Trading Notes: Calendar Week Of September 21St

Friday, September 25th

*  Once ane time to a greater extent than nosotros saw an expansion of stocks registering fresh lows on Thursday, every bit early on selling dominated.  We saw 300 stocks across all exchanges brand fresh 52-week lows, the highest break since August 24th.  Buyers became to a greater extent than aggressive into the early on weakness together with nosotros unopen good off the day’s lows.  We’ve since rallied sharply overnight, consistent amongst the breadth enquiry together with model forecasts reported on Midweek together with Thursday.  My models remain moderately bullish over a 3-5 twenty-four hours horizon.  This volition guide maintain me buying oversold weakness that occurs at successively higher cost lows every bit a full general game plan.

*  I’ve mentioned inwards the yesteryear that I similar to rail markets inwards lawsuit time, rather than inwards chronological fourth dimension units.  Below is a nautical chart where each information signal for the ES futures represents 250 cost changes.  This agency that nosotros depict to a greater extent than “bars” when markets are busy together with volatile together with fewer when they are quiet.  This 50-bar charge per unit of measurement of alter stair out has been a useful approximate of overbought together with oversold weather condition per the game excogitation mentioned above.

*  I volition locomote posting thoughts together with ideas coming out of the weekend Traders4ACause lawsuit tomorrow together with Sunday.  My speak volition bargain amongst research-grounded best practices for traders.

Thursday, September 24th

I’ll locomote bringing a one-page best practise to the Traders4ACause conference this weekend together with exchanging amongst others who pick out to write upwardly a useful trading strategy.  Great way to leverage usual learning.  My practise volition locomote an intermediate-term overbought/oversold indicator that captures both momentum together with value effects inwards SPX.

*  We saw an expansion of novel lows yesterday together with ane time to a greater extent than selling of bounces worked good intraday together with ane time to a greater extent than nosotros stayed to a higher house overnight lows.  I popular off on to exhibit us short-term oversold simply intermediate term a flake overbought; my models are modestly bullish over a side yesteryear side iii twenty-four hours horizon.  My intraday leaning is to purchase dips that concord to a higher house overnight lows, simply together with then far I guide maintain been less than inspired yesteryear the buying pull we’ve seen coming out of marketplace position selling.  A reduction inwards selling pull per unit of measurement area is rattling dissimilar from an influx of buying: something I’ll locomote watching going forrad via NYSE TICK.

Wednesday, September 23rd

*  Once again, selling bounces worked good for much of the session on Tuesday every bit the turn down continued.  We did meet reduced selling together with increased buying belatedly inwards the session, simply withal unopen amongst fewer than 10% of SPX stocks to a higher house their iii together with five-day moving averages.  When we’ve been inwards a moderate volatility government going dorsum to 2006 (N = 44), we’ve had 33 occasions up, xi downwards for an average four-day SPX gain of +.83%.  Although nosotros had weakness next the PMI break out of China, the marketplace position has since recovered together with I would non locomote surprised to meet farther bounce from the short-term oversold condition.

*  I popular off on to honor it useful to rail the frequency of occasions inwards which NYSE TICK exceeds +800 together with falls below -800.  It’s been a practiced approximate of whether buyers or sellers guide maintain been predominantly inwards command together with shifts inwards the distribution of those occasions has been helpful inwards identifying shifts from buying to selling together with vice versa.

Tuesday, September 22nd

*  Selling bounces that failed below the Fri twenty-four hours session highs ended upwardly beingness a practiced strategy inwards yesterday’s trade, though nosotros were able to concord to a higher house overnight lows together with bounced strongly at the destination of the session.  Action remains consistent amongst the thesis outlined yesterday that nosotros position inwards an intermediate-term high amongst the Fed announcement.  My models are modestly bearish, overnight activity inwards Europe has taken out those prior lows, together with my intermediate-term measures popular off on overbought (see below).  We’re short-term oversold at present, together with then my game excogitation is to sell short-term overbought levels that neglect below today’s overnight highs.

*  The intermediate-term pull stair out takes a 10-day moving average of the percentages of SPX stocks making 5, 20, together with 100-day highs minus lows.  (Data from the splendid Index Indicators site).  I to a greater extent than ofttimes than non similar to locomote selling when novel highs guide maintain been elevated simply are straightaway waning together with buying when novel lows guide maintain been elevated together with are straightaway drying up.

*  The measures of put/call activity that I follow, for all indexes together with for all private stocks, are on the depression side.  I’m non seeing detail signs of bearishness on those measures, which has to a greater extent than ofttimes than non yielded subnormal returns over the close term. 

Monday, September 21st

Understanding how nosotros best procedure information takes us a long way toward finding our edges inwards markets.  Most traders create non clearly empathise together with depict upon their signature cognitive strengths, inwards my experience.

*  We hitting a buying crescendo later the Fed announcement, amongst NYSE TICK hitting multiple extreme positive readings.  What was pregnant was the rigid selling pull per unit of measurement area attracted yesteryear those higher prices, taking us lower belatedly Th afternoon together with pretty much all twenty-four hours Friday.  Fri saw 334 stocks across all exchanges register fresh monthly lows, highest inwards over a week.  My intermediate-term indicators remain elevated, together with I’m operating on the premise that nosotros position inwards an intermediate high amongst that Fed buying.  The character of the buying attracted to the short-term oversold status volition say a lot close where nosotros acquire from here; my game excogitation is to sell bounces that neglect to accept out the twenty-four hours session highs from Friday.  I guide maintain ane model neutral to slightly weak together with roughly other that is modestly bullish for the 3-5 twenty-four hours horizon.

*  Below nosotros tin flame meet a nautical chart of buying vs. selling residuum since June; the information are derived from NYSE TICK.  The five-day moving average of this residuum has been a useful short-term overbought/oversold measure.  Since 2012, when it’s been to a higher house zero, the side yesteryear side 4 days inwards SPY guide maintain averaged a gain of +.09%; when it’s been below zero, the side yesteryear side 4 days guide maintain averaged a gain of +.36%.  When the five-day average of buying pull per unit of measurement area has been high, the side yesteryear side 4 days inwards SPY guide maintain averaged a gain of +.33%.  When buying has been inwards its lowest one-half of its distribution, the side yesteryear side 4 days inwards SPY guide maintain averaged a gain of +.03%.  When the five-day average of selling pull per unit of measurement area has been low-cal (little selling pressure), the side yesteryear side 4 days inwards SPY guide maintain averaged a loss of -.07%.  When the selling pull per unit of measurement area has been heavy (top one-half of distribution), the side yesteryear side 4 days inwards SPY guide maintain averaged a gain of +.44%.

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