Saturday, May 30, 2009

End of Day Review 05/29/09

Interesting finish to the end of May. Financials and Technology were providing strength to the market in the last hour of trading. The 0930 ET Open and Yesterday's high were trying to provide resistance in the last hour, but at 1545 ET, this resistance became support. In addition, the S&P 500 Index remained above the yearly open all day and finished above that level for the month for the first time since 2007.

Friday, May 29, 2009

Morning Review 05/29/09

The market didn't give us any good divergences to trade, which is what I like to see occur. The two things that we have today to fade tests of yesterday's high is that the market has a good statistical probability of being a down day (see previous post), and the $TICK has not been able to make a higher pivot high than yesterday's high. As a fact, the $TICK has not been able to make a high higher than yesterday's pivot high in the last 30 minutes of trading.

PreMarket Observations 05/29/09

Wednesday the (Today's Close - Yesterday's Close) difference was just below the -0.5 Standard Deviation, and just below the 0.5 Standard Deviation on Thursday. In the past 3 years, the day following this scenario has closed below the previous day's close 60% of the time. The average of all data is -5.25 points. The average of bearish days is -17.25 points, and the average of bullish days is +13 points.

Much will depend on the Economic Reports:
  • GDP 0830 ET
  • PMI 0945 ET
  • Consumer Sentiment 0955 ET

The market is currently testing the secondary, down sloping line.


Thursday, May 28, 2009

End of Day Review 05/28/09

From a psychological perspective, I rarely feel comfortable fading the market at "A" in the above chart. All indicators are green, and I'm not sure what the market is going to do going into the bond market close. I feel more comfortable fading the move at "B", since the market has made a lower pivot low. However, the indicators are still green, but it is not uncommon for the market to reverse after 1500 ET. I like the fade at "C", since the market has been bouncing off the 901.50 area all afternoon, and the indicators are still green. I feel more comfortable with that fade than the others.

What will the market do next?

Morning Review 05/28/09

Even with the bullish $TICK divergence and the fact that the market was near a multi-day support area, I did not think that the market would trade past its VWAP line, but it did. The Pivot Line and 0930 ET open price are now resistance, and perhaps the VWAP Line is support.
Indicators are turning green again.

First Hour Market Structure 05/28/09


Wednesday, May 27, 2009

End of Day Review 05/27/09

Probably as good as it gets. All indicators red, bond market has just closed, market is testing the Pivot Line which is just shy of the 50% correction of the afternoon down trend wave, and a bearish $TICK divergence of a retest of the Pivot Line. The market then continues the down trend.

Morning Review 05/27/09

The Indicators are suggesting a split and range bound market, which is typical following a wide range day like yesterday.

Using $TICK momentum changes is a good tool for scalping trades in a range bound market. The Blue line is simply the 1 - Period SMA of (H+L+C) / 3 for each $TICK bar. The vertical lines show times when the futures were testing lows and highs while the $TICK blue line was showing a possible reversal in momentum. Fading these tests were profitable scalp trades.

PreMarket Observations 05/27/09

We are back to testing the resistance area between 920 and 915.
Following two days where the (Today's Close - Yesterday's Close Day Session Difference) was below zero then increased to between the +1 and +0.5 Standard Deviations produces a day that has a 51% chance of closing below the previous day's close, and 49% chance of closing even or positive relative to the previous day's close. On positive days, the market closed up an average +11.75 points, and on negative days, closed down an average -15.5 points. The average of all data is -2.25 points.

Tuesday, May 26, 2009

First Hour Review 05/26/09

After a bearish gap opening, the market traded up to the Pivot Line, which is normal 70% of the time. However, the market then traded past Friday's High as a result of a huge increase in Consumer Confidence. Friday's High is now support.

Some PreMarket Bearish Indications 05/26/09

So far, the market is staying above the 872 - 875 area. However, the series of decending triangles is bearish. The market is now trading just below the small support area created last Thursday, which is now a resistance area. If the market closes below 872, it will probably test 833.

Sunday, May 24, 2009

Using TradeStation Data in Excel

Above is the TradeStation Window that I like to down load data into Excel. This will give you Date, Time, Open, High, Low, Close, Volume, Open Interest, Today's Close - Yesterday's Close Difference with the Standard Deviations, High - Open Difference and Open - Low Difference.

You can get the above window by clicking in the Tool Bar "View" and then "Data Window" and then clicking the "Show All" icon. Then save the window as a text file on your hard drive.

In Excel, you can down load the text file into the spreadsheet by clicking in the Tool Bar, "Data", "Get External Data" and "Import Text File". You then have to go through 3 Steps (see the 3 windows above) to down load the data.

Above is the result spreadsheet.
The TCYC column is the data "Today's Close - Yesterday's Close" from the TradeStation Window. Friday we had a situation where this difference kept decreasing for three days straight with the fourth day (Friday) being an increase in this difference but still below zero. So to find similar situations in the last three years and determine what the next day statistically looks like, I wrote the conditional statement that is shown in the above window in Column R.
Basically, the Conditional Statement reads, If(Condition is True, Do This, Else Leave Cell Blank). So if the TCYC Column decreases in value for three days, and the value on the fourth day increases but is still less than zero, type in the TCYC value for day Five else leave blank.

I'm still using a version of Excel that is older than the 2007 version. The 2007 version ignores blank cells, but older versions do not. So I have to accumulate the results without the blank cells before I can calculate the Average, Median and so on.
The results above show that the above situation has occurred 9 times in the past 3 years. 67% of those times, the next day closed even or higher than the previous day on average of 2.25 points.
Actually, the average for bullish days is 8.5 points and -7.25 points for bearish days.

Saturday, May 23, 2009

Review of Friday Afternoon's Market 05/23/09

Even though I did not follow the market Friday afternoon, it is a good idea to look back and examine possible trading ideas.
Starting around 1515 ET, the ES Futures made a new high. The only related market that was confirming the new high was the Technology Sector. Everything else was not confirming the new high, and the VIX was decisively bearish. We then got a classic 3-Wave reversal with a 50% correction and good market symmetry.

Friday, May 22, 2009

Morning Review 05/22/09

Something that I am playing with on the 620 tick chart. The blue line is the VWAP Line that starts at the overnight high, and the yellow line is the VWAP Line that starts at the overnight low.
Starting the holiday early today. Have some yard work to complete. Have a nice holiday everyone.

Thursday, May 21, 2009

End of Day Review 05/21/09

Close of the Bond Market and a $TICK divergence signaled the market to trade back to its VWAP line in the last hour of trading. The remainder of May is statistically bullish. US markets will be closed Monday.

Morning Review 05/21/09

After the 0930 ET open, Financials was showing strength relative to the rest of the market. This increased my confidence that the market may bounce to the upside, and maybe test yesterday's low or 5-minute Pivot Line. However, the market could only test the overnight, low pivot, and the VWAP Line on the 620 tick chart which starts at midnight ET. Currently, the first hour low is now resistance.

Wednesday, May 20, 2009

End of Day Review 05/20/09

All indicators remained in the Red all afternoon. The market kept testing the 50% correction and Pivot Line until the Bond Market closed, which then led to the continuation of the downtren.

Lunch Time Review 05/20/09

Everything turned Red at 1110 ET. VWAP is now resistance and the market is now below its Pivot Line.

First Hour Review 05/20/09

If there is one fly in the ointment in this bullish market, it is that the Financials are refusing to make a higher high along with the rest of the market. So far, however, it is not holding back the market much.

Tuesday, May 19, 2009

End of Day Review 05/19/09

In the afternoon session as the market was making new highs, the $TICK momentum was decreasing, and the Financials was showing weakness. In the end, the sellers had the upper hand.

Morning Review 05/19/09

At around 1020 ET, all indicators turned Green as the market was testing the VWAP Line on the bullish side. Also, so far, the market is staying above the yearly open.
The expectation is that we will have a more narrow ranged market today relative to yesterday.

PreMarket Thoughts 05/19/09

The market is currently above yesterday's High of 908.75, which is an intraday support / resistance point. Sixty Percent of the time during the last two years, the day following a day like yesterday, where the (Today's - Yesterday's Close) difference fell between the +1.0 and +0.5 Standard Deviation range and the (Open-Low) difference was less than 3, close below the previous day's close.
The probability of a negative close increases if the market trades below 908.75 with related markets showing a bearish tendency.

Monday, May 18, 2009

End of Day Review 05/18/09

It is a good idea to keep track of when the market tends to make major moves.

Morning Review 05/18/09

Not only was the market not able to close the gap, but it could not quite correct back to the Pivot Line. Just too much demand relative to supply. At 1005 ET, both Energy and Financials along with the 5-minute $TICK were in the Green. Everything turned Green at 1025 ET. Once the market traded above the VWAP after 1021 ET, the VWAP Line became support. Resistance was then Friday's high at 895.50, which has now become support as of this writing. However, going into the European close, we are starting to see a decreasing $TICK momentum.

Sunday, May 17, 2009

A Case For The Bulls

In addition to the Financials making a higher low on Friday, the NASDAQ and Russell 2000 Futures also made a higher low. And, the moving averages of the $TICK and Friday's ES VWAP Line also made higher lows Friday. Selling momentum may be weakening short-term.

PreMarket Monday OutLook 05/17/09

The situation where the difference between the Close and the Previous Day's Close for the Day Session staying between +0.25 and -0.25 Standard Deviations for two days straight has occurred just 10 times in the past two years.

The data in the chart above shows what has happened the following day after the statistical situation described previously. 60% of the time, the market closed below the previous day's close. Also 60% of the time, the Range was below 20 points with the median being 19, the distance between the High - Open and the Open - Low was below 10 points.

The market is still staying above the 872 level, which is a long term support level and near May's open price.

On Friday, both the ES and Energy markets made a new two-day low, but the Financials did not. If the Financials remain strong relative to the broader market and Energy remains weak, Monday's market may prove to be slightly negative, but may not go very far, unless the 872 support level is broken on high volume.