the recent post inwards which I outlined the importance of recognizing meaning selling pressure level inwards the marketplace position yesteryear monitoring extreme values of NYSE TICK. In the nautical chart above, a five-minute nautical chart of the early on merchandise inwards the ES futures (dark bluish line), I've overlaid the highest NYSE TICK value for the 5 infinitesimal periods (pink) too the lowest TICK values (yellow).
What we're doing is treating these every bit assort distributions, alongside the high TICK representing buying pressure level too the depression TICK representing selling pressure level for that fourth dimension period. In general, values higher upwards +800 stand upwards for meaning buying pressure; values below -800 stand upwards for meaning selling pressure. When nosotros larn periods inwards which neither buying nor selling pressure level is significant, nosotros tend to encounter quieter, gain action.
Notice that, early on inwards the day, nosotros had meaning selling pressure, alongside many depression TICK readings falling below that -800 threshhold. Up to 10:30 AM CT, moreover, nosotros had no high TICK readings exceeding +800.
Observe, however, that every bit the morn unfolded, nosotros were seeing successively higher depression TICK readings (light bluish arrow). This was our begin clue that selling pressure level was drying up. The drying upwards of selling, though, is non plenty to cause a rally. For that, nosotros demand an influx of buying. We saw that roughly 10:35 AM CT, when the high TICK broke higher upwards +800 for the begin of several times.
This breakout inwards the distribution of TICK (labeled inwards calorie-free blue) indicated to us that novel institutional buyers were entering the marketplace. To sustain values higher upwards +800 (or below -800), nosotros demand broad-based buying (or selling) of a broad gain of stocks, too that buying or selling needs to live on simultaneous. That tin dismiss exclusively gain off when institutions are transacting large baskets of stocks inwards a directional manner, too therefore that all those stocks are trading on upticks (or downticks).
Note that when our side yesteryear side bout of selling occurred roughly 11:45 AM CT, nosotros neared simply did non quite accomplish the -800 level. Subsequent selling 1 time once again began to dry out upwards (second calorie-free bluish arrow) too toll held good higher upwards its morn lows. Moreover, fifty-fifty during this catamenia of selling, regime annotation that nosotros had a twain of meaning buying readings (above +800) too that the ratio of buying to selling values was higher than it had been before inwards the morning.
In short, the sellers could non force toll lower too could non brand buyers become away. As a result, nosotros saw some other upside breakout inwards TICK roughly 12:50 PM CT, alongside toll breaking higher upwards its opening level. That reversed morn weakness too gear upwards us upwards for an afternoon rally. Those who caught the shifting dynamics of buying too selling pressure level during the morn were good poised to accept wages of the afternoon strength.
Is buying pressure level increasing or decreasing over time? Is selling pressure level increasing or decreasing over time? How is the ratio of buying to selling pressure level changing over time? How is toll responding to shifts inwards buying too selling pressure?
There are many proficient questions that nosotros tin dismiss inquire during the trading twenty-four lx minutes catamenia to catch marketplace position reversals.
.
Showing posts sorted by relevance for query recognizing-significant-buying-pressure. Sort by date Show all posts
Showing posts sorted by relevance for query recognizing-significant-buying-pressure. Sort by date Show all posts
Tuesday, February 4, 2020
Monday, February 17, 2020
Info!! Recognizing Pregnant Buying Pressure Level Inwards The Stock Market
The previous post took a await at important selling days inwards the stock market, based upon one-minute readings inwards which the NYSE TICK hitting or vicious below -1000. What nosotros saw was that selling meaningfully expanded on the suspension below 800 inwards the S&P 500 Index, validating that breakout move.
Above nosotros run across the flip side: the frequency of potent buying minutes inwards the stock marketplace based upon one-minute readings inwards which the NYSE TICK hits or exceeds +1000. Once again, this is a rare reading, equally it requires thou or to a greater extent than issues to merchandise on upticks at the same time. Only important buying pull per unit of measurement area from institutional participants tin generate such a reading. By cumulating the potent buying infinitesimal readings over a one-day moving average menstruation (pink describe of piece of job above), nosotros tin run across how such see has correlated alongside drive inwards the S&P 500 e-mini (ES) futures (blue line) since the starting fourth dimension of 2009.
What nosotros run across is that the peaks inwards the potent buying minutes induce got been diminishing; alongside each rally, we've had fewer potent buying minutes. This suggests that institutional buying has waned, fifty-fifty equally we've seen a pickup inwards institutional selling per the previous post. Note also an interesting designing inwards which the frequency of potent buying minutes tends to meridian ahead of cost on intermediate-term marketplace rallies.
A rising marketplace needs significantly to a greater extent than potent buying minutes than potent selling ones; a falling marketplace requires the reverse. By catching the distribution of extreme readings inwards NYSE TICK, nosotros tin brand a reasoned assessment equally to whether buying or selling see are dominant, or whether they are relatively balanced.
An interesting practise would hold upwards to induce got extreme readings inwards Market Delta (the proportion of book traded at offering minus that traded at bid) as well as run across if like distributions spill out inwards trending as well as non-trending markets. I promise to address this at a afterwards juncture. In the interim, I volition include observations close the distribution of NYSE TICK values inwards my forenoon existent fourth dimension marketplace comments via Twitter (NYSE TICK as well as Significant Buying as well as Selling inwards the Market
.
Above nosotros run across the flip side: the frequency of potent buying minutes inwards the stock marketplace based upon one-minute readings inwards which the NYSE TICK hits or exceeds +1000. Once again, this is a rare reading, equally it requires thou or to a greater extent than issues to merchandise on upticks at the same time. Only important buying pull per unit of measurement area from institutional participants tin generate such a reading. By cumulating the potent buying infinitesimal readings over a one-day moving average menstruation (pink describe of piece of job above), nosotros tin run across how such see has correlated alongside drive inwards the S&P 500 e-mini (ES) futures (blue line) since the starting fourth dimension of 2009.
What nosotros run across is that the peaks inwards the potent buying minutes induce got been diminishing; alongside each rally, we've had fewer potent buying minutes. This suggests that institutional buying has waned, fifty-fifty equally we've seen a pickup inwards institutional selling per the previous post. Note also an interesting designing inwards which the frequency of potent buying minutes tends to meridian ahead of cost on intermediate-term marketplace rallies.
A rising marketplace needs significantly to a greater extent than potent buying minutes than potent selling ones; a falling marketplace requires the reverse. By catching the distribution of extreme readings inwards NYSE TICK, nosotros tin brand a reasoned assessment equally to whether buying or selling see are dominant, or whether they are relatively balanced.
An interesting practise would hold upwards to induce got extreme readings inwards Market Delta (the proportion of book traded at offering minus that traded at bid) as well as run across if like distributions spill out inwards trending as well as non-trending markets. I promise to address this at a afterwards juncture. In the interim, I volition include observations close the distribution of NYSE TICK values inwards my forenoon existent fourth dimension marketplace comments via Twitter (NYSE TICK as well as Significant Buying as well as Selling inwards the Market
Monday, January 14, 2019
Info!! Trading Notes: Calendar Week Of November 2Nd
Friday, Nov 6th
* Today's early on merchandise promises to hold upwards dominated yesteryear the payrolls data. Trade overnight slowed downward ahead of the release, but I await it to generate a practiced bargain of activity, given the focus on whether the Fed volition hike rates inwards December. What I'll hold upwards looking for out of the release is how rates, the dollar, as well as stocks respond--and whether they movement thematically, inwards sympathy. Any early on movement is to a greater extent than probable to hold upwards sustained if it's business office of a thematic macro trade.
* That beingness said, I don't take away hold a dandy bargain of conviction going into the report. I idea the inability to sustain an overnight bounce yesterday was significant, equally was the bounce off the morn lows. All inwards all, we're overbought longer term, oversold shorter term. I would need to run across yesterday's lows concord on whatever selling clit per unit of measurement area inwards guild to hold upwards a buyer.
* Most people are familiar with VIX, the mensurate of volatility implied yesteryear options markets. Fewer people rail implied correlations: the correlations reflected inwards options pricing. While VIX has non moved tremendously from the kickoff of the calendar year, the implied correlation with stocks has collapsed. We're pricing inwards real depression correlations, reflecting a relatively differentiated, rotational environment. We had a decent sized driblet inwards implied correlation yesterday, such large drops take away hold by as well as large been bullish 3-5 days out. I'll hold upwards sharing to a greater extent than query on implied correlation inwards coming days. The index symbol is $ICJ.
Thursday, Nov 5th
* Yesterday's postal service noted concerns over risk/reward as well as Wednesday's merchandise offered a pullback, equally nosotros closed with fewer than 50% of SPX stocks higher upwards their three-day moving averages. We closed close levels that take away hold been associated with short-term buying opportunities (see nautical chart below) as well as take away hold bounced higher overnight, then buying weakness that holds higher upwards the overnight lows as well as at to the lowest degree testing the recent highs is a reasonable strategy.
* Yesterday's movement higher inwards rates inwards the wake of the Fed chair's statements contributed to USD strength, commodity weakness, as well as weakness inwards stocks. That blueprint is worth keeping an oculus on going forward. When markets merchandise thematically--multiple property classes moving inwards a coherent pattern--that merchandise is by as well as large supported yesteryear large institutions as well as volition take away hold only about legs, short-term. Only watching the musical instrument you're trading loses a lot of information.
* I'm too increasingly cognizant of how many directional moves teach off the dry soil during European as well as Asian hours. Indeed, the median movement from opened upwards to unopen inwards SPY has been close the same equally the overnight movement during 2015. Anyone limiting stock index trading to U.S. hours effectively cuts the chance laid inwards half.
Wednesday, Nov 4th
* Stocks by as well as large continued their clit on Tuesday, moving to novel highs for this move. I used the occasion to take away hold profits. It's non that I intend the bull run has ended for good. Rather, I'm non inwards dear with the risk/reward hither after a enterprise movement higher. Specifically, nosotros are non entirely overbought on my breadth measures (more than 70% of stocks higher upwards their curt as well as medium term moving averages), but yesterday displayed waning breadth relative to Mon for the SPX shares.
* With observe to breadth, it's noteworthy that nosotros registered 410 stocks making fresh three-month highs yesterday, which is soundless below the publish of novel highs seen final week. One argue I'm non overly concerned yesteryear this seeming breadth difference is that then few stocks are making fresh 3 calendar month lows--only 65. Returns inwards SPY tend to hold upwards best when the publish of stocks making novel lows are real high as well as real low. You need to run across an increasing publish of shares displaying weakness earlier the marketplace position equally a whole turns over. We're non seeing that then far. What we're seeing is a rotational market, with formerly weak sectors, such equally liberate energy shares, forthwith perking up.
* Below is a nautical chart of breadth for the SPX stocks. It captures the percent of stocks trading higher upwards their 3, 5, 10, as well as 20-day moving averages. (Raw information from Index Indicators). Note that after a breadth thrust higher next the tardily September lows, we've by as well as large stayed higher upwards 50%. Pullbacks inwards the breadth mensurate take away hold been practiced entries on the long side. As long equally nosotros teach dips inwards the breadth mensurate occurring at successively higher toll lows, I consider the uptrend to hold upwards intact.
Tuesday, Nov 3rd
* Yesterday's postal service noted the possibility of broadening buying inwards stocks as well as that is just what nosotros got, with little caps catching upwards to larger caps as well as SPX making novel highs for this move. Indeed, yesterday was a poster tyke for an upside tendency day, with a skewed positive distribution of NYSE TICK values through the day. Here's a post that outlines 4 keys to an upside tendency day. Recognizing those days relatively early on inwards the session tin ship away hold upwards real valuable.
* Below y'all tin ship away run across the breakout inwards the cumulative uptick/downtick trouble (red line; 9/25/15 - present), which represents upticks minus downticks for all stocks, all exchanges. As long equally we're making novel highs on that measure, I top on to thin to the long side.
* H5N1 breakdown of upticks vs. downticks for yesterday's merchandise institute that what was then meaning close the tendency twenty-four hours was the close full absence of selling pressure, rather than a huge jump with buyers. (This was too evident inwards yesterday's relatively small-scale volume). Indeed, since 2012, I've seen entirely 21 days with similar levels of depression selling. Five days later, SPY was upwards 17 times, downward 4 for an average gain of +.51%, though, interestingly, at that topographic point was no item border for the side yesteryear side day.
Monday, Nov 2nd
* Stocks experienced a tardily twenty-four hours selloff on Fri as well as extended the selling overnight earlier stabilizing a bit. We top on to run across large cap shares (SPX) brand higher lows as well as higher highs and, then far, the recent selling does non modify that pattern. Meanwhile, the Russell 2000 Index of little as well as midcap shares has shown relative weakness, but all of that powerfulness hold upwards business office of an extended, flattish correction (see below). Should little cap clit bring together the larger caps, inwards keeping with year-end seasonals, nosotros could run across a melt-up inwards stocks. I don't listen many people talking close that possibility. My chore equally a trader is to hold upwards aware of a diversity of scenarios as well as the testify that would back upwards each; non to impose my predilection on markets. I take away hold been operating with an supposition that we've already seen a momentum peak for stocks, but I'm opened upwards to revising that view--and renewed involvement inwards smaller caps would sure as shooting spark such a revision.
* On a 6 calendar month as well as one-year basis, raw materials shares--stocks related to the commodity sector--have been the weakest yesteryear quite a margin. Interestingly, however, over the yesteryear month, those raw materials stocks take away hold been marketplace position leaders, per the nautical chart below from the first-class FinViz site. Commodities are sensitive to patterns of global growth, then I'm watching those--and commodity related sectors such equally XLB as well as XLE--quite closely.
* Today's early on merchandise promises to hold upwards dominated yesteryear the payrolls data. Trade overnight slowed downward ahead of the release, but I await it to generate a practiced bargain of activity, given the focus on whether the Fed volition hike rates inwards December. What I'll hold upwards looking for out of the release is how rates, the dollar, as well as stocks respond--and whether they movement thematically, inwards sympathy. Any early on movement is to a greater extent than probable to hold upwards sustained if it's business office of a thematic macro trade.
* That beingness said, I don't take away hold a dandy bargain of conviction going into the report. I idea the inability to sustain an overnight bounce yesterday was significant, equally was the bounce off the morn lows. All inwards all, we're overbought longer term, oversold shorter term. I would need to run across yesterday's lows concord on whatever selling clit per unit of measurement area inwards guild to hold upwards a buyer.
* Most people are familiar with VIX, the mensurate of volatility implied yesteryear options markets. Fewer people rail implied correlations: the correlations reflected inwards options pricing. While VIX has non moved tremendously from the kickoff of the calendar year, the implied correlation with stocks has collapsed. We're pricing inwards real depression correlations, reflecting a relatively differentiated, rotational environment. We had a decent sized driblet inwards implied correlation yesterday, such large drops take away hold by as well as large been bullish 3-5 days out. I'll hold upwards sharing to a greater extent than query on implied correlation inwards coming days. The index symbol is $ICJ.
Thursday, Nov 5th
* Yesterday's postal service noted concerns over risk/reward as well as Wednesday's merchandise offered a pullback, equally nosotros closed with fewer than 50% of SPX stocks higher upwards their three-day moving averages. We closed close levels that take away hold been associated with short-term buying opportunities (see nautical chart below) as well as take away hold bounced higher overnight, then buying weakness that holds higher upwards the overnight lows as well as at to the lowest degree testing the recent highs is a reasonable strategy.
* I'm too increasingly cognizant of how many directional moves teach off the dry soil during European as well as Asian hours. Indeed, the median movement from opened upwards to unopen inwards SPY has been close the same equally the overnight movement during 2015. Anyone limiting stock index trading to U.S. hours effectively cuts the chance laid inwards half.
Wednesday, Nov 4th
* Stocks by as well as large continued their clit on Tuesday, moving to novel highs for this move. I used the occasion to take away hold profits. It's non that I intend the bull run has ended for good. Rather, I'm non inwards dear with the risk/reward hither after a enterprise movement higher. Specifically, nosotros are non entirely overbought on my breadth measures (more than 70% of stocks higher upwards their curt as well as medium term moving averages), but yesterday displayed waning breadth relative to Mon for the SPX shares.
* With observe to breadth, it's noteworthy that nosotros registered 410 stocks making fresh three-month highs yesterday, which is soundless below the publish of novel highs seen final week. One argue I'm non overly concerned yesteryear this seeming breadth difference is that then few stocks are making fresh 3 calendar month lows--only 65. Returns inwards SPY tend to hold upwards best when the publish of stocks making novel lows are real high as well as real low. You need to run across an increasing publish of shares displaying weakness earlier the marketplace position equally a whole turns over. We're non seeing that then far. What we're seeing is a rotational market, with formerly weak sectors, such equally liberate energy shares, forthwith perking up.
* Below is a nautical chart of breadth for the SPX stocks. It captures the percent of stocks trading higher upwards their 3, 5, 10, as well as 20-day moving averages. (Raw information from Index Indicators). Note that after a breadth thrust higher next the tardily September lows, we've by as well as large stayed higher upwards 50%. Pullbacks inwards the breadth mensurate take away hold been practiced entries on the long side. As long equally nosotros teach dips inwards the breadth mensurate occurring at successively higher toll lows, I consider the uptrend to hold upwards intact.
Tuesday, Nov 3rd
* Yesterday's postal service noted the possibility of broadening buying inwards stocks as well as that is just what nosotros got, with little caps catching upwards to larger caps as well as SPX making novel highs for this move. Indeed, yesterday was a poster tyke for an upside tendency day, with a skewed positive distribution of NYSE TICK values through the day. Here's a post that outlines 4 keys to an upside tendency day. Recognizing those days relatively early on inwards the session tin ship away hold upwards real valuable.
* Below y'all tin ship away run across the breakout inwards the cumulative uptick/downtick trouble (red line; 9/25/15 - present), which represents upticks minus downticks for all stocks, all exchanges. As long equally we're making novel highs on that measure, I top on to thin to the long side.
Monday, Nov 2nd
* Stocks experienced a tardily twenty-four hours selloff on Fri as well as extended the selling overnight earlier stabilizing a bit. We top on to run across large cap shares (SPX) brand higher lows as well as higher highs and, then far, the recent selling does non modify that pattern. Meanwhile, the Russell 2000 Index of little as well as midcap shares has shown relative weakness, but all of that powerfulness hold upwards business office of an extended, flattish correction (see below). Should little cap clit bring together the larger caps, inwards keeping with year-end seasonals, nosotros could run across a melt-up inwards stocks. I don't listen many people talking close that possibility. My chore equally a trader is to hold upwards aware of a diversity of scenarios as well as the testify that would back upwards each; non to impose my predilection on markets. I take away hold been operating with an supposition that we've already seen a momentum peak for stocks, but I'm opened upwards to revising that view--and renewed involvement inwards smaller caps would sure as shooting spark such a revision.
Subscribe to:
Posts (Atom)