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.
* 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.
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