The previous post showed the distribution of the 10-minute moving average of the NYSE TICK during an uptrend day. Today (above) nosotros saw a really unlike market.
One of the most of import tasks for a daytrader is to identify, equally early on inward the hateful solar daytime equally possible, the probable hateful solar daytime structure. That agency trying to differentiate a probable tendency hateful solar daytime (i.e., ane that volition unopen far from its opened upwards together with close its high or depression for the day) from a non-trending hateful solar daytime (one that trades inside a range). I detect the distribution of the NYSE TICK, which continuously measures the set out of stocks trading on upticks vs. downticks, to hold upwards quite useful inward that regard.
On a candidate tendency day, I desire at to the lowest degree a slice of my working capital missive of the alphabet entering inward the direction of the tendency early on inward the hateful solar daytime together with riding the deed throughout. On shorter-term trades, I volition merchandise close solely inward the direction of the trend, entering on countertrend moves inward TICK.
On a candidate hit day, I desire to hold upwards equally nimble equally possible. Very often I'm buying pullbacks inward TICK together with selling bounces. Not infrequently, we'll run into "support" together with "resistance" levels for the TICK MA on hit days, equally both buying together with selling are relatively contained. That showed upwards today, amongst most bounces together with dips contained inside the hit of +400 to -400. Because I'm non expecting a trending move, I'm quicker to receive got profits on a hit day: buying when the TICK MA goes negative together with selling when it goes positive often provides a proficient short-term trade.
When nosotros run into relatively constrained values--upside together with downside--for the TICK MA during the starting fourth dimension hr of trading, together with when nosotros run into the TICK spending a relatively fifty-fifty sum of fourth dimension higher upwards together with below its naught line, that's when nosotros laid about to recollect of the hateful solar daytime equally a candidate hit day. False breakout moves are mutual on those days. Knowing that nosotros were inward a hit environment, for instance, helped move past times along me from selling the cost lows a fiddling afterward 1 PM CT.
For reference, the 10-minute moving average of TICK shown higher upwards comes from e-Signal data; it is a elementary 10-minute moving average of the one-minute high/low/close values for TICK. The nautical chart is inward Excel, exactly the TICK MA tin hold upwards charted conduct inside e-Signal.
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Showing posts sorted by relevance for query using-short-term-moving-average-of-nyse. Sort by date Show all posts
Showing posts sorted by relevance for query using-short-term-moving-average-of-nyse. Sort by date Show all posts
Wednesday, March 4, 2020
Tuesday, February 18, 2020
Info!! Using Vwap To Stimulate Upward One's Heed The Construction Of The Trading Day
an before post is inwards order: a market's volume-weighted average toll (VWAP) reflects the average toll of transactions through the trading day. Knowing where nosotros are trading during the twenty-four sixty minutes catamenia relative to that day's VWAP is real helpful inwards identifying the variety of twenty-four sixty minutes catamenia that we're in.
Above is a nautical chart of yesterday's S&P 500 e-mini index (blue line) vs. its VWAP (pink line). We opened below the market's previous day's unopen in addition to oscillated or in addition to then VWAP inwards the early on minutes of trade, moving both inwards a higher house in addition to below the market's opening price. Advance-decline breadth was negative, in addition to nosotros saw a moderate negative bias to the NYSE TICK.
Had this been a rigid downtrending day, nosotros would convey seen several things:
1) Price moving away (lower) from its opening level;
2) Influenza A virus subtype H5N1 downtrending VWAP line, every bit novel transactions are occurring at lower toll levels in addition to lower prices are attracting farther selling volume;
3) Price stays below the VWAP line, every bit recent transactions are occurring at lower toll levels than before ones in addition to the lower prices are attracting selling volume.
The fact that nosotros were oscillating or in addition to then the marketplace position opening toll for much of the showtime half-hour of merchandise was an early on indication that this was non shaping upwards every bit a rigid downtrending day.
Indeed, amongst the nine AM CT data, nosotros saw an upside intermission inwards a higher house the opening arrive at on a positive shift inwards NYSE TICK. As a result, nosotros traded inwards a higher house VWAP in addition to VWAP displayed an upward slope. If this were going to move a enterprise uptrend day, nosotros should convey seen a contrary of the 3 weather condition above: toll moving away from its opening degree through the twenty-four sixty minutes catamenia to the upside; an uptrending VWAP line; in addition to toll remaining inwards a higher house VWAP.
By or in addition to then 9:30 AM CT, however, my short-term moving average of TICK turned below zero. Breadth was soundless negative inwards the market, non something we'd hold off inwards a marketplace position that had shifted from a downwards opened upwards to a enterprise uptrend. The marketplace position pulled dorsum toward its VWAP work before over again marching higher into midday on resumed positive TICK. Breadth remained negative, however, in addition to nosotros over again pulled dorsum toward VWAP on negative TICK, before over again moving higher.
There was a bullish directional bias to the twenty-four sixty minutes catamenia from opened upwards to close, every bit nosotros tin come across from the to a greater extent than oftentimes than non upsloping VWAP line. The entire day, however, traded below the prior day's pin (average price) degree on negative breadth. Moreover, the twenty-four sixty minutes catamenia could non sustain merchandise inwards a higher house its VWAP line, oscillating inwards a higher house in addition to below. What that tells us is that nosotros had a relatively weak rally inwards a downtrending market.
As the before VWAP post indicated, VWAP tin move idea of every bit the market's evolving guess of value. In a weak trending or non-trending market, nosotros volition tend to motion away from VWAP to probe trader/investor interest. If that involvement is lacking, nosotros volition tend to gravitate dorsum toward that VWAP value level. In weak trending markets, you lot desire to move fading moves away from VWAP.
Conversely, inwards a rigid trending market, nosotros volition come across rigid or weak breadth becoming to a greater extent than extreme through the day. Price volition rest inwards a higher house or below VWAP; in that location volition move a positive or negative gradient to a Cumulative TICK work (not oscillation of a TICK moving average inwards a higher house in addition to below zero); in addition to the VWAP work itself volition sustain an upward or downward slope. Those are the markets where you lot desire to ride moves higher or lower to R1, R2, R3/S1,S2,S3 toll targets.
What is the grapheme of the twenty-four sixty minutes catamenia you're trading? Where nosotros merchandise relative to the marketplace position opened upwards in addition to relative to the day's VWAP volition render of import clues. At the real least, it volition proceed you lot from assuming trends inwards weak markets in addition to proceed you lot from fading trending ones.
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Above is a nautical chart of yesterday's S&P 500 e-mini index (blue line) vs. its VWAP (pink line). We opened below the market's previous day's unopen in addition to oscillated or in addition to then VWAP inwards the early on minutes of trade, moving both inwards a higher house in addition to below the market's opening price. Advance-decline breadth was negative, in addition to nosotros saw a moderate negative bias to the NYSE TICK.
Had this been a rigid downtrending day, nosotros would convey seen several things:
1) Price moving away (lower) from its opening level;
2) Influenza A virus subtype H5N1 downtrending VWAP line, every bit novel transactions are occurring at lower toll levels in addition to lower prices are attracting farther selling volume;
3) Price stays below the VWAP line, every bit recent transactions are occurring at lower toll levels than before ones in addition to the lower prices are attracting selling volume.
The fact that nosotros were oscillating or in addition to then the marketplace position opening toll for much of the showtime half-hour of merchandise was an early on indication that this was non shaping upwards every bit a rigid downtrending day.
Indeed, amongst the nine AM CT data, nosotros saw an upside intermission inwards a higher house the opening arrive at on a positive shift inwards NYSE TICK. As a result, nosotros traded inwards a higher house VWAP in addition to VWAP displayed an upward slope. If this were going to move a enterprise uptrend day, nosotros should convey seen a contrary of the 3 weather condition above: toll moving away from its opening degree through the twenty-four sixty minutes catamenia to the upside; an uptrending VWAP line; in addition to toll remaining inwards a higher house VWAP.
By or in addition to then 9:30 AM CT, however, my short-term moving average of TICK turned below zero. Breadth was soundless negative inwards the market, non something we'd hold off inwards a marketplace position that had shifted from a downwards opened upwards to a enterprise uptrend. The marketplace position pulled dorsum toward its VWAP work before over again marching higher into midday on resumed positive TICK. Breadth remained negative, however, in addition to nosotros over again pulled dorsum toward VWAP on negative TICK, before over again moving higher.
There was a bullish directional bias to the twenty-four sixty minutes catamenia from opened upwards to close, every bit nosotros tin come across from the to a greater extent than oftentimes than non upsloping VWAP line. The entire day, however, traded below the prior day's pin (average price) degree on negative breadth. Moreover, the twenty-four sixty minutes catamenia could non sustain merchandise inwards a higher house its VWAP line, oscillating inwards a higher house in addition to below. What that tells us is that nosotros had a relatively weak rally inwards a downtrending market.
As the before VWAP post indicated, VWAP tin move idea of every bit the market's evolving guess of value. In a weak trending or non-trending market, nosotros volition tend to motion away from VWAP to probe trader/investor interest. If that involvement is lacking, nosotros volition tend to gravitate dorsum toward that VWAP value level. In weak trending markets, you lot desire to move fading moves away from VWAP.
Conversely, inwards a rigid trending market, nosotros volition come across rigid or weak breadth becoming to a greater extent than extreme through the day. Price volition rest inwards a higher house or below VWAP; in that location volition move a positive or negative gradient to a Cumulative TICK work (not oscillation of a TICK moving average inwards a higher house in addition to below zero); in addition to the VWAP work itself volition sustain an upward or downward slope. Those are the markets where you lot desire to ride moves higher or lower to R1, R2, R3/S1,S2,S3 toll targets.
What is the grapheme of the twenty-four sixty minutes catamenia you're trading? Where nosotros merchandise relative to the marketplace position opened upwards in addition to relative to the day's VWAP volition render of import clues. At the real least, it volition proceed you lot from assuming trends inwards weak markets in addition to proceed you lot from fading trending ones.
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Friday, January 1, 2021
Info!! 4 Indicators I'll Hold Out Tracking Via Twitter
At the asking of several readers, I'll hold upward using morning time Twitter posts to update several marketplace indicators that I bring constitute useful inwards assessing marketplace forcefulness in addition to trend. These volition include:
* New Highs/Lows - I especially similar to come across if nosotros bring expanding or contracting novel highs or lows next a menstruation of marketplace forcefulness or weakness. This frequently signals reversal. Similarly, bursts of novel highs or lows assist confirm breakouts from ranges. The recent pullback inwards novel highs was an fantabulous heads upward for the marketplace weakness this by week.
* % of Stocks Above Moving Average - I similar this equally a longer-term momentum stair out in addition to a agency to assess whether stocks are gaining or losing momentum twenty-four hours over day. When I come across divergences, I'll banknote the % of stocks higher upward their MA for dissimilar indexes, such equally modest caps in addition to NASDAQ issues vs. SPX stocks. This is helpful inwards identifying leading in addition to lagging sectors equally well.
* Demand/Supply - This is my shorter-term proprietary stair out of momentum, tracking the number of stocks closing higher upward vs. below the volatility envelopes surrounding their short-term moving averages. All NYSE, NASDAQ, in addition to ASE issues become into this calculation. Once again, I similar to come across if nosotros larn around momentum twenty-four hours over day. The Cumulative Demand/Supply numbers render fantabulous overbought/oversold readings in addition to bring done a fine chore of tracking intermediate-term highs in addition to lows inwards the by twelvemonth or two.
* Technical Strength - I rail xl S&P 500 stocks that are highly weighted inside viii sectors; at that spot are 5 stocks per sector. The Technical Strength stair out is a quantification of trending demeanour inwards those stocks. I categorize these numbers into uptrends, neutral trends, in addition to downtrends in addition to examine shifts inwards tendency twenty-four hours over day.
In improver to next these indicators on a daily basis, I'll likewise hold upward assembling my commons weekly review of indicators on the weblog over the weekends. This is a larger moving-picture demo persuasion of the markets that guides my basic strategy for the week.
For those interested inwards the daily review of indicators, the concluding 5 Twitter posts look on the weblog homepage. The consummate laid upward of "tweets" tin dismiss hold upward constitute on my Twitter page; gratis subscription via RSS is available at that spot equally well. I'll snuff it on to post service links of of import marketplace themes via Twitter equally good equally occasional marketplace comments in addition to a morning time review of economical reports due out in addition to how overseas markets are trading. Thanks for your continued interest.
* New Highs/Lows - I especially similar to come across if nosotros bring expanding or contracting novel highs or lows next a menstruation of marketplace forcefulness or weakness. This frequently signals reversal. Similarly, bursts of novel highs or lows assist confirm breakouts from ranges. The recent pullback inwards novel highs was an fantabulous heads upward for the marketplace weakness this by week.
* % of Stocks Above Moving Average - I similar this equally a longer-term momentum stair out in addition to a agency to assess whether stocks are gaining or losing momentum twenty-four hours over day. When I come across divergences, I'll banknote the % of stocks higher upward their MA for dissimilar indexes, such equally modest caps in addition to NASDAQ issues vs. SPX stocks. This is helpful inwards identifying leading in addition to lagging sectors equally well.
* Demand/Supply - This is my shorter-term proprietary stair out of momentum, tracking the number of stocks closing higher upward vs. below the volatility envelopes surrounding their short-term moving averages. All NYSE, NASDAQ, in addition to ASE issues become into this calculation. Once again, I similar to come across if nosotros larn around momentum twenty-four hours over day. The Cumulative Demand/Supply numbers render fantabulous overbought/oversold readings in addition to bring done a fine chore of tracking intermediate-term highs in addition to lows inwards the by twelvemonth or two.
* Technical Strength - I rail xl S&P 500 stocks that are highly weighted inside viii sectors; at that spot are 5 stocks per sector. The Technical Strength stair out is a quantification of trending demeanour inwards those stocks. I categorize these numbers into uptrends, neutral trends, in addition to downtrends in addition to examine shifts inwards tendency twenty-four hours over day.
In improver to next these indicators on a daily basis, I'll likewise hold upward assembling my commons weekly review of indicators on the weblog over the weekends. This is a larger moving-picture demo persuasion of the markets that guides my basic strategy for the week.
For those interested inwards the daily review of indicators, the concluding 5 Twitter posts look on the weblog homepage. The consummate laid upward of "tweets" tin dismiss hold upward constitute on my Twitter page; gratis subscription via RSS is available at that spot equally well. I'll snuff it on to post service links of of import marketplace themes via Twitter equally good equally occasional marketplace comments in addition to a morning time review of economical reports due out in addition to how overseas markets are trading. Thanks for your continued interest.
Monday, February 3, 2020
Info!! Using The Daily Distribution Of Tick To Guess Institutional Sentiment
Here's a prissy example of how the distribution of the NYSE TICK tin assistance you lot position whether buyers or sellers are dominant during the solar daytime session. The candlesticks stand upwards for five-minute TICK values through the day; the middle light-green business is the null business (the indicate at which an equal divulge of stocks are trading on upticks vs. downticks); the bluish business is a moving v menses average of the high/low/close values for TICK.
Note that the five-minute average for TICK stays higher upwards the null business for well-nigh the entire trading session, indicating a skew toward buyers (stocks trading on upticks) vs. sellers.
Much of that skew, every bit noted in the day's Twitter comments, was due to the absence of rigid selling pressure. The endure on light-green business at +800 represents roughly i touchstone difference higher upwards the hateful TICK value; the bottom light-green business at -800 represents about i touchstone difference below the mean. Note that nosotros had numerous positive readings higher upwards +800 (significant buying pressure), simply none below -800.
Where I'm finding Twitter most helpful is every bit a heads upwards for marketplace observations that mightiness otherwise sideslip the notice of short-term traders caught upwards inwards the cost activeness of the stocks as well as instruments they are trading. Knowing that institutions were non participating on the downside was useful inwards trading today's market, keeping traders from overstaying their welcome on the curt side. (Subscription to the Twitter feed via RSS available here).
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Friday, May 4, 2018
Info!! Using The Daily Distribution Of Tick To Guess Institutional Sentiment
Here's a prissy example of how the distribution of the NYSE TICK tin assistance you lot position whether buyers or sellers are dominant during the solar daytime session. The candlesticks stand upwards for five-minute TICK values through the day; the middle light-green business is the null business (the indicate at which an equal divulge of stocks are trading on upticks vs. downticks); the bluish business is a moving v menses average of the high/low/close values for TICK.
Note that the five-minute average for TICK stays higher upwards the null business for well-nigh the entire trading session, indicating a skew toward buyers (stocks trading on upticks) vs. sellers.
Much of that skew, every bit noted in the day's Twitter comments, was due to the absence of rigid selling pressure. The endure on light-green business at +800 represents roughly i touchstone difference higher upwards the hateful TICK value; the bottom light-green business at -800 represents about i touchstone difference below the mean. Note that nosotros had numerous positive readings higher upwards +800 (significant buying pressure), simply none below -800.
Where I'm finding Twitter most helpful is every bit a heads upwards for marketplace observations that mightiness otherwise sideslip the notice of short-term traders caught upwards inwards the cost activeness of the stocks as well as instruments they are trading. Knowing that institutions were non participating on the downside was useful inwards trading today's market, keeping traders from overstaying their welcome on the curt side. (Subscription to the Twitter feed via RSS available here).
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Sunday, January 13, 2019
Info!! Trading Notes For The Calendar Week Of April 4, 2016
Friday, Apr 8th
* Insightful postal service on the misery of bull markets from The Reformed Broker. Many traders are temperamentally long vol; the 1 prediction you lot most rarely request heed is 1 for piffling get as well as piffling toll change.
* Going dorsum to 2010, if you lot accept the number of 5-day novel highs minus lows amidst SPX stocks as well as compare those to 20-day novel highs minus lows, you lot teach an interesting view. When that fourth dimension serial is divided into quartiles, nosotros notice that when 5-day novel highs/lows greatly overstep 20-day highs/lows, the side past times side v days inwards SPY average a gain of exactly +.04%. When 20-day novel highs/lows greatly overstep 5-day highs/lows, the side past times side v days receive got averaged a gain of +.39%. (Raw information from Index Indicators). Think of the implications for FOMO trading...
* We reversed Wednesday's strength yesterday, closing amongst 5-day novel highs/lows good below the 20-day level. Less than 20% of SPX shares closed inwards a higher house their 5-day moving averages and, for the origin fourth dimension since this rally began, fewer than 50% of stocks closed inwards a higher house their 20-day averages. My wheel mensurate is at 1 time neutral, every bit nosotros run off the recent potent readings (see below).
* VIX has jumped to inwards a higher house sixteen amongst yesterday's drop. I receive got built a model that predicts a normal VIX grade from 2 variables: recent toll modify as well as recent realized volatility. When VIX is to a greater extent than expensive than the model predicts it should move based on historical precedent, returns receive got been positive; when VIX is to a greater extent than inexpensive than the model predicts, nosotros receive got seen subnormal returns. Th of concluding calendar week through Mon of this week, nosotros hitting inexpensive levels inwards VIX valuation. With yesterday's drop, nosotros are dorsum to beingness expensive inwards VIX pricing. To give an idea, going dorsum to 2012, when VIX has been inwards its most richly priced quartile, the side past times side v days inwards SPY receive got averaged a gain of +.76%. When VIX has been most cheap, the side past times side v days receive got averaged a gain of exactly +.03%. In short, when options participants toll inwards also much vol, nosotros tend to teach higher prices--which implies a hateful reversion inwards vol!
Thursday, Apr 7th
* What would a startup community of traders expression like? Love this postal service from Howard Lindzon, mainly for the entrepreneurial zest I run across missing amidst then many traders as well as trading firms. Amazing what a difference it makes to move surrounded past times innovators who convey vision as well as optimism to the future. I run across precious piffling of that inwards the trading community.
* Stocks flora solid buying yesterday inwards the wake of oversold readings, but receive got pulled dorsum inwards overnight trade. My intermediate-term strength measure, which looks at novel highs versus lows for SPX shares on iii dissimilar fourth dimension frames, continues to run off its extended readings. Many of my cycle-based measures expression similar. We're getting fewer novel highs amidst stocks as well as novel lows receive got ticked higher the concluding 2 sessions. Yesterday, across all listed stocks, at that spot were 467 novel monthly highs as well as 417 novel lows.
* Using information from the Stock Charts site, I rail the number of NYSE stocks giving purchase versus sell signals across multiple technical indicators, such every bit Bollinger Bands, CCI, Parabolic, etc. Here also nosotros run across the waning strength recently. My mensurate of breadth volatility (the volatility of breadth readings) has picked upward lately from depression levels as well as that by as well as large has been associated amongst weak returns.
* Housing (XHB) has been relatively strong. Not then much commodities (DBC). Notice the strength of euro as well as yen versus the U.S.A. dollar (FXE as well as FXY). Hard to believe that is what ECB as well as BOJ desire to move seeing; Federal Reserve annotation the relative weakness of European (VGK) as well as Japanese stocks (EWJ).
Wednesday, Apr 6th
* We can't modify our behaviour unless we're aware of our behaviour patterns. Here's a neat postal service on self-awareness as well as trading from Tradeciety.
* The pullback inwards stocks continued on Tuesday, giving us the origin existent negative breadth reading we've had since the rally launched inwards February. (See nautical chart below). Across all exchanges, 270 stocks made fresh monthly highs as well as 492 registered novel monthly lows. (Data from Barchart). Only close 10% of SPX shares closed inwards a higher house their 3-day moving averages as well as close 15% inwards a higher house their 5-day averages (data from Index Indicators), telling us that the pullback has been broad. VIX has climbed inwards a higher house xv as well as nosotros saw greater seat buying across private shares.
* Yesterday I noted the expansion of purchase signals for stocks on the Stock Spotter site; those signals expanded fifty-fifty farther afterwards yesterday's weakness. This has by as well as large been positive for SPX. Their cyclical model for SPY is also quite bullish, which has backtested well. While I'm viewing this every bit a pullback inwards a bull stage of a wheel as well as await a retest of recent highs, I volition move watching the vigor of whatsoever bounce carefully. Given the breadth of the recent weakness, it would non surprise me if nosotros were to come inwards a to a greater extent than prolonged topping/range period. We should run across pronounced breadth divergences on forwards strength if that scenario were playing out.
* Note the considerable strength inwards high character corporate bonds (LQD). As noted a piffling land back, these are natural candidates for those seeking yield. On the other hand, high yield bonds (JNK) receive got been relative underperformers. This is a defensively minded market, which could also move why U.S.A. shares receive got been outperforming overseas ones (EFA).
Tuesday, Apr 5th
* Excellent postal service on trading strategy as well as tactics from The Crosshairs Trader. Very helpful inwards developing trading plans.
* We've seen a pullback inwards stocks and, amongst Monday's close, at 1 time receive got fewer than 50% of SPX shares closing inwards a higher house their 3- as well as 5-day moving averages. With 831 monthly novel highs as well as 288 novel lows, we're yet non seeing pregnant deterioration inwards the breadth data. Energy stocks receive got been the weakest grouping given the recent crude weakness, but I'm non seeing pregnant weakness amidst whatsoever of the sectors. Financials receive got been relatively apartment of late, then I receive got a unopen oculus on those.
* The realized volatility of VIX has hitting levels that receive got been consistent amongst past times marketplace peaks.
* I noticed that, every bit of yesterday's close, nosotros had an elevated number of purchase signals on the StockSpotter site. I proceed to move impressed amongst their work. Their forecast model for SPY also is bullish. When those 2 factors receive got been introduce since belatedly 2013, when I origin began tracking their numbers, returns v to 10 days out receive got been bullish. Specifically, we've been upward xix times, downward 8 over the side past times side 10 trading sessions for an average gain of +1.17%.
Monday, Apr 4th
* Long-term success, inwards trading as well as inwards life, way sustaining our passions. Here's how nosotros utilisation that.
* We're seeing fresh highs this morn as well as receive got almost exclusively erased the drib from belatedly December. Fri closed amongst 767 novel monthly highs across all exchanges versus 217 lows. Still no pregnant expansion of weakness inwards the upticks/downticks data, every bit nosotros closed Fri at fresh highs. Note that the cumulative upticks/downticks mensurate has vaulted inwards a higher house 2015 levels.
* Among SPX shares, novel 100-day highs outnumbered novel lows past times 127 issues (data from Index Indicators). That is the strongest breadth reading on that mensurate since the rally began inwards February. The concluding fourth dimension nosotros had a reading that potent was belatedly inwards 2014. Note how nosotros receive got stayed overbought inwards the novel high/low mensurate for a considerable period, attesting to the momentum of this rise.
* Note how crude has been moving lower solar daytime afterwards day, fifty-fifty every bit stocks receive got rallied to novel highs. The crude drib is noteworthy, coming on the backdrop of a weaker dollar. High yield corporate debt (JNK) has also failed to brand novel highs inwards the concluding duo of weeks as well as global stocks receive got lagged (EFA). Could it move that weaker makes for stronger? As long every bit we're seeing deflationary forces at work, the Fed is probable to hold a dovish stance.
* Insightful postal service on the misery of bull markets from The Reformed Broker. Many traders are temperamentally long vol; the 1 prediction you lot most rarely request heed is 1 for piffling get as well as piffling toll change.
* Going dorsum to 2010, if you lot accept the number of 5-day novel highs minus lows amidst SPX stocks as well as compare those to 20-day novel highs minus lows, you lot teach an interesting view. When that fourth dimension serial is divided into quartiles, nosotros notice that when 5-day novel highs/lows greatly overstep 20-day highs/lows, the side past times side v days inwards SPY average a gain of exactly +.04%. When 20-day novel highs/lows greatly overstep 5-day highs/lows, the side past times side v days receive got averaged a gain of +.39%. (Raw information from Index Indicators). Think of the implications for FOMO trading...
* We reversed Wednesday's strength yesterday, closing amongst 5-day novel highs/lows good below the 20-day level. Less than 20% of SPX shares closed inwards a higher house their 5-day moving averages and, for the origin fourth dimension since this rally began, fewer than 50% of stocks closed inwards a higher house their 20-day averages. My wheel mensurate is at 1 time neutral, every bit nosotros run off the recent potent readings (see below).
* VIX has jumped to inwards a higher house sixteen amongst yesterday's drop. I receive got built a model that predicts a normal VIX grade from 2 variables: recent toll modify as well as recent realized volatility. When VIX is to a greater extent than expensive than the model predicts it should move based on historical precedent, returns receive got been positive; when VIX is to a greater extent than inexpensive than the model predicts, nosotros receive got seen subnormal returns. Th of concluding calendar week through Mon of this week, nosotros hitting inexpensive levels inwards VIX valuation. With yesterday's drop, nosotros are dorsum to beingness expensive inwards VIX pricing. To give an idea, going dorsum to 2012, when VIX has been inwards its most richly priced quartile, the side past times side v days inwards SPY receive got averaged a gain of +.76%. When VIX has been most cheap, the side past times side v days receive got averaged a gain of exactly +.03%. In short, when options participants toll inwards also much vol, nosotros tend to teach higher prices--which implies a hateful reversion inwards vol!
Thursday, Apr 7th
* What would a startup community of traders expression like? Love this postal service from Howard Lindzon, mainly for the entrepreneurial zest I run across missing amidst then many traders as well as trading firms. Amazing what a difference it makes to move surrounded past times innovators who convey vision as well as optimism to the future. I run across precious piffling of that inwards the trading community.
* Stocks flora solid buying yesterday inwards the wake of oversold readings, but receive got pulled dorsum inwards overnight trade. My intermediate-term strength measure, which looks at novel highs versus lows for SPX shares on iii dissimilar fourth dimension frames, continues to run off its extended readings. Many of my cycle-based measures expression similar. We're getting fewer novel highs amidst stocks as well as novel lows receive got ticked higher the concluding 2 sessions. Yesterday, across all listed stocks, at that spot were 467 novel monthly highs as well as 417 novel lows.
* Using information from the Stock Charts site, I rail the number of NYSE stocks giving purchase versus sell signals across multiple technical indicators, such every bit Bollinger Bands, CCI, Parabolic, etc. Here also nosotros run across the waning strength recently. My mensurate of breadth volatility (the volatility of breadth readings) has picked upward lately from depression levels as well as that by as well as large has been associated amongst weak returns.
* Housing (XHB) has been relatively strong. Not then much commodities (DBC). Notice the strength of euro as well as yen versus the U.S.A. dollar (FXE as well as FXY). Hard to believe that is what ECB as well as BOJ desire to move seeing; Federal Reserve annotation the relative weakness of European (VGK) as well as Japanese stocks (EWJ).
Wednesday, Apr 6th
* We can't modify our behaviour unless we're aware of our behaviour patterns. Here's a neat postal service on self-awareness as well as trading from Tradeciety.
* The pullback inwards stocks continued on Tuesday, giving us the origin existent negative breadth reading we've had since the rally launched inwards February. (See nautical chart below). Across all exchanges, 270 stocks made fresh monthly highs as well as 492 registered novel monthly lows. (Data from Barchart). Only close 10% of SPX shares closed inwards a higher house their 3-day moving averages as well as close 15% inwards a higher house their 5-day averages (data from Index Indicators), telling us that the pullback has been broad. VIX has climbed inwards a higher house xv as well as nosotros saw greater seat buying across private shares.
* Yesterday I noted the expansion of purchase signals for stocks on the Stock Spotter site; those signals expanded fifty-fifty farther afterwards yesterday's weakness. This has by as well as large been positive for SPX. Their cyclical model for SPY is also quite bullish, which has backtested well. While I'm viewing this every bit a pullback inwards a bull stage of a wheel as well as await a retest of recent highs, I volition move watching the vigor of whatsoever bounce carefully. Given the breadth of the recent weakness, it would non surprise me if nosotros were to come inwards a to a greater extent than prolonged topping/range period. We should run across pronounced breadth divergences on forwards strength if that scenario were playing out.
* Note the considerable strength inwards high character corporate bonds (LQD). As noted a piffling land back, these are natural candidates for those seeking yield. On the other hand, high yield bonds (JNK) receive got been relative underperformers. This is a defensively minded market, which could also move why U.S.A. shares receive got been outperforming overseas ones (EFA).
Tuesday, Apr 5th
* Excellent postal service on trading strategy as well as tactics from The Crosshairs Trader. Very helpful inwards developing trading plans.
* We've seen a pullback inwards stocks and, amongst Monday's close, at 1 time receive got fewer than 50% of SPX shares closing inwards a higher house their 3- as well as 5-day moving averages. With 831 monthly novel highs as well as 288 novel lows, we're yet non seeing pregnant deterioration inwards the breadth data. Energy stocks receive got been the weakest grouping given the recent crude weakness, but I'm non seeing pregnant weakness amidst whatsoever of the sectors. Financials receive got been relatively apartment of late, then I receive got a unopen oculus on those.
* The realized volatility of VIX has hitting levels that receive got been consistent amongst past times marketplace peaks.
* I noticed that, every bit of yesterday's close, nosotros had an elevated number of purchase signals on the StockSpotter site. I proceed to move impressed amongst their work. Their forecast model for SPY also is bullish. When those 2 factors receive got been introduce since belatedly 2013, when I origin began tracking their numbers, returns v to 10 days out receive got been bullish. Specifically, we've been upward xix times, downward 8 over the side past times side 10 trading sessions for an average gain of +1.17%.
Monday, Apr 4th
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* We're seeing fresh highs this morn as well as receive got almost exclusively erased the drib from belatedly December. Fri closed amongst 767 novel monthly highs across all exchanges versus 217 lows. Still no pregnant expansion of weakness inwards the upticks/downticks data, every bit nosotros closed Fri at fresh highs. Note that the cumulative upticks/downticks mensurate has vaulted inwards a higher house 2015 levels.
* Among SPX shares, novel 100-day highs outnumbered novel lows past times 127 issues (data from Index Indicators). That is the strongest breadth reading on that mensurate since the rally began inwards February. The concluding fourth dimension nosotros had a reading that potent was belatedly inwards 2014. Note how nosotros receive got stayed overbought inwards the novel high/low mensurate for a considerable period, attesting to the momentum of this rise.
* Note how crude has been moving lower solar daytime afterwards day, fifty-fifty every bit stocks receive got rallied to novel highs. The crude drib is noteworthy, coming on the backdrop of a weaker dollar. High yield corporate debt (JNK) has also failed to brand novel highs inwards the concluding duo of weeks as well as global stocks receive got lagged (EFA). Could it move that weaker makes for stronger? As long every bit we're seeing deflationary forces at work, the Fed is probable to hold a dovish stance.
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