Trading the ES (E mini S&P) November 2003

[china white]

and of coz Tick and pivot were right and me plonker was too impatient, if not wrong....

 

[stoploss please]

Tick

CW

This is how I read it

 

[china white]

spx and comp into 40 ema sups - this shud've been the earliest point to contemplate covering S @ 52 worst. latest - re-test of lower pivot @ 13:00 on pos divs btwn indices on a PROPER tick + sequence (if that happens of coz)

 

[stoploss please]

There was also climatic volume on a hanging man at the pivot so there was a lot going for your short. I suppose some times there is too much to look at.

 

[china white]

Stoploss - luvd yr comment on SB companies!

 

[sandpiper]

Stoploss,

In relation to the indexarb buy/sell program levels. See how the sell program level was hit by PREM at 10:30. So cash (basket of stocks) was sold and futures were bought. Exactly the reverse happended at 11:23, i.e. Buy cash / Sell futures (though not as important since it was only the threshold level that was hit).

Saw, the hanging man at R1 zone alright. Wasn't looking at the volume though.

PREM not giving too muach away at the moment. The fact that the futures are mainly trading above fair value on this little up move doesn't inspire me with confidence.

 

[china white]

of coz can go either way - but it seems fading upper pivot again will be on the cards at next time pivot. watching tick for hints as a hawk

 

[stoploss please]

Tick 13.10EST

Weaker MACDs across the board and LHS on ES, BIX and SOX,

Waiting for Tick/ES set up.

 

[china white]

25-11

alr8 boyz have to shut the shop early.

not much to report:

L @1050 fading lower pivot on an "almost" tick + div on pos div btwn indices

Rev to S @1054 fading upper pivot on a Tick - div.

Cover @1053 - pathetic exit.

 

[china white]

good time to stay away

good I had to do some other stuff and missed this mess :cheesy:

tricky point at 14:50ish NY time. Macd of Tick neg div (flat tops on macd) followed by Tick neg div (flat tops on Tick) in favour of S - vs. upper pivot res/sup resolution on weak pos divs across indices. I'd personally stay away from it if I traded at that time.

Came back about right in time to pick up S @ 1057. Screaming Tick neg divs on weakened market internals Covered a sec ago @ 53.50 on obvious Tick pos divs into the close.

 

[stoploss please]

My turn

Hi China

Today was a bit crappy, right?? On the attached, I have identified five possible trades. I have tried to follow your set up

Longs
Positive MACD Tick divergence
Falling Tick to pivot
Rising Tick from pivot
Falling ES

Shorts

Negative MACD divergence
Rising Tick to pivot
Falling Tick from pivot
Rising ES

The two trades marked MACD would have been good trades but the MACD criteria was not full filled.

The failed long filled the criteria.

The trade marked ES did not have a rising ES

The trade marked X filled all the criteria and was a good trade

Need more study and a cup of tea and a hob nob.

Andy

 

[stoploss please]

Something different

I am trying to understand the momentum of the tick. On the below chart, I have hidden the tick bars and just kepted the two minute ema.

The morning up trend thst topped out at 11EST is represented by the ema as a converging triangle. The LHs are telling me that the up trend is due for a breather but the HLs are a warning that the change of trend may not happen.

At (A), we had a break of the lower trend line and then a LH beneath the broken line. The ES did end up lower but the ema failed to break the zero line. The ema then channelled into a series of HLs and HHs and created another converging triangle.

At (B), the ema broken the upper line. This coincided with the strong push up at 13.50 EST.

What happen after that was really interesting. The ES was rising strongly but the ema broke down, whipped about a bit and then made a double top at (C). That the ES gave back its gains was probably not surprising.

 

[stoploss please]

25/11 ES

Todays chart is dominated by a few things. This large triangle pattern. Support at yesterdays high and ping pong between R1, R2. Volume gave some nice clues but MACD was not consistent.

 

[sandpiper]

Stoploss,

Excellent piece of analysis (imo).

Only additional observations from my perspective were:

1) TICK breakdown at 10:10 found support at -300 (alright -400 then... ). This was also TICK LOD for yesterday. This LOD from yesterday was tested again at 11:55.

2) Generally, whole days TICK wasn't particularly supportive of shorts. There was no sustained development below -300. Equally TIC from 11:30 - 13:30 wasn't particularly supportive of longs either being between 0 and +300 for a great deal of that time(especially when PREM gives you the impression that every move up is led by the futures).

3) The move at 14:30 caught me by surprise as I thought TICK had had a bit of a climactic move around 14:06. Anyway, that 14:30 move started in the cash but then the futures took it up further.

3) In contrast, the move down from 15:29 looked to be led by the cash the whole way. PREM hit the threshold buy program level at 14:58 and then again at 15:29.

I saw nothing in the TICK to get me short at 15:30 'ish. Reversals after 15:30 aren't very common either. However, PREM level (as already mentioned) and NQ failing to hold a new session high were enough to support a short on ES price pattern when it broke 1055.75. A bit more conservative than China's short at 57, but then I just can't take the excitement like I used to be able to..... .

 

[stoploss please]

Sandpiper

Thanks for coming back on my analysis. I was a bit surprised that you mentioned that you looked at yesterdays LOD. I would have thought what happened yesterday on the tick would not have any bearing today and it was purely of use as an intra day tool.

Back too these buy and sell programmes. Unless you are really a nimble dude or the difference between the emini and the cash is so really large, I am not sure how someone like me, with limited IT resources could take advantage of this, Would you not need some sort of programme that looks at the indecis continuously and spits out automated orders as soon as a window opens.

Still looking at the Prem chart but finding it hard going. What I need to do at some stage is go through this thread to extract the juicy bits and put them into some sort of order. There is actually a great deal of info here.

Speak to you tomorrow
Nite nite for now
Andy

 

[stoploss please]

Sandpiper

Just on more post before bed time. My Tick readings are really different from yours. Is that because of Mycap.

Cheers
Andy

 

[sandpiper]

Stoploss,

Yeah, I'm not entrely convinced about the TICK on mycrap tbh. But the way I view it as an area chart, it's not hugely significant. I am getting some crap readings on the prem though 'cos mycraps SPX data is pants a lot of the time (just several of the many reasons for ditching mycrap at the end of the month).

Yeah, I thought you'd be surprised by the TICK LOD from yesterday... . China will slate me for that one as well 'cos he waits for the first 50 mins or so just so his MACD is representative of today only (or at least I think he does) which seems entirely reasonable. Again, the way I look at it it's not about the LOD as a specific level, it's about being able to frame todays TICK action in the contect of yesterdays action.

I find it's an interesting exercise (and I'm not suggesting it's of any practical value trading wise) to look at the pivot of TICK (H+L+C/3) (at it's most basic level the pivot represents the balance point of the previous days action). Does this balance point stay static? is it always zero? Does it suggest one days TICK action was stronger or indeed weaker than a previous days?. For that matter, is the closing value of TICK significant?

Looking at the past few days I see that last Thursdays TICK "balance point" was weaker than Wednesday's, Friday's was stronger than Thursday's (interesting one), Monday's was stronger than Friday's (no big surprise there) and today's is marginally weaker than yesterday's, but surprisingly strong considering the small rise on the day.

Many traders suggest that readings of 1200 (either + or -) on succesive days suggest a climax or washout and potential trend change. Why not just 1 day if succesive days's TICK readings are unconnected?

There you go, probably all rubbish. But they say you have to kiss a lot of frogs before you find a prince.

With regard to the buy and sell program levels, hmmm. I think I know where you are coming from. I'm not suggesting that you execute index arbitrage trades or any kind of automated trade at all.

All I'm saying is that be aware when the prem hit's a threshold or an active buy program level the ES price WILL drop as program trades are executed to buy cash and sell futures (and vice versa for sell program levels). If ES price lines up perfectly for a short and you can short when/just before prem hits a buy program level there is a fair chance you've just got the best price you could have got.

The prem chart is hard going. Trouble is, the movements are so small and subtle. I can understand why lots of people don't bother with it.

The main thing that I try and get from it is whether it's the cash or futures that are responsible for a move. I add fair value because it allows for a level of refinement to entries that are identified by other means, i.e. price patterns. I add the buy/sell program levels because I know to expect reversals or retracement in the futures at those levels.

Time for bed said Zebidee,

 

[china white]

Stoploss - just semantics: it is not a 2 min ema, but a 2-bar rather which makes it 10-min

Another matter of semantics perhaps - let me explain how I "fade" first hour pivots. Say, upper pivot. I fade it when I get a tick neg sequence, if it happens within 0.3% = 3.25 pt of pivot - if it's more than 3.25 pts and I hv no neg divs, it's because I missed something and shud've been buying the upper pivot. Therefore if I fade the upper pivot at e.g. 1.25 pts above it, my stoploss (pls! )wud be 3.25-1.25=2 pts above my entry. On trades "unrelated" to pivots my stoploss is 0.3% pct = 3.25 pts.

Sand - I was just lucky to get back to my radars at exactly 1057 by that time neg divs were already screaming S, along with deteriorating across-index internals.

 

[sandpiper]

China,

I'd rather be lucky than good.... .

Fortunately you seem to be both .

 

[jonnyy40]

1.How do you get tick in Mytrack.I'm using it with Sierra charts and it doesn't seem to be one of the studies?2.Stoploss: On yesterday's chart,what are the purple bars a macd of?