Daily Quantitative Trading Ideas And Analysis

Apr 10, 2018
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#1
Yesterday JPY weakened considerably and the ranges that were anticipated to increase did so measurably. AUD also gained notable strength. Here is a visual image of the current short-term momentum ranking of the majors:


Some of today's observations and ideas include-

17 of the 28 pairs that we follow had daily ranges in excess of 100% of the typical range, there are few remaining to increase in volatility. However, $AUDNZD and $GBPUSD are two pairs that are likely to experience range expansions relatively soon.

$AUDCAD and $USDJPY 3-day ranges are poised to expand soon as well.

$AUDCHF, $AUDJPY, $AUDUSD, $CHFJPY had short-term momentum turn positive while $GBPCAD and $GBPNZD turned negative.

$CADCHF experienced a long-term momentum reversal up while $USDCAD turned negative.

$EURGBP shows tight daily and 3-day pivot ranges, suggesting a decent move is in the works.

$GBPCHF shows the highest momentum in both short-term and long-term momentum. Similarly, $EURCHF is ranked second for both short-term and long-term momentum.

$AUDUSD and $EURUSD have each confirmed a 3-day pivot reversal up while $USDCHF has confirmed a 3-day pivot reversal down.

Have a great day!
 
Apr 10, 2018
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#3
Some highlights from the daily ATI report going into Thursday's trading session-

$AUDCAD is showing a short-term downside momentum extreme and is likely to retrace higher.

$CHFJPY short-term momentum switched to the downside.

While CAD has been the strongest of the 8 majors, it is also showing a short-term extreme high momentum with a caution flag for longs. EUR also switched from short-term downside to upside momentum.

$EURCHF is showing a long-term upside momentum extreme and is likely to retrace lower.

Several currency pairs are due for directional range expansion, including: $AUDCHF, $AUDUSD, $EURJPY, $EURUSD, $EURGBP, $GBPUSD, $NZDUSD and $USDJPY.

We analyze volatility and range using several metrics. Due to the unusually large number of range contractions a screenshot of RRI (Relative Range Index) is included with this post so you can see the significant number of relatively low ranges (highlighted in orange).

Additionally, $AUDCHF had a 3-day pivot reversal to the upside.

Please feel free to ask questions or comment. I would love to hear from you!

Have a great day!
 

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Apr 10, 2018
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#10
Daily Forex Quantitative Trading Ideas And Analysis - 13 April 2018

Some highlights from the daily ATI report going into Friday the 13th -

$EURAUD reversed short-term momentum to the downside along with EUR as the only change among the majors. CHF is showing an extreme level of downside momentum.

$GBPCHF shows an extremely low long-term momentum level as does $EURCHF albeit at a lesser degree.

$AUDUSD and $EURJPY are both showing extremely low daily ranges which are likely to increase relatively soon.

$GBPAUD and $USDJPY are also poised to expand their 3-day ranges.

$USDCAD, $AUDUSD have extremely narrow daily pivot ranges today.

Similarly, $GBPCAD, and $NZDCAD have extremely narrow 3-day pivot ranges today.

Today's short-term momentum heat map with currency ranking including the majors is attached to this post.

Have a great Friday the 13th!
 

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Apr 10, 2018
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#14
$SPY, $ES_F 5-wave reversal pattern

$SPY, $ES_F SP 500 has created a 5-wave reversal pattern. When this happens price tends to gravitate back to the magenta line.
 

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Apr 10, 2018
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#15
Allstate $ALL has a "type 3" Andersen Band Volatility Squeeze - Are you in good hands

Allstate $ALL has a "type 3" Andersen Bands Volatility Squeeze. This is where Bollinger Bands (std deviation), Raschke modified Keltner Channel (ave true range) and Andersen Bands (std error) converge leading to an imminent price breakout. Are you in good hands?
 

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