Info!! Relative Book Update: How Much Book As Well As Drive Tin Nosotros Await During The Day?

How much volume--and how much movement--can nosotros hold off inwards the S&P 500 Index during each segment of the marketplace day? Relative volume tells us how the electrical current book compares alongside recent norms. Below nosotros meet each one-half hr inwards the ES futures, the median publish of contracts transacted during that half-hour catamenia over the prior xxx trading sessions, in addition to the median high/low cost arrive at for that period.

Note how book in addition to volatility correlate highly. Over the concluding xxx sessions, the correlation betwixt one-half hr book in addition to one-half hr high/low ranges has been a meaning .81.

Seeing whether nosotros are doing closed to concern compared alongside normal tin state us how much campaign to expect: really helpful inwards gauging cost targets in addition to destination loss levels. See the links below for to a greater extent than detail.

Time (CT)	Volume	Range (%)
8:30	244,194	0.64
9:00	200,849	0.48
9:30	148,298	0.45
10:00	125,114	0.34
10:30	88,967	0.27
11:00	71,072	0.29
11:30	69,160	0.29
12:00	63,483	0.24
12:30	63,198	0.28
13:00	73,900	0.28
13:30	83,595	0.3
14:00	91,348	0.29
14:30	203,454	0.37
15:00	90,451	0.17

More:

Who Is In The Market? Understanding Volume in addition to Volatility

Important Post on Tracking the Market's Largest Traders

Relative Volume in addition to Price Movement

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Info!! Tracking Existent Fourth Dimension Marketplace Reckon Through Purchase In Addition To Sell Programs

In past posts I've mentioned that I rail a handbasket of institutional favorite stocks too monitor upticking too downticking across the grouping every infinitesimal of the trading day.  The logic is that when large marketplace position participants desire to purchase or sell with urgency, they volition elevator offers or hitting bids across a hit of liquid stocks.  This simultaneous upticking or downticking across a hit of shares--the execution of purchase programs too sell programs--leaves a footprint that provides a really useful catch of instantaneous marketplace position sentiment.

The top nautical chart tracks sell programs on a rolling one-day Blue Planet from October, 2014 to the present.  Note the expansion of sell programs at relative marketplace position lows too the diminished degree of sell programs at relative marketplace position highs.  That is pretty much what nosotros would await to see.

When nosotros become to the 2d chart, tracking purchase programs, nosotros run across the same pattern, however.  At relative marketplace position lows, nosotros run across to a greater extent than buying activity.  At relative highs, buying dries up.  This is really important.  What makes marketplace position lows is that lower prices attract longer timeframe buyers--the ones who execute inwards baskets.  Volume ramps upwards at relative marketplace position lows because 1 grouping of participants is actively selling too around other grouping is actively scooping upwards the shares instantly offered on sale.  At relative marketplace position highs, zip is on sale too longer fourth dimension frame participants are non incentivized to buy.  Total mass dries up.

It is the 3rd chart, tracking the relative residuum betwixt buying too selling programs, that tells us who is winning the tug-of-war.  At marketplace position lows, sell programs diminish spell purchase programs proceed to fire.  That creates a province of affairs inwards which buying pressure level spikes early on inwards a marketplace position cycle.  (Note that this is what has happened lately inwards the wake of the ECB action).  As a marketplace position rising matures, sell programs get to transcend purchase programs too nosotros run across the residuum betwixt the ii top out ahead of price.  The recent pregnant expansion of programme buying suggests that nosotros should run across upside momentum from recent cardinal banking concern actions.

I included the fourth, bottom nautical chart to brand a split upwards point.  Notice inwards the 3rd nautical chart how nosotros had intensive selling pressure level alongside the institutional favorite shares prior to the recent marketplace position rise.  Despite that, the cumulative NYSE TICK (the amount of upticks vs. downticks across all NYSE shares) stayed potent too instantly has made novel highs.  What that way is that nosotros were seeing intense selling (downticking) alongside the liquid large cap issues, precisely non across the wide market.  It was that discrepancy that ready the recent strength.

I deeply appreciate the involvement readers convey shown inwards the move I convey shared.  These are proprietary measures (all information from e-Signal too all calculation too charting done inwards Excel), precisely I volition update periodically to remain on top of where nosotros stand upwards inwards marketplace position cycles.  I volition likewise hold upwards sharing information most the breadth too stance measures I rail inwards my upcoming book. 

Further Reading:  A Look Back on a Previous Instance of Program Buying Surge
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Info!! Markets Equally Auction Processes: Daring To Persuasion Markets Differently

What does it hateful to endure daring as well as dissimilar inwards trading fiscal markets?

It agency beingness willing to hold off at novel information as well as appraise markets inwards novel ways.

Fresh insight comes from examining novel data.  

I lately wrote well-nigh three questions to inquire well-nigh whatever market.  That post became far as well as away the most pop post e'er on :  release i out of over 4500 posts.

Why?

Perhaps because looking at markets every bit auction processes as well as focusing on who is truly participating inwards the marketplace as well as what, specifically, they're doing takes a daring pace dorsum from the normal routines of looking at charts as well as next the news.

One of the most powerful ideas I've worked alongside is relative volume, tracking when marketplace participation is waxing as well as waning.

Most of the time, high or depression prices volition near off an auction.  Buyers volition refrain from buying if prices decease likewise high; sellers volition concur off on selling if prices are unattractively low.  When cost extremes near off an auction, relative book starts to fade.  Those cost extremes stand upwardly for of import information: they nation us where provide as well as need are imbalanced.  Should nosotros afterward motion through those prices alongside ease, nosotros know that at that topographic point is fresh participation inwards the auction.  That is of import information.

At other times, however, high or depression prices may truly cause farther auction activity.  Buyers are eager to laid about inventory; sellers are desperate to unload theirs.  That's when nosotros run into relative book rest high, fifty-fifty every bit markets are moving directionally.  That's how trends are made.

Within the book that does transact, nosotros tin run into whether those transactions resultant inwards internet upticks for stocks or downticks.  I rails this across all listed stocks.  That tells us a swell bargain well-nigh the relative activity of buyers as well as sellers at the auction.  

Think of markets inwards a sixfold grid:  high, medium, as well as depression book as well as high internet upticking, balanced upticks/downticks, as well as high internet downticking.  Influenza A virus subtype H5N1 depression book marketplace alongside high internet upticking volition grind higher; only non necessarily motion all that far.  Influenza A virus subtype H5N1 high book marketplace alongside high internet upticking ofttimes trends significantly.  Low book markets alongside relatively balanced upticks as well as downticks tend to endure rangy, tedious markets.

As the auction proceeds, nosotros update our views on book as well as internet activity.  We assess who is inwards command as well as to what degree.  We scout critical cost levels that receive got represented by value as well as by auction extremes as well as run into how markets acquit at those points correct here, correct now.

All of that is information readily available to all of us...but entirely if nosotros dare receive got our eyes away from the pictures on our screens as well as stories inwards our heads.

Further Reading:  Creativity as well as Innovation inwards Trading
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Info!! Tracking Buying As Well As Selling Flows Inwards The Market

The inwards a higher house depicts trading inwards SPY during New York hours  on 9/1/16.  SPY is plotted inwards blue.  The ruby delineate of piece of occupation represents 1-minute closing values for the USA TICK, which captures cyberspace upticks versus downticks for all listed stocks.  When buyers are dominant across all stocks, nosotros run across cyberspace upticking.  When sellers dominate, nosotros run across cyberspace downticking.  Readings nearly aught stand upwards for a relative remainder amidst buyers in addition to sellers.

As the twenty-four hours moves forward, nosotros tin hand notice enquire meaningful questions:

*  Is at that spot a important total of buying or selling coming into the market?
*  Is the relative distribution betwixt buyers in addition to sellers shifting inwards a detail direction?
*  Is the buying or selling activity able to meaningfully movement prices inwards the index?
*  Cumulatively, over time, is the marketplace position trending toward buying or selling or is at that spot relative balance?

As yous tin hand notice see, equally the twenty-four hours unfolds, nosotros tin hand notice update our views in addition to position patterns equally they emerge.

If nosotros add together to USA TICK an overlay of other measures, nosotros tin hand notice enquire farther questions:

*  Is the buying/selling inwards stocks benefiting roughly sectors to a greater extent than than others?
*  Is the buying/selling for large cap stocks (DJ TICK) confirmed past times broader buying/selling across stocks?
*  Is the buying/selling inwards stocks accompanied past times significant expansion of volume?
*  At which cost levels does buying/selling in addition to book expand vs. dry out up?
*  Does a tidings item or information unloosen Pb to a important shift inwards book in addition to buying/selling?
*  Can nosotros aggregate these shorter-term measures to crystallize a longer-term marketplace position view?

Notice the psychological in addition to cognitive qualities needed to merchandise this sort of information:

*  Open-mindedness, to permit marketplace position patterns unfold inwards their ain fourth dimension in addition to inwards their ain way;
*  Flexibility, to update marketplace position views equally flows shift;
*  Quick processing, to run across patterns unfold on curt fourth dimension frames;
*  Tolerance for ambiguity, to hang inwards when patterns are unclear or inwards transition;
*  Parallel processing, to run across patterns unfold across multiple marketplace position measures;
*  Decisiveness, to human activity on short-term patterns at expert cost levels
*  Creativity, to run across novel patterns amidst dissimilar data
*  Persistence, to collect in addition to written report the inwards a higher house information over a menses of years

At the cease of the day, the marketplace position is an auction process.  The best short-term trading exploits information that captures the ongoing activity of buyers in addition to sellers, leveraging our psychological in addition to cognitive strengths.  Many trading failures occur, non because of a lack of those strengths, merely because traders are processing the incorrect information, blinding themselves to what is happening at the auction.

Further Reading:  The Three Most Important Questions Facing Traders
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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 October 19Th

Last week's indicator review institute that nosotros were seeing toll forcefulness inwards the major indexes, but signs of non-confirmations amid several indicators. This past times calendar week registered fresh toll highs, keeping most sectors inwards a bullish trending mode. Still, nosotros continued to come across non-confirmations amid the indicators. The Cumulative Demand/Supply Index (top chart) continues to register lower highs, indicating a loss of upside momentum.

We likewise are seeing fewer novel 20-day highs minus lows amid NYSE, NASDAQ, together with ASE stocks (middle chart), relative to the September levels. Similar readings are evident amid the 65-day novel high/low data. All of this suggests that participation to the upside has been to a greater extent than selective over time.

The advance/decline business information pigment a to a greater extent than mixed picture. We did register novel highs inwards the large cap indexes, including the A/D lines specific to the S&P 500 Index, the NASDAQ 100 Index, together with fifty-fifty NYSE mutual stocks. As the helpful nautical chart from Decision Point indicates (bottom), however, nosotros accept non seen similar novel highs inwards the A/D business specific to S&P 600 minor cap issues.

I proceed to stance this every bit a bull market. Note, for example, how pullbacks inwards the Cumulative DSI accept occurred at successively higher toll lows. Still, the indicators advise that nosotros may accept registered a momentum high inwards September, alongside recent toll highs coming on lower volume, lower momentum, together with reduced participation. If that is the case, I would await farther corrective activeness prior to whatsoever fresh bull leg.

I volition live on tracking marketplace momentum, trending, together with forcefulness each morn prior to the opened upwardly via Twitter. You tin follow the simply about recent 5 tweets on the weblog page nether "Twitter Trader" or you lot tin follow the stream of tweets (and subscribe gratis of accuse via RSS) past times going to my Twitter page.
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