A few key points about Friday's market:
- The $TICK's short-term average (20-Period EMA) stayed above the 38-Period EMS almost all day indicating more buying than selling pressure.
- Had two nice $TICK divergences at 1055 ET and 1400 ET on tests of low pivots.
- The market stayed within yesterday's range, but in the upper half of that range.
I'm looking at something new for the VIX and NYSE Advance - Decline Line indicators. I always hated putting moving averages on these indicators because they tend to gap a lot from one day to the next, and it takes a normal moving average a long time to filter out the previous day's data.
In the charts above, I am using a 5-minute version of the MIDAS average developed by Paul Levine. Basically, the first bar uses a 1-period average, the second bar uses a 2-period average, the third bar uses a 3-period average and so on until the end of the day. I think that this is a much better average to use for these indicators.
Charles
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