Info!! Tracking The Nyse Tick In Addition To Other Wednesday Thoughts

Tracking the TICK: Several traders accept emailed too asked close slowly ways to rail the distribution of the NYSE TICK, which (as I mentioned yesterday) caught the afternoon rally quite nicely. One elementary method (top chart) is to practise a moving average of the TICK (mine is a ten-period average of five-minute bars) too and then track: a) whether the average is dominantly inward a higher house or below the null (black) line; too b) whether the average is upwardly, downwardly, or non-sloping. We tin forcefulness out encounter how the bluish TICK MA trace of piece of job stayed positive (and upward sloping) for most the afternoon.

Double Bottom?: The Banking Index ($BKX; bottom chart), for all the woes of the fiscal sector, could non brand novel lows during the recent marketplace weakness, creating a overnice double bottom pattern. We're right away rallying really sharply off that bottom. Headlines characteristic scary banking firm news, exactly markets are forward-looking too may travel indicating a flat of stabilization. The primal volition travel the mightiness of approximately of these troubled investment banks too broker/dealers to concord their recent lows.

The Next Bubble? - Check out links from Abnormal Returns, peculiarly re: how the side past times side bubble has to travel large plenty to rescue us from this one. Also banking firm annotation the post on generating superior returns past times pursuing hot anomalies inward markets.

Brief Observation - When people heatedly challenge your views on markets, exactly offering no testify or analytical reasoning to dorsum their arguments, yous know that theirs is a defensive reaction. At approximately flat they know they're wrong, too they're feeling threatened. It's i of the best marketplace tells I've found, which is why I never discourage nasty emails too weblog comments.
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Info!! Trading Notes: Calendar Week Of 8/31/15

Friday, September 4th

*  We showed early on forcefulness yesterday, but book flows were suspiciously weak for much of the morn too failed to confirm the highs of the twenty-four lx minutes menses (see nautical chart below).  Volume flow is a proprietary volume-weighted mensurate of upticks vs. downticks for all stocks traded across all exchanges too tells us whether size is to a greater extent than oftentimes than non leaning to the purchase side or sell side.  Volume weighting the NYSE TICK achieves much of this purpose.  Once nosotros began to come upwards off the highs, nosotros saw a steady reject inward book flows, every bit nosotros chop-chop turned negative on the day.  Tracking such flows is my favorite way of "reading the tape": when the record does non confirm signals from quant models, I desire to quest heed to the tape.  It to a greater extent than oftentimes than non way that something idiosyncratic is moving the market: something models aren't accounting for.

*  We're trading significantly off yesterday's highs too then far this morning, with fresh selling inward premarket.  All of this is consistent with the sentiment of an extended bottoming procedure next a potential momentum depression registered final week.  As mentioned yesterday, during these high volatility periods, the percent of stocks trading inward a higher house their short-term moving averages ends upwards beingness a helpful overbought/oversold gauge.  Yesterday, good over 80% of SPX stocks were inward a higher house their 3-day moving averages.  

*  My full general game excogitation is to sell bounces, peculiarly on tepid book flows, but we're quite short-term oversold here, too then I'm prepared to hold back for a reasonable bounce inward cost and/or time.

Thursday, September 3rd

*  Buying weakness per yesterday's post service worked reasonably good yesterday, though a unopen aspect at NYSE TICK showed a two-way marketplace with active participation from both buyers too sellers.  We hold to endure oversold on intermediate-term measures too nosotros soundless receive got solely a niggling over 20% of SPX stocks trading inward a higher house their five-day moving averages.  My game excogitation remains to purchase weakness that remains inward a higher house the overnight lows.

*  One of the ameliorate decisions I've made inward trading lately has been to plough my models off in 1 lawsuit it became clear that nosotros were trading inward a dissimilar volatility authorities from the 1 that has persisted for much of the final 2 or too then years.  My latest projection is edifice models specific to defined volatility regimes.  Early days, but results aspect promising.  One intriguing finding is distinct short-term hateful reversion effects inward SPY for the electrical flow regime.  For example, when the issue of five-day novel highs minus novel lows for SPX stocks is nix or above, the adjacent 5 days inward SPY receive got averaged a loss of -.12%.  When the five-day novel highs minus lows receive got been below zero, the adjacent 5 days receive got averaged a gain of +.49%.  In general, chasing short-term forcefulness or weakness has non been a winning strategy; higher volatility does non imply greater trending.  (Raw information from the first-class Index Indicators site).

*  I'm concurrently working on the best ways of defining volatility regimes, using realized volatility, implied volatility, too to a greater extent than esoteric measures of vol based on published query inward quant finance.  This strikes me every bit a fruitful expanse of research.  Also on the docket is a Definition of correlation regimes too investigation of how returns may vary every bit a portion of higher too lower correlations alongside stocks.  The destination is to receive got a suite of models built out for a make of regimes, too then that at that topographic point are clear rules for turning off 1 beginning of trading signals too turning on another.  I am non at all convinced that a unmarried model tin accurately capture a high proportion of variance inward forrad returns for stocks, which is or too then other way of maxim that stocks comport differently inward higher too lower volatility too correlation regimes.  Having a laid of models to capture those differences could assist discretionary traders accommodate to their environments to a greater extent than quickly.

Wednesday, September 2nd

*  Many thank you lot to Sean McLaughlin for hosting this podcast on taking your trading to the adjacent level.  I'll endure elaborating many of these ideas too to a greater extent than at the first-class Stocktoberfest gathering.

*  Once again, the selling of bounces has worked good inward trading the ES.  We're at nowadays at an oversold point, however, where I am mindful of the possibility of putting inward a short-term bottom.  Fewer than 1% of SPX stocks are trading inward a higher house their 3-day moving averages too my intermediate-term forcefulness mensurate is rattling oversold.  Although nosotros saw weakness yesterday with 111 novel monthly highs too 431 lows, that is nowhere nigh the weakness final week, when nosotros registered 35 highs too 3553 monthly lows on the large spike down.  My game excogitation is to purchase weakness that holds inward a higher house yesterday's lows too peculiarly that successfully tests yesterday's lows.

*   VIX is over xxx too my pure volatility mensurate is significantly elevated.  I await vol to hold inward the nigh term, which has large implications for sizing of positions too calculations of stops too targets on trades.  The inability to accommodate to changes inward volatility--especially when nosotros receive got high vol of vol--is a major beginning of problems for traders inward the electrical flow market.

Tuesday, September 1st

*  Selling bounces has worked good too we've come upwards off difficult afterward hours, resuming the reject inward the human face upwards of Asia weakness.  Volume flows were bearish all twenty-four lx minutes menses on Tuesday, helping laid upwards the weakness. (Volume flow is a volume-weighted mensurate of upticks vs. downticks for all exchange-listed shares).  The pure volatility mensurate remains elevated, too I hold to anticipate highly volatile trading.  It is non clear to me that nosotros only caput lower inward a similar a shot line; intermediate-term measures are quite oversold.  I receive got been treating each fourth dimension zone every bit a carve upwards day--Asia, Europe, U.S.--and that has been helpful inward framing short-term trades.  There are considerable discontinuities of flows from 1 fourth dimension zone to the next; greater continuity inside each fourth dimension zone.

*  Below is a nautical chart of a elementary five-period charge per unit of measurement of change, where each bar inward the ES futures represents 500 cost changes.  It is 1 tool alongside many that I utilization to frame whether the marketplace is short-term overbought or oversold.  One of my execution rules is to hold back for short-term overbought weather condition to sell too short-term oversold ones to buy.  In volatile markets, that tin relieve a lot of messiness.  Many a proficient sentiment is undermined past times misfortunate entry too instruct out execution.  I'll endure discussing my utilization of such tools inward the Las Vegas conference for Trader4ACause.

*  I hold to scout commodity markets, every bit good every bit Asian stocks, for indications of the economical weakness that is impacting stocks.  This is or too then other expanse inward which monitoring activeness past times fourth dimension zone has been helpful.  I hold to lean toward selling bounces,  but am mindful that we're short-term oversold here, too then am content to hold back for shorts to endure squeezed earlier taking whatever swing positions.

Monday, August 31st

*  We focus on setting goals too tracking our progress toward those goals, but a wealth of show suggests that a procedure focus is much to a greater extent than probable to Pb to positive outcomes.  When nosotros emphasize doing the correct things, nosotros are most apt to create things right.  This is a rattling of import topic, every bit much of the flight-and-fight disruption of information processing too decision-making occurs when we're P/L focused too non genuinely trading focused.

*  My pure volatility mensurate has been percolating higher, too then I'm prepared for a proficient amount of motility inward stocks.  H5N1 slap-up routine is to compare intraday book of SPY with the book at the same fourth dimension of twenty-four lx minutes menses for the past times several sessions.  Because book too volatility correlate highly, the real-time tracking of relative book helps us intelligently justice the probable make for the day.

*  We've come upwards off Friday's highs inward overnight trading, with weakness inward Asia too Europe.  My game excogitation is to sell ES on bounces that neglect to receive got out overnight highs.  I'm non at all certain we're done hearing most EM too mainland People's Republic of China weakness too associated commodity weakness; the sentiment of an effective quantitative tightening raised past times Deutsche Bank final week is 1 worth pondering for implications.

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!! Trading Notes: Calendar Week Of November 30Th

Friday, Dec 4th

*  Well, ECB did halt upwards giving us a surprise together with it was every bit much inwards the tone of the press conference every bit the content of the decision.  My accept is that the fundamental banking concern sent a message that they volition non hold upwards bullied past times markets together with all the commentary on how the banking concern "needs to deliver."  The message from the press conference was that they are delivering the promised monetary stimulus, that this is enough, together with that nosotros should hold upwards patient together with allow it work.  Markets were positioned for to a greater extent than aggressive activeness together with nosotros had quite the selloff inwards the euro together with inwards stocks together with bonds.  We direct hold the payrolls written report this AM together with and then the Fed enters a placidity menses ahead of its meeting.  All inwards all, amongst a moderate ECB together with a Fed poised to hike, in that location isn't a big fundamental banking concern tailwind for stocks.

*  Yesterday I noted the deterioration inwards breadth together with that clearly extended yesterday.  We had 350 stocks across all exchanges register fresh monthly highs against 699 lows.  That was the highest set out of stocks making monthly lows since Nov 16th.  We're extended to the downside on a short-term terra firma amongst fewer than 20% of stocks trading higher upwards their 3, 5, together with 10-day moving averages (raw information from Index Indicators), so a short-term bounce is quite possible.  As the nautical chart of overbought/oversold SPX stocks indicates below, however, nosotros are non yet at an intermediate-term oversold point.  That has me inwards the manner of selling marketplace bounces.

Thursday, December 3rd

*  So far, no keen surprises from ECB; press conference coming up.  I'm non certain there's anything to alter the broader dynamic of depression rates together with weak currency inwards Europe.  If nosotros consider a dovish charge per unit of measurement hike from Fed, 2016 could convey to a greater extent than QE-style merchandise to stocks together with shares amongst yield could honor some support.  It's a subject I'm mulling over for the novel year.

*  That beingness said, yesterday traded quite weak.  Note on the relative book nautical chart of yesterday's merchandise below how the attempted bounce from the early on selling constitute piffling interest.  We bounced overnight, but we're overbought on an intermediate-term basis.  That has me selling bounces that cannot accept out overnight together with prior day's highs.

*  I was struck yesterday past times the fact that nosotros had 54 stocks brand 52-week highs together with 78 register annual lows.  Not impressive breadth.
Wednesday, Dec 2nd

*  From the start of Tuesday's session nosotros could consider fresh buying flows locomote inwards the market, amongst elevated NYSE TICK readings.  This was a clear interruption from recent activeness together with ultimately led the marketplace to novel cost highs for this move.  The set out of stocks closing higher upwards their upper Bollinger Bands hitting their highest grade since Nov 2d together with breadth was corporation (see nautical chart below).  If this is the start of a genuine leg up, nosotros should rest higher upwards the recent trading make together with add together to yesterday's gains.  The reply to tomorrow's ECB activeness may play a purpose inwards that.  Given mostly overbought levels inwards my cycle measures, I'm non wedded to the upside breakout idea, but volition hold upwards watching breadth closely.

*  I maintain to implement the alter inwards my trading inwards which I view the hours inwards Asia, Europe, together with U.S. every bit distinct trading "days".  All positions are opened together with shut inside their "days", so that in that location is no supposition of continuity across fourth dimension zones.  I honor the flows together with cost patterns to hold upwards quite dissimilar from i fourth dimension menses to the next, but create honor consistency inside each zone.  This has helped risk management together with has too helped me locomote to a greater extent than flexible inwards trading ranges.  The emergence of the buying flows early on inwards yesterday's U.S. session was a adept illustration inwards point.

Tuesday, Dec 1st

*  We saw weakness inwards stocks yesterday, followed past times belatedly twenty-four hours strength, only to autumn dorsum into the make inwards overnight trade.  During this extended range, we're seeing overbought levels inwards my cycle measures together with breadth has been waning (see nautical chart below; raw information from the first-class Index Indicators site).  Trading the make (fading short-term overbought/oversold readings) has been what's been making coin so far together with it's been a brand it/take it market.  With all eyes on ECB on Th together with payrolls on Friday, I suspect we'll direct hold plenty of volatility to interruption the range.  As nosotros larn to the upper halt of the recent range, I'm non enamored amongst the risk/reward.  I'm too non inclined to accept big bets ahead of events afterward this week, which mightiness hold upwards the view of other marketplace participants...and that could maintain us inwards the make close term.

*  Here's a study that I've undertaken that I believe volition hold upwards of value inwards 2016 performance.  I'm looking at the trajectory of my winning together with losing trades.  How speedily create the winners plough into winners?  How speedily create losers locomote losers?  If a merchandise is non profitable after X minutes, what is the likelihood it volition hold upwards profitable at all?  If a merchandise is nether H2O after X minutes, what is the likelihood it volition come upwards back?  What is the trajectory of the marketplace after my exits?  Is my entry together with larn out execution providing value?  My initial findings are that losing trades pretty much start out every bit losing trades.  If I don't larn stopped out after a menses of time, the best class of activeness is to add together to the trade.  Winning trades don't ever start every bit winning trades, but frequently start every bit not-losing trades.  In other words, a marketplace may bounce simply about inwards a make earlier going my way.  That does hand opportunities for adding to positions.  Tracking the added value of those added positions is yet some other study I volition hold upwards undertaking.  More on this shortly to come--


Monday, Nov 30th

*  How far tin nosotros accept functioning if nosotros operate amongst real tuned minds together with bodies?  Most of us assume that nosotros direct hold to operate difficult together with operate long hours together with this agency operate must accept a toll on hear together with body.  But if nosotros prioritize hear together with body, mightiness nosotros operate much amend together with smarter?  Might nosotros alive happier together with to a greater extent than fulfilled lives?  Perhaps we're going close evolution together with functioning inwards alone the incorrect way...

*  Stocks bounced off early on lows inwards Friday's partial session, but remained below recent highs.  I maintain to hold upwards underwhelmed past times marketplace breadth so far.  The maximum set out of novel monthly highs registered terminal calendar week was 589 on Wednesday, good below the 953 achieved inwards the get-go calendar week of the month.  We direct hold ECB on Th together with the terminal jobs numbers on Fri earlier the Fed coming together this month.  I volition hold upwards watching closely for bear witness of the recent marketplace line broadening vs. rolling over.  My mensurate of intermediate-term marketplace line has non yet crested for the electrical flow cycle, per the nautical chart below.

 *  High yield bonds maintain to combat per the nautical chart of JNK below.  At some point, I suspect this volition accept forepart together with oculus stage.  It's non a bull marketplace dynamic.