friday's highs.

*  One trace of piece of job I get got nigh the marketplace position is the modify of regimes inwards recent sessions.  The weak dollar is buoying commodities but non stocks, too it's increase stocks (SPYG) underperforming value ones (SPYV).  Earnings get got non been impressive too nosotros seem to endure pricing inwards economical weakness.  It's far from clear that the deed to negative involvement rates has sparked either economical optimism or growth.  All that existence said, I am treating this every bit a correction inside a larger upward cycle, non every bit the get-go of a comport market.

*  Note how the realized volatility of VIX (implied vol) has striking depression levels at relative marketplace position peaks too has peaked at relative marketplace position bottoms.  We are coming off a rattling depression vol of VIX.

Info!! Trading Notes For The Calendar Week Of March 21, 2016

Friday, March 25th

*  Perhaps the most mutual psychological challenge I listen from traders is how to maintain a positive mindset during periods of drawdown.  It's rattling hard to lose coin for a stretch of fourth dimension when you're pouring your pump together with best efforts into markets.  But at that spot is no surer agency of missing opportunities than becoming self-focused together with negatively focused.  This recent article focuses on how nosotros tin sustain well-being together with a positive mindset fifty-fifty when everything seems to hold out going wrong.

*  Stocks bounced from their short-term oversold province of affairs noted yesterday amongst the swing overbought/oversold measure. I am watching breadth closely here, every bit it would non surprise me to run across a to a greater extent than selective stage of the marketplace wheel going forward.  The relative functioning of little caps is of item interest. 

*  I'm seeing increasing utter of straight monetary stimulus to economies.  I suspect this volition hold out actively considered if nosotros larn a renewed deterioration of fiscal weather together with concerns re: deflation.  The implications for asset prices (weak currencies, rigid commodities) would hold out significant.

*  I've been putting considerable function into a gear upward of swing measures that rail overbought/oversold weather together with volatility.  These are based on trial time, where each bar represents an amount of book or toll drive inwards the market, non a unit of measurement of chronological time.  The OBOS mensurate captures momentum together with value effects on a swing basis:  swing returns inwards ES convey been best when we're significantly overbought (+.54%) together with significantly oversold (+.49%).  Returns convey been subnormal betwixt these extremes (-.05%).  Although I bespeak to maintain the specifics of the mensurate proprietary together with express to the managers I function with, I'll happily update periodically on this blog.  Swing returns from electrical flow levels of OBOS together with vol convey non been significantly positive or negative.

*  Here is a swing volatility mensurate that looks at the volatility of the trial bars.  Note how we're close levels that convey lately corresponded to marketplace peaks.  This is yet roughly other argue I'm watching breadth closely.

Thursday, March 24th

*  Thanks to Aaron Fifield for interviewing me for the Chat With Traders podcast.  We demeanour on a set out of topics relevant to factors that brand for trading success.  He's assembled an first-class lineup of interviews worth checking out.

*  We've seen a recent pullback inwards stocks together with oil; yesterday's closed saw an expanded set out of stocks making novel lows amidst relative weakness amid little caps.  I volition hold out tracking breadth closely here, every bit nosotros mightiness hold out seeing a to a greater extent than selective stage of the recent marketplace strength.  Below is a nautical chart of stocks across all exchanges making fresh 3-month highs vs. lows:

*  I've been exploring a swing overbought/oversold mensurate based on trial bars.  As you lot tin see, we've lately entered oversold territory.  As long every bit these swing lows are occurring at successive toll highs, I'm willing to give the produce goodness of the doubtfulness to the bulls.  The nautical chart tracks the mensurate through the recent motion higher.

Wednesday, March 23rd

*  We saw an early on selloff due to the Brussels news, precisely this was bought relatively early on inwards the NY session.  It's a skillful trial of how, inwards a momentum environment, participants desire to larn long fifty-fifty on relatively little dips.  That beingness said, my breadth volatility measures (volatility of daily breadth numbers) has been coming downwardly together with that has led to subnormal returns over the near-term horizon.

*  Interestingly, we're hovering close our highs, precisely yesterday saw alone nigh 40% of SPX stocks trading inwards a higher house their 3-day moving averages.  During these momentum periods, corrections tend to hold out rotational together with we're seeing roughly of that.  Housing, financials, consumer staples, utilities--all convey been off their highs recently.  Technology has been stronger.

*  My wheel mensurate continues inwards elevated territory, in 1 trial to a greater extent than dissimilar much of what nosotros saw inwards 2015, where push clit led to weakness.  That continued elevation on a shorter-term wheel mensurate suggests that a longer-term wheel is at play together with that this has been to a greater extent than than a bounce inwards a demeanour market.

Tuesday, March 22nd

*  We're seeing roughly consolidation overnight next a little upward twenty-four hr catamenia yesterday.  While SPX closed higher, nosotros returned to underperformance of little caps together with the set out of stocks across all exchanges making novel monthly highs dropped from 1660 to 886.  New monthly lows likewise dropped, however, every bit we're soundless non seeing distinctive weakness inwards whatsoever sector.  Volume together with volatility dropped; VIX is forthwith below 14.  More on volatility below.

*  Below is a short-term mensurate of the set out of SPX stocks making fresh 5, 20, together with 100-day highs versus lows.  Notice how nosotros convey stayed elevated for a set out of consecutive days together with how this is different from what nosotros saw through much of 2015.  Whereas "overbought" readings were opportunities to sell concluding year, then far inwards this rising we're seeing momentum together with push clit leading to farther strength--one of the signature characteristics of a fresh marketplace cycle.

*  Despite the market's push clit together with momentum, the rally has non had a lot of fans.  I honour on the Stock Twits site, for example, that messages regarding SPY are 40% bullish, 60% bearish.  That ratio hasn't changed much during the concluding 2 weeks of gains.  I likewise honour that shares outstanding for the SPY ETF convey in 1 trial once to a greater extent than dipped, forthwith dropping below their levels from 5, 10, together with 20 days ago.  Very interestingly, the set out of shares outstanding for SPY has dropped over the course of pedagogy of the rally from mid-February.  Share redemption has to a greater extent than oftentimes than non been associated amongst superior returns over a multi-week horizon.

*  As mentioned above, volatility has dropped over the course of pedagogy of this marketplace rally.  Equally notably, my pure volatility mensurate (volatility per unit of measurement of trading book for the ES futures) has dropped significantly (see below) together with is getting to levels that convey been seen at recent marketplace highs.  I am rattling opened upward to the possibility that we're going into a different stage of the marketplace wheel where we'll run across lower volume, less drive per unit of measurement of volume, together with to a greater extent than of a grinding trade.  For traders accustomed to the drive that nosotros saw for the starting fourth dimension duet of months of this year, that transition to a depression vol authorities tin hold out challenging, requiring a fresh approach to setting targets, stops, together with asset periods.

Monday, March 21st

*  So often, inwards our trading goals, it's gear upward together with forget.  We gear upward goals, precisely oftentimes neglect to follow through.  This article draws upon recent research to position how tin nosotros transcend away to a greater extent than productive--better at pursuing together with reaching the goals that nosotros define.

*  Stocks closed higher overall on Friday, together with we're forthwith seeing over 90% of SPX shares trading inwards a higher house their 20- together with 50-day moving averages.  That is odd push clit off the Feb lows.  My mensurate of upticks versus downticks amid NYSE stocks (NYSE TICK) showed corporation push clit on Fed twenty-four hr catamenia and, every bit the nautical chart below shows, has been inwards an uptrend on a cumulative basis, eclipsing its previous high.  I believe we're pricing inwards a to a greater extent than favorable surroundings for equities, given QE overseas together with a moderating Fed.

*  Yet roughly other agency of tracking the push clit together with weakness of shares is to await at each stock on the NYSE together with run across if it has closed inwards a higher house or below its Bollinger Bands.  (Raw information from Stock Charts).  As the nautical chart below shows, nosotros convey reversed the blueprint of internet weakness from 2015 together with early on 2016 together with convey been persistently inwards a higher house the naught line of piece of job inwards recent days.  Bottom line, I'm non seeing the sort of deterioration that would ordinarily precede a major marketplace reversal.

*  H5N1 spell dorsum I mentioned the shares outstanding inwards the SPY ETF every bit a useful thought approximate together with noted that it had been flashing bearish sentiment, fifty-fifty afterwards the liftoff from the Feb lows.  Sure enough, history repeated together with nosotros continued higher.  Now we're seeing an expansion inwards shares outstanding (net bullish sentiment).  In the by that has led to subnormal returns for SPY.
   

Info!! Indicator Update For March 31St

Last week's indicator update concluded, "I would non survive surprised to run into consolidation next the rigid toll ascent off the early on March lows. That consolidation should survive relatively apartment if we're going to sustain closed to other leg upward." Since that time, nosotros did run into farther forcefulness inwards the rally concluding week, followed past times consolidation that took us beneath the 800 grade inwards the S&P 500 futures.

The to a higher house charts exhibit where nosotros stood equally of Friday's close, in addition to nosotros tin laissez passer on the axe run into the double operate past times inwards novel 20-day highs minus lows (bottom chart), fifty-fifty equally toll had moved higher inwards the large caps. We tin laissez passer on the axe also run into from the Cumulative Demand/Supply Index (top chart; a cumulative index of the release of stocks closing to a higher house versus below their short-term volatility envelopes) that nosotros are at real overbought levels.

As I've stressed for several weeks now, these peaks inwards the Cumulative DSI (which is my preferred overbought/oversold measure) convey occurred at successively lower toll highs, which is feature of longer-term ship trends. We involve to run into an expansion of 20-day novel highs in addition to an mightiness to concur the 800 grade inwards the S&P 500 Index on pullbacks earlier nosotros tin laissez passer on the axe conclude that the electrical flow rally is something to a greater extent than than a trigger-happy ship marketplace bounce.

To this point, rallies to a higher house 800 convey been met alongside rigid selling, equally nosotros saw belatedly inwards today's session. Should nosotros run into lower toll highs on bounces inwards the Demand/Supply Index or should nosotros run into fewer novel highs (and specially to a greater extent than 20-day lows) on bounces, I would survive looking for a deeper correction into the wide trading arrive at defined past times concluding week's highs in addition to the ship marketplace lows. As always, I volition survive tracking Demand/Supply in addition to novel highs/lows daily via Twitter.
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Info!! Trading Notes For The Calendar Week Of February 15, 2016

Friday, Feb 19th

*  We in conclusion got some pullback inward stocks next the breadth thrust off the lows noted inward yesterday's post.  It was non a wide pullback, however, every bit nosotros genuinely saw marginally to a greater extent than stocks upward on the solar daytime than downwards with NYSE shares.  Among SPX stocks, nosotros soundless had over 90% trading inward a higher house their 5-day moving averages.  I am watching closely what the bears tin sack select to the tabular array here, with an oculus toward seeing how nosotros merchandise nigh yesterday's lows.

*  Stocks making fresh one-month highs across all United States of America of America exchanges create got handily outnumbered stocks making one-month lows for the 2nd consecutive day.  At Thursday's unopen nosotros had 622 novel highs against 145 novel lows.

*  We've bounced on my cycle measures, but are non yet at levels usually associated with intermediate-term marketplace peaks.

Thursday, Feb 18th

*  Yesterday's ship service noted that breadth thrusts next oversold weather tend to Pb to upside momentum inward the nigh term.  That is precisely what nosotros saw on Wednesday, every bit nosotros followed forcefulness with yet some other tendency solar daytime to the upside.  As I've indicated inward the past, recognizing the early on signs of an upside tendency day is extremely useful for short-term traders.  

*  Meanwhile, the breadth thrust off the recent lows has continued inward impressive fashion, i time once again highlighting that we've pose inward an of import depression together with create got embarked on a fresh cycle to the upside.  While it's non odd to larn some push clit dorsum afterwards really extended breadth readings (more than 90% of stocks inward a higher house their short-term moving averages), those dips are mostly meant to hold upward bought.  The nautical chart below illustrates the recent breadth thrust.

Wednesday, Feb 17th

*  After some morn weakness, stocks moved higher inward the afternoon together with create got caught a fresh leg higher inward overnight trading, consistent with yesterday's Federal Reserve annotation expecting farther upside follow-through afterwards nosotros made recent lows with pregnant breadth divergences.  We closed Tuesday with really rigid short-term breadth, every bit over 90% of SPX shares closed inward a higher house their 3-day moving averages together with over 85% inward a higher house their 5-day averages. (Data from Index Indicators).  Such upside thrust afterwards weakness is typically followed yesteryear farther strength, leaving a buying of dips the continued operative strategy.  

*  Here is my short-term mensurate of SPX shares making fresh 5, 20, together with 100-day highs versus lows.  It's been a useful overbought/oversold measure.  Note how, despite the recent thrust higher, nosotros are non nigh overbought territory that has been associated with intermediate-term marketplace highs.

*  The intraday tendency organization is on a BUY signal from 4 AM EST together with would striking a sell signal at 1888 on the ES March contract.  The piece of job of the organization is to position intraday swings using number bars; signal levels alter with each novel bar together with conform dynamically for marketplace volatility.


Tuesday, Feb 16th

*  In a novel article, I expand on the sentiment of fourth dimension mapping together with offering a heatmap-inspired example.  This is a technique that is specially useful inward creating the motivation together with momentum to brand changes inward whatsoever surface area of life, personal or professional.  There are many techniques out at that spot inward the self-help literature to assist people change; non thus many methods to assist people honour the travail to sustain change.

*  We've seen some consolidation inward overnight trading afterwards a sizable rally.  Note that Fri closed with exclusively 35% of SPX stocks trading inward a higher house their 10-day moving averages.  Even if the electrical current rally ends upward beingness a bounce inward a broader comport market, I hold off some upside follow through every bit nosotros piece of job off the oversold status from a really weak starting fourth dimension to the year.  

*  I proceed to honour overbought/oversold measures utilizing number bars to hold upward useful inward finding skillful merchandise location together with identifying short-term marketplace cycles.  Below is a elementary rate-of-change mensurate using number bars, where each bar represents 500 cost changes inward the ES futures.  Other number charts that I hold depict the bars on the the world of number of trades together with on the the world of book transacted.  My nearly recent trend-following organization makes utilisation of number bars together with has done quite good identifying intraday swings.  As of this writing, that organization enters SELL style below 1881 inward the March contract.  The purchase together with sell parameters alter with each novel bar together with conform inward existent fourth dimension for marketplace volatility.

Monday, Feb 15th

*  We tested the Jan lows this yesteryear week, but--as noted inward previous postings--breadth divergences were striking.  Specifically, nosotros registered 1226 fresh three-month lows across all exchanges on Th together with 1353 novel lows on Monday.  At the Jan bottom, nosotros saw 2663 stocks brand fresh three-month lows.  Since that test, we've moved smartly higher on Fri together with thus i time again inward overnight trading.  My short-term tendency model is solidly inward purchase style together with has been since Fri morning.

*  An ongoing query projection has been assessing marketplace cycles yesteryear tracking the functioning of all NYSE stocks across a diversity of technical indicators.  (Raw information from stockcharts.com).  The mensurate below takes a volatility-weighted composite of purchase versus sell signals for ii technical systems:  Bollinger Bands together with Parabolic SAR.  Note that nosotros closed Fri at levels some those seen at intermediate-term bottoms together with create got quite a agency to become earlier nosotros run into overbought levels.  

*  Here is yet some other cycle based mensurate derived from breadth information (Raw information from indexindicators.com). Note that it is inward oversold territory, but non at levels seen at nearly intermediate-term lows together with good off overbought levels.  If indeed nosotros create got seen a successful retest of Jan lows, I would hold off marketplace firmness to create got these cycle measures higher.

*  I would position the greatest improvement to my trading every bit coming from focusing away from trends together with directional movement together with instead thinking of cycles together with the transitions from trending to mean-reverting demeanour together with dorsum again.  Influenza A virus subtype H5N1 cycle includes phases of upward together with downward trending, every bit good every bit attain demeanour nigh highs together with lows.  Identifying these transitions--and non getting caught upward inward whatsoever i stage of marketplace behavior--is really helpful to short-term trading.

Info!! Ideas For A Monday

* We proceed to come across a meaning release of stocks register fresh 20-day lows. That release exceeded 2500 today. I'm reluctant to play for whatsoever enduring bottom without seeing greater drying upwards of selling pressure level (NYSE TICK) in addition to novel lows. It's a bounce, merely maybe solely an oversold consolidation;

* Vitamin D in addition to moods Studies similar this are quite valuable if you lot know how to piece of occupation them.
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Info!! Indicator Update For October 26Th

Last week's indicator review works life signs of weakening readings next a momentum summit inward September. We did clit dorsum inward trading during the yesteryear week, putting virtually sectors inward a rangebound mode. That moved us to a moderately oversold degree inward the Cumulative Demand/Supply Index (top chart), equally stocks making novel 20-day lows equaled those making novel highs (bottom chart). Thus far, nosotros top on to run into the marketplace indicators clit dorsum at successively higher cost lows; that is sustaining the longer-term uptrend. There is nada inward the electrical flow activity thence far to alter that pattern. Should nosotros accomplish the oversold levels inward the Cumulative DSI that convey corresponded to intermediate-term lows inward the recent yesteryear as well as sustain higher cost lows (as good equally higher novel high/low readings), I would hold upwards a buyer for the side yesteryear side bull leg. Violation of those levels would convey me viewing recent consolidation equally a potentially to a greater extent than extended intermission of the bull market.
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Info!! Using Pure Cost Momentum To Rails Marketplace Cycles

I'm non a big fan of price similar "overbought" in addition to "oversold".  Too often, those price embed a bias--that the stretched marketplace is probable to snap back.  Similarly, i mortal looks at a nautical chart in addition to notices "consolidation"; to a greater extent than or less other perceived "topping".  There is a lot of room for subjectivity inwards how nosotros label what nosotros see.  That's a practiced argue to hold off at many things alongside a fresh ready of eyes.  We're less probable to autumn victim to confirmation biases if nosotros persuasion the globe through multiple lenses in addition to invite data that doesn't neatly tally into our views of the moment.

Above is a nautical chart of the ES futures.  Each indicate on the nautical chart represents 50,000 contracts traded.  On busy days, nosotros impress to a greater extent than points on the chart; boring days impress fewer.  Similarly, the busy times of twenty-four hours impress to a greater extent than points than the slow, midday hours.  This normalizes, to to a greater extent than or less degree, volatility inside in addition to across days.  I farther require keep volatility out of the motion painting past times only recording whether the average cost of each book bar is upward or downward relative to the prior bar.  The nautical chart is an 80-bar moving average of this up/down count.  It tin last viewed equally a relatively pure stair out of cost momentum.

When the 80-period average has been inwards the transcend one-half of its distribution, the adjacent twoscore bars require keep averaged a gain of +.15%.  When the average has been inwards the bottom one-half of its distribution, the adjacent twoscore bars require keep averaged a loss of -.01%.  If you lot hold off at the nautical chart closely, you'll run into the argue for this momentum effect:  early on inwards a marketplace cycle, nosotros run into a surge inwards upside momentum, which stays positive but wanes equally the cycle matures.  Eventually nosotros give-up the ghost negative momentum, leading to a crescendo of downside cost modify soon earlier nosotros hitting a cost low.

Seeing where we're at inwards this procedure gives a practiced read for where nosotros stand upward inwards the acquaint marketplace cycle.  Much of the upside drive inwards the marketplace tin last attributed to momentum next rigid positive readings in addition to value/reversal next rigid negative readings.  Tracking these helps us suit to the phases of a marketplace cycle.

Further Reading:  Finding Opportunity inwards Market Cycles
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Info!! Indicator Update For September 14Th

Last week's indicator review noted divergences inward the marketplace position as well as a pullback amidst the indicators that I track, but concluded, "Still, it is clear--particularly from the Cumulative DSI--that nosotros are getting relative oversold readings at successively higher lows inward the market, which is the grade of a bull market. Until that blueprint changes, it is premature to conclude that we're rolling over to acquit status."

That turned out to hold upward an of import caveat, every bit nearly of the marketplace position indexes rallied smartly to novel bull highs this by week. The Adjusted Cumulative DSI (top chart) has returned to moderately overbought levels, continuing the blueprint of higher cost highs as well as higher lows on successive DSI peaks as well as valleys. Given the vogue of the DSI to meridian ahead of price, nosotros could run across the marketplace position grind farther higher here, fifty-fifty every bit upside momentum slows (as it did on Friday).

My apologies for the mislabeling of the middle chart, which should read "65-Day Highs Minus Lows". I charted the 65-day expose as well as hence that y'all could run across how the recent rally has shown forcefulness relative to the meridian before inward August as well as how nosotros are gaining forcefulness every bit the recent rally has progressed.

The nautical chart of the advance-decline business for mutual stocks inside the NYSE Composite Index (kudos to the before sector analysis, which shows the major stock sectors by as well as large inward short-term uptrends.

Intermarket themes--weak U.S.A. dollar, potent commodities--are supporting the forcefulness inward the stock marketplace position as well as indeed led the recent upsurge. We volition involve to run across an unwinding of adventure appetite across these property classes before the bull is laid to opposite inward a sustained way. As always, I volition hold upward updating these as well as other indicators via Twitter before the marketplace position opened upward (follow here) to run across if nosotros are sustaining forcefulness or moving into a menstruum of consolidation.

Here are weekly cost targets for SPY: Pivot = 104.23; R1=106.64; R2=107.12; R3=107. 76; S1=101.82; S2=101.34; S3=100.70.

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Info!! Trading Notes For The Calendar Week Of April 25, 2016

Friday, Apr 29th

*  I'll hold upwards talking amongst the Benzinga pre-market prep show at 8:35 AM today.  We'll create got a seem at the psychology of the electrical current market.

*  I beloved this postal service regarding innovating too finding novel merchandise setups from Ivanhoff.

*  Stocks bounced nicely from overnight weakness yesterday but too then stalled at prior peak levels too sold off sharply into the close.  Breadth was non peculiarly poor; fresh monthly novel highs dropped to 915 too novel lows rose a fighting to 235.  Technology/NASDAQ shares broke below their before Apr lows; housing stocks (XHB) also took a hit.  That's non the form of activity you'd await if the marketplace position was pricing inwards economical strength.  Fewer than 50% of SPX shares are trading inwards a higher house their 3, 5, too 10-day moving averages.  Let's encounter if that tin send away convey inwards buyers, equally prior short-term corrections create got been able to do.

*  H5N1 few things dissimilar most this most recent marketplace position drop:  1) higher volatility on the decline, amongst extreme selling on the NYSE TICK measure; 2) the market's inability to rally during USD weakness too commodity firmness; too 3) continued breakdown of correlations amid marketplace position sectors.  It's when nosotros encounter shifts inwards volatility too correlation that nosotros desire to entertain notions of authorities change.

*  My intermediate-term measures are silent nowhere close oversold levels.  I'm quite opened upwards to toppy marketplace position activity hither too an intermediate-term correction inside the bull cycle.  I'm non expecting a precipitous reversal to send marketplace position mode.  Note the precipitous rising inwards VIX.  My Pure VIX model has turned neutral; non yet inwards "fearful" territory.

Thursday, Apr 28th

*  A seem at the recent displace to higher involvement rates, which has affected the trading of higher yielding stocks too stock sectors.

*  Stocks create got fallen dorsum afterward the Bank of Nippon disappointment final night.  We're right away close the lower terminate of the recent trading range.  I haven't noticed item breadth weakness.  Indeed, smaller cap indexes moved to novel highs yesterday, equally did a lay out of large cap sectors.  Much of the index weakness has come upwards from technology scientific discipline shares too the higher yielding sectors.  New monthly highs rose to 1112; novel lows rose a fighting to 209.  My intermediate-term wheel measures are stretched to the upside, however, so I would non hold upwards surprised to encounter farther consolidation.

*  Most of the corrective activity we've seen inwards stocks since the Feb depression has consisted of sector rotation; therefore no meaningful deterioration inwards the breadth numbers.  Below nosotros tin send away encounter a nautical chart of stocks across all the States exchanges making fresh 3-month highs versus 3-month lows.  It has stayed good for yous throughout the recent move.  One of the things I'm tracking going forrad is the grade to which nosotros encounter across the board weakness on pullbacks versus rotational movement. 

Wednesday, Apr 27th

*  Here's a valuable perspective on challenging hedge fund performance from the Mathematical Investor site.

*  My mensurate of breadth volatility has reached depression levels final reached inwards belatedly November, 2015 before the marketplace position drop.  Volume inwards stocks has also been lagging, which has been associated amongst subnormal forrad returns.  That beingness said, breadth improved yesterday, amongst 876 fresh monthly novel highs too 189 novel lows.

*  Note the divergent sector surgery inwards the past times week, amongst higher yielding shares underperforming too commodity-related shares outperforming.  (Graphic from FinViz).  Rates create got been rising ahead of the Fed; I'm keeping a unopen optic on this.  Note also how technology scientific discipline has been lagging.  Rising rates?  Higher commodities?  Low growth?  Can't imagine a stagflation scenario would hold upwards a non bad one...

Tuesday, Apr 26th

*  Excellent interrogation links from Abnormal Returns.  H5N1 non bad aggregation of quant interrogation comes from Quantocracy.  Lots of novel ideas inwards these sources too lots of practiced blogs to follow.

*  So far my trading experiment has been interesting.  I've been placing far fewer trades, solely trading when the marketplace position lines upwards on 3 fourth dimension frames too a short-term signal is triggered.  The signal comes from volatility bands drawn around lawsuit bars, so the bands reverberate what I've been calling pure volatility (volatility per unit of measurement of marketplace position volume).  The target is also based upon a motility inwards pure volatility units.  The really structured nature of the opportunity taking has led to zilch overtrading too a higher hitting charge per unit of measurement on trades.  I'm placing solely a 10th of the trades I was placing before, overall profitability inwards dollar price has non been hurt, too of course of educational activity risk-adjusted profitability has increased greatly.  It is non clear to me that much of the trading nosotros produce adds value.  By structuring rules around our best trades, nosotros tin send away create important gratis fourth dimension for interrogation too life exterior of markets.

*  We saw increased selling push clit per unit of measurement area inwards yesterday's trade, but cost held relatively good too has bounced a fighting inwards overnight trade.  New monthly highs dropped to 586 too monthly lows also dipped to 208.  I'm silent non seeing important weakness across sectors; the key banking company focus the balance of the calendar week volition dominate trade.  

*  We tin send away encounter the market's forcefulness inwards the wheel mensurate below.  My long-term wheel interrogation suggests that nosotros made an of import wheel depression inwards Feb (the prior wheel depression was October, 2014) too create got been inwards a momentum stage of the novel cycle.  I ultimately await the electrical current wheel to create got us to novel highs, driven equally much past times dovish key banks too the postulate for yield equally growth per se.

Monday, Apr 25th

*  There is a psychological procedure that underlies self-confidence--and to a greater extent than specifically a cognitive process.  Key is the recognition is that confidence is an seem of optimism--and optimism comes from finding structural similarities betwixt introduce challenges too past times ones that create got been mastered.  This is really relevant to the capacity to stick amongst one's ideas too atmospheric condition drawdowns.

*  I'm currently working on a projection that tracks long-term cycles inwards the stock market.  These cycles extend for months, non minutes or days.  It is at this horizon that momentum effects most clearly emerge.  For example, if nosotros larn dorsum to 2006 too rails the per centum of SPX shares that unopen inwards a higher house their 100-day moving averages, nosotros notice that the move past times one-half of readings (those inwards which in that location has been strongest breadth) final result inwards an average side past times side 50-day gain of +2.15%.  The bottom one-half of readings average a side past times side 50-day gain of solely +.33%.  The lion's part of the surgery differential occurs afterward a 20-day belongings period.  Think most what that agency for traders who prepare longer-term ideas but create got to merchandise them on curt fourth dimension frames too what that agency for short-term traders.  Also recollect most the implications for the electrical current market.

*  Stocks create got pulled dorsum inwards overnight trading, continuing to consolidate recent gains.  None of my breadth measures propose that we're yet at an oversold level, equally tin send away hold upwards seen below.  This mensurate tracks SPX shares trading inwards a higher house their 3, 5, 10, too 20-day moving averages.  (Raw information from Index Indicators).