ES and $TICK Relationship

Here is an interesting chart. It is a 30 minute chart of the ES Futures and $TICK Pivot, which is calculated by taking the highest high of the last 13 bars plus the lowest low of the last 13 bars plus the current close all divided by 3. The number 13 was chosen since there are 13 bars per day on a 30 minute chart.

Notice that on mornings when the futures is making a higher high from the previous day, but the $TICK Pivot is making a lower high, the midday to afternoon session is weak. When the futures in the morning is making a lower low than the previous day, but the $TICK Pivot is making a higher low, the midday to afternoon session is strong.

Yesterday was a clear example. The futures by midday was making a higher high of the last three days, but the $TICK Pivot was downtrending. We then saw a good downtrend in the futures in the afternoon.


Charles