Info!! A Micro Hold Off At Moves Inwards The S&P 500 E-Mini Futures (Es) Market

I went dorsum to the inaugural of all of March together with examined one-minute information for the S&P 500 e-mini futures index (ES) to encounter if moves over the adjacent iii minutes of merchandise were affected past times the prior iii minutes NYSE TICK value.

I took a three-minute moving average of TICK to pose periods inwards which in that place was concentrated buying together with selling; the moving average included high, low, together with closing TICK values.

When the iii infinitesimal average TICK was greater than 300, the average high cost of ES over the adjacent iii minutes exceeded the average depression cost past times almost 7 tenths of a tick. When the iii infinitesimal average TICK was less than -500, the average high cost of ES over the adjacent iii minutes exceeded the average depression cost past times almost one-half a tick. When TICK brutal betwixt +300 together with -500, in that place was no divergence inwards cost expectations over the adjacent iii minutes.

These are really minor edges together with would demand exquisite execution capability to exploit. It does seem, however, that essentially all of the market's rally has come upwards when in that place has been either concerted buying or selling. The old has led to brusque term follow through inwards momentum; the latter has led to brusque term reversal.
.