It's ok but not exactly

* td ES 1330 ET vol 63.2% higher, 1400 ET vol 81.3% higher and 1430 ET vol 61.1% higher relatively to last 50 sessions average
* td ES vol 19.8% lower than 1st sep
* td ES vol 7.7% higher than 50 sessions average
* no rate change – now eye on Pittsburgh

Quotes from today Fed announcement: «Economic activity has picked up», «although economic activity is likely to remain weak for a time».

I do like such rhetoric. But «not so good, as it looks like» bias, more clearly have revealed Wen Jiabao on the Davos economic forum passed few weeks ago. «The foundations of China's economic recovery are not stable, not solidified and unbalanced» – chinese premier said. Why did not Big Ben with his team tell in the same manner?! But enough of that.


Hey sellers! Where have you been for so long? When i do say «so long» I mean since 1st september slump of current sluggish, in response with volume dynamic, month.



Today total volume didn’t exceeded 1st autumn day volume. Still, last half an hour of today 23rd september session have exceeded more than 60% relatively to last 50 session median, plus, the same, 1430 ET volume posted the highest number for that time since i have started tracking each 30 minutes ES volume 63 sessions ago.



As the chart above nicely depicts, on the sharp downside move, volume increase was dramatic. In combine with the fact, that since 1st september downside session, none of the following total sessions volume number didn’t exceeded the first day of the month, bearish sentiment got plus one more point. But again, my final conclusion, is the same as i have posted yesterday, – until nobody cares volume non-confirmation, the room to an upside is open.

Fed announcement session causalities

Expectancy of broken trend day pattern, twisted with Fed announcement, did fully realize at the past rambling 23rd september session. We have started the day with usual internals indicating downside trend day: 1) almost no TICKs above +600; 2) materials & energies were underperforming late in the morning (while those sectors were among the strongest, outperformers, the day before); 3) and ES was below VWAP. The only issue not arguing for downside trend day was ES placing relatively to pivot point or vice versa. Only after first half an hour of the main session, ES finally touched pivot point (PP). In a true downside trend day pattern, ES start the session below PP & soon touching S1 (1st support level). Tell the truth ES dynamic relatively to 50 EMA on one minute chart was also not OK. If it’s a downside trend day, ES never should appear above that moving average.



But i'm just trying to find some similarities in the fed days. Ones again, as i posted yesterday, today i had expected exactly such king of patterns and partly i have faced them.

Back on track, soon light version of downside trend day was broken as following issues, in term of appearance, have showed up: 1) as well as Nasdaq Composite & Russell 2000 futures, ES didn’t post lower low; 2) ES strongly pulled out above 50 EMA on the minute chart and 20 EMA soon did the same; 3) TICK climbed above already +800.



That is it. So even in usual volume dwindling down environment ahead of 215 PM ET Fed announcement, just according to today occurrence, as well as occasions on 24th june & 12th august, it appears, in a Fed days, the market do like to enter trend day and later broken trend day modes.

Buyers left but got it made

* td ES vol 2.2% lower than last 50 sessions average
* td ES vol 27.2% lower than 1st sep vol

As buyers had left the market for a while, one more sluggish session has finished. Volume today was tremendously light, so the market, separately ES (S&P 500 futures) was stroked down to the 3 points range channel with the duration of one of thirds of the past session.



Its total volume was only 2% lower in comparison with an average of the last 50 sessions, but near 1/4 below 1st seprember volume spike level. What have happened? Indeed, market had a numerous of divergences indicating sell signals, on middle-term & long-term charts, topped by other signs calling for hugely overbought conditions. But that’s not to curry out and pay attention on.

We do have majority of internals confirming rally continuation. For weeks, I was attracting your attention on energies & financials non-confirmation as well as not appropriate volume dynamic for bulls plans – mean, again, no confirm. What have happened? Two mentioned sectors above, as well as other 6 key sectors, which I track, did post fresh highs. Volume? OK, that’s the only thing not completely confirming higher highs, but for a while, looks like nobody cares (but still something to keep in mind). We now, in the past sessions have entered in a range trade, as we moved forward upside after breaking volume cluster, I mentioned about few weeks before. Therefore, we do not have any strong resistance levels all the way up to near 1120 points. That level corresponds to be the 50% fibonacci from current year ES low posted on 6th march (666p.) & 11th november of 2007, the highest point ES have ever posted (1587p.). Serious resistance level is near plus 4% from the current level – not so far indeed.

Today’s volume & ranging was head shooting, so do hope to see volatility increase on tomorrows Fed announcement. Still, do remind you, that on the past at least two FOMC meeting sessions, on 24th june as well as 12th august, we always saw broken trend day pattern.

Behind fresh highs

* td ES vol 2.2% higher then ytd
* td ES vol 7.8% lower than 1st sep vol
* meques mrs gave sell signal ytd night at 2200 ET

Buyers have continued pushing to the upside. In the early trading on 17th september ES have posted its fresh high at 1071.25p. First 30 minutes volume was near twice higher relatively to the day before. Still, not enough to make sustainable upside session. Already on the next 30 session minutes, market sharply rejected bulls attempts.



Moreover, as it was also yesterday, volume performance have broken usual mode with gradually shrinking volume close to the middle of the session and the overall smile alike pattern again was ruined. Today, as sellers, starting from 1030 ET, were dumping the market, volume has increased dramatically in comparison with an average of the last 50 sessions. Closing bell ES have met with some 0.3% loss, near 1062-ish area. Total volume have little bit exceeded yesterdays, but still lower than 1st september downside session total volume number.



Elsewhere, finally Meques MRS strategy has given sell signal. As you can see below & i have noted in the yesterdays post, final confirmation should be taken from stoch lines. And today at 400 Zurich time or yestardays night at 2200 ET we got it.



Once again, with the internals, when strategy sell signal is confirmed by at least 2/3 tech indicators in the relative SPY ETF four hour chart, near 90 percent (or in 9 from 10 occasions back from october 2008) of a trades based on signal are profitable. But still do note, that relatively to the current situation, ES can climb on some 10 points higher than the highest signal candle point, according to the statistical average. So the border line is near 1074p on ES chart.

Plus, please note that tomorrow is quadruple witching with four key financial instrument expirations (including stock index futures & options with stock futures & options). So, with the usual volatility increase in such days, we have a chance to exceed 1st september total volume. In that case closing price relatively to open price will be in principal.

Double strike

* td ES vol highest from 1st sep
* td ES vol 9.8% lower than 1st sep
* 6/8 sctrs incl XLF posted fresh yr highs
* no meques mrs sell signal yet

Good for the bulls. Today, 16th september, was second session in a row when sellers early morning attempts to cut some recent profits off the table have failed & on positive morining econ. data we met closing bell at the new 2009 highs.

But what was with volume? I heart on the floor calling it sustainable, but indeed it was not. Yes, todays volume is even higher then yesterdays remarkable number, but there are no talks about double digit percentage points superiority. ES (S&P 500 futures) today have climbed relatively to the day before on some 2.1%. Total NYSE volume today has near the same percentage gain – 1.5%. But do note, that since 1st september slump, that had pushed market for a couple of session back below 1000p on S&P 500, none of the following sessions volume have exceeded 1st autumn session total volume number (see right chart below).



Still todays volume was remarkably unusual. In the normal mode, referring to an average performance due to each 30 minutes volume data, in the middle of the session we always do see volume contraction. Not for today. As oscillating near 1050-1055p on ES have finished with the upside break out, following hour we saw huge volume increase. In comparison with an average of the last 50 sessions volume, on 1030 & 1100 ET when ES have broken key 1055p resistance level, volume have almost doubled.



Final half an hour of the session, when ES was continuing making fresh highs, volume was also impressive. ES never posted such modest volume gain in the last 30 minutes since even 17th august. Indirectly it tells us that in the following days we can see continuation of institutions participating in the new bull market leg.

Upside move today was also finally confirmed by financials. Yesterday i ones again have emphasized that bulls still did have problem with sluggish sector performance. But today was the day of the broad rally & new highs. Fresh highs today have posted almost all key 8 sectors, except health care & cons. staples.



Back to MRS strategy, it still didn’t gave sell signal, cause stoch lines are not crossed yet on ES continuation four hour chart. Do remind you that when stoch value line & signal line crosses that corresponds to be the sell signal with more than 80% chance to win, cause we already do have 2/3 tech indicators on ES four hour chart already confirming the signal.

Bulls are strong, ok?

Сrippled bulls enthusiasm, based on volume data, have vanished off the screen. Todays total ES (S&P 500 E-mini futures) volume have exceeded near 19% relatively with an average total daily volume of the past 50 sessions. Pretty nice, but not enough. Past session on 15th september 09’ total volume number still on some 12% smaller in comparison with 1st september volume, when market had slumped below 1000p. on S&P 500.



In the early trading, todays bears attempt to cut off some of the past sessions gains, have failed & and had resulted in huge bullish volume surge. That volume spike initiated by positive momentum, partly thanks to better than expected morning econ. data, have gave the market a chance to refresh it highs. Offered – done. Fresh ES (if to be correct, ESZ9 Globex e-mini S&P 500 futures) have updated its high and posted 1051.75 points – the highest past session point. So, we did touch strong resistance level (1k plus 50 points) on a very nice volume. But does it means that bulls nothing to worry about?



Have to say, as i did numerous times. In the upside moving we have trouble with finanials. Yep, that’s no more a surprise or something new, but each session, at least past sessions, you can note financial sector, particularly XLF ETF opening with a gap down & in early trading, strongly underperforming the market. Closer to the middle of sessions business got it right, but still not shaping down. Nevertheless, exacerbating sluggishness of financials – a need to keep in a short-term – middle-term trader’s mind.

Still, right after past session closing bell, do declare that energies, particularly, XLE have finally updated its year high. Past high the sector have posted not when majority sectors did – near 25th august versus energies even 11th june. So, my congtars to energies & commodities bulls! Do believe you’ll break above 75$/b.

Continuing financials case, it looks like the old story of four financial folks still is in place. On the last full summer week or august week, as you wish, volume of Citi, AIG, Fannie & Freddie have accounted more than 20% of all NYSE volume. As it was disclosed, one of the indicators named TRIN was unveiled like an indicator showing that financials volume finding.

So in response of current TRIN & XLF performance, plus steadily heavy volumes at least in Citi & AIG stocks, looks like story is continuing. At least according to the past session results C have lost 6% & AIG 8% respectively. Yep, i do know past session stocks price as well as volume performance was based on fundamentals, but internals showing - story still in the game.

Elsewhere, according to Meques MRS strategy, i reveled couple of days before, even at the background of ES touching 1050p. ES continued chart did not presented sell signal i was waiting for. In the same time, based on ESZ9 contract chart only, we did have the sell signal. Story developing.

Non-confirmations continuation

Sluggish session has represented just another fresh highs. Today volume again was too low & one more time did not confirmed market push higher. Total volume on 14th september was 8% lower than an average of last 50 sessions & some 10% lighter than 8 sessions since 1st september, autumn start. Before the bell, 1022.5p – 1028.75p ES volume cluster have played out nice support level role. Nevertheless, on the early session ES volume pick up, market did push to the fresh highs (first hour and a half of the main session volume increase nicely depicts it). Brut soon, to the middle of the session, volume has waned dramatically.



Still, on the last 30 minutes we saw two positive moments for the bulls: financials was leading outperformer & ES posted fresh high on the last 30 minutes main session with volume equivalent with to last 50 sessions average. Back to MRS strategy, do see ES continued chart on the next sessions forming nice sell signal.

MRS middle-term strategy

Here i go with one of my middle-term strategies i'll reveal to you in almost full coverage. Hope you’ll enjoy, and some of you, paper trade its signals & later probably express your opinion in comments how to ameliorate it. The strategy, let it be named “Meques MRS strategy”, tied with four hour ES (S&P 500 e-mini futures) chart. It’s based on MFI (money flow index (14), RSI (relative strength index (14)) & stochastic lines with lots of internal details I’ll try to explain you through statistics.

The strategy gives a buy signal if all of the 3 following issues confirmed:
1) RSI 14 below 32;
2) MFI 14 below 22;
3) Stochastic lines (value line & signal line) are crossing below 22

The strategy gives a sell signal if all of the 3 following issues confirmed:
1) RSI 14 above 68;
2) MFI 14 above 78;
3) Stochastic lines are crossing above 78

Below you can see charts with nice strategy signals examples (on the left chart – sell signal, on the right – buy, respectively; time – CEST). Want to emphasize that only when all 3 signals are confirmed we get buy/sell signal – not earlier. In addition, in the same period chart of SPX (S&P 500 ETF) i’m also seeking a confirmations based on 3 technical indicators i mentioned above.



I have discovered 18 occasions since october of 2008 and have noticed and calculated following facts:

1) 72% strategy signals were correct (or 13 from 18 occasions). It means near 28% of signals or 5 from 18, were false;

2) 83% of the signals were correct (or 5 from 6 occasions) when ES 4hour chart signals (3/3 tech. indicators conf.) were confirmed by 3/3 same technical indicators on SPX 4hour chart;

3) 100% of the signals (but that’s cause of lack of occasions) were correct (4 from 4) when ES siganals were confirmed by 2/3 tech. indicators on SPX;

4) 43% of the signals (3 from 7) were correct when only 1 from 3 tech. indicators on SPX have confirmed them;

So if you enter a trade on each Meques MRS signal only near 28% of time you’ll lose. But statistics above corresponds to the deduction, that if you enter only on signals that are confirmed by two or three from three possible, according to strategy, technical indicators on SPY, only 1 from 5 trades will bring you loss.

If Meques MRS signal have appeared on ES 4hour chart it dosnt mean unfortunately that market will immediately move towards direction signal have indicated. Statistic sais ES can go lower (higher) on an average of 10 points from 6 candles on 4 hour chart (about 1 day/globex session) after correct (not faulty) buy (sell) signal have appeared. What about profit? In the 13 occasions, when the signals were true, profit have exceeded an average of 40 points after 18 four hour candles (near 3days/globes sessions) after the signals have emerged.


I have decided to unveil you my strategy right now, because i can show you fresh example of the signal that was generated in the past session on friday 11th september. As you can see below, on the chart of ESZ9 contract on wich we have rolled-over on 10th september, we got sell signal. Middle chart below represents SPX, whose 3/3 technical indicators confirming ESZ9 sell signal. But ES continued chart (right) brings uncertainty. Cause of previous ESU9 contract didn’t set up technical internals to show overbought signs like ESZ9 do.



But still, relatively to statics data, down the road more than 80% of the odd, ES will start contracting or topping (ranging). Again, back to statistics, it’s possible that ES right from here still will continue climbing & will touch 1050p ES strong resistance level which corresponds to be 50% fibonacci from 6th march 09’ low at 666p & 19th may 08’ high at 1441p. But looks like odds are on, according solely current strategy, we now have already nice opportunity to enter sell position on the technical development, i have depicted above & relevant fundamental basis, i have revealed in the previous post.

Bulls doldrums list

Dwindling bears enthusiasm on the first early autumn sessions have resulted, during current 6-month rally, in just another fresh year market highs. As we have confidently broken out above volume cluster near 1025-1028p ES (S&P 500 E-mini futures) already on wednesday 9th septmeber, we saw an open room to the fresh highs.



Few pages back, i have notified bulls to have to deal with financial & energy sectors that looked unsustainable to correspond with their plans. Looks like placing has sharply changed for bulls favor, at least in energies. Crude oil market got a warm welcome of OPEC’s no output changes and against the background of a lower dollar, has rolled upside and back in the middle of august range. Therefore, Schlumberger, Occidental and others have knocked out XLE SPDR ETF to be almost the leading sector of the fresh market upside jerk.



As you can see above, since 1st september downside move, energies, coupled with industrials, had stroked up some 7.5% gain. That’s for only 7 sessions. Since the past SPY year high, knocked near 27th august (to tell the truth, on 28th market have posted its highest point but closing price was below open), energies with the majority of sectors, looks pretty strong, fully outperforming the market middle-term trend continuation. But the leading bulls problem, concerning energies, is not completely resolved for now. On the landscape of impressive sector dynamic inflows, we still do not see fresh year highs since (drumroll please..) 11th june. Chart below nicely depicts it.



Recent friday 11th september downside crack (minus near 3$ from the session high with closing price at 69$/b.) added more uncertainty in the crude oil market even short-term forecasting, with the remarkable internals the day before. On thursday oil volume in electronic trading on Nymex have exceeded some 28% in comparison with the past three month average. And that is against the background of high ranging mode price performance with negligible difference between open & closing session values. So, it brings energy sector in a sloppy environment, when the market leg upstairs could be not enough to push energies some 2+ percent higher to victorious fresh year highs.

Back to the sectors performance, since the past SPY highest point on 27th august, the leading underperforming sector appears to be financials. Earlier i already wrote about financials sluggishness & a number of remarkable folk’s volume performance have been appeared. Since then, conditions did not change much. From 2nd september, the sector trying hard to go upstairs. Indeed, attempts are reworded with nice results – it is outperforming SPY – but still the sector higher levels are not welcomed. The volume average of four financial folks, back few weeks ago appeared to account more then 20% of NYSE total volume, have faded dramatically. Relevantly surfacing question – what can now lead the sector even higher than latest highest point of some 135.5% profit from 6th march SPY lowest point – do not received with distinct answer. Still, unveiling non-confirmations theme, should admit that resistance of a number of sectors in adopting fresh market highs could last down the road too long. Nice example represent the same financial sector – see chart below.



In june – july current year period, leading the rally XLF ETF, did post accurate bearish divergence with SPY, representing non-confirmation of upside market move. What was the result? SPY indeed have contracted, losing some of its gain. Therefore, lower high & higher high of XLF & SPY, respectively, (if financials do not make higher high) could correspond to be the beginning of the second topping movement, as bear sais, of the current bear market rally.



Bulls fervor is also not confirmed by volume. Again, down the road from 1st september sharp leg down session volume spike, non from the following sessions, didn’t exceeded that day by volume. So, as you can read from the book, covering trading basics, that could be printed even before electronic trading was all over introduced, current late week year highs are not confirmed yet.



Total volume of the 1st september break down below 1000p on S&P 500 is exceeding an average of ESU9 contract (which tracks ES from june to september current year) on almost 35% & is even almost twice higher, relatively to an average of current september sessions, except its 1st day. Therefore, and that’s the prominent topic to analyse separately, volume is not just disconfirming recent market highs, but it is also just remarkably too light. The average volume of almost each 30 minutes of the current early autumn sessions, except 1st september, are lower than the average of previous S&P 500 contract (ESU9) that in majority was tracking summer sessions.

Trades kitchen

Since current day i will start posting some of my trades marked with the tag «trades kitchen». The purpose of it is not to indicate you my current bias, or just give you an advice to sell or to buy. But to show you my way of thinking, what i'm using while trading, what reasons i'm emphasizing to open & to close a trade. I don’t plan to unveil all my approaches, but still hope new «trades kitchen» posts will be good & useful reading for you.


So here i go with the 1st, let it be profitable, example of the short-term trade. Below you can see the chart of the morning 9th september 09’ trading in ES (S&P 500 futures). ES was on the brink of strong break out above volume cluster 1022.5p – 1028.75p (red background), that corresponds to the free open room to fresh year highs above 1038.75p – ESU9 contract (which tracks ES from june to september current year) 28th august past high.



ES have managed to climb above top line of mentioned volume cluster but it was made with multi divergences with majority of popular oscillators, including one of my favorite 3/10 oscillator (see chart above). In the same time, financial & material sectors were underperforming SPY. While market had made fresh high, those two sectors did not confirmed it (see chart below).



Keeping in mind that fact, when NYSE TICK (short-term indicator covering bulls/bears placing) have finally appeared not to post fresh high in tandem with ES (so, bearish diver with TICK showed up), I have entered normal size sell position.



Soon ES pulled back to downside. But later there went following factors I had interpret like a buy signal – in a matter of opened short – fix signal. 1st – at 16:33 Zurich time (10:33 NY time) NQ (Nasdaq Composite) & ER (Russell 2000) CME index futures didn’t make fresh lower low as ES have posted.



2nd issue – ES have breached VWAP (volume weighted average price), calculated from the beginning of the main session.



And the 3rd factor was continuing bullish TICK. At the first 15 minutes of the session bears have tried to take market under their control. But as we can see it was useless, and TICK, that didn’t manage to post number below minus 600, nicely demonstrated bulls superiority (see 3rd chart from the bottom).

Mixed messages

Shortened week caused by observance of the Labor Day holiday have started with the upside session. S&P 500 managed to close with plus almost 0.6% on remarkably weak dollar (caused by pulling out of safe-haven investments into more risky assets against the background of G20 finance ministers optimistic weekend statements) & commodities rally, particularly strong gold (that finally broke out above 1k$/oz but still closed below psychological level) and oil rally (on bullish OPEC members commitments ahead of tomorrow meeting plus environment on other notable markets i have mentioned above).

But there goes thing, bulls to worry about. As one ES trader fellow wondered today: “Isn't summer trading over? I thought summer was over. This sure feels like a summer trade.” The truth is near. Today’s volume, putting into numbers, was minus 21% relatively to the median volume of ESU9 contract, (which tracks ES from june to september current year) & minus 41% relatively to 1st september volume, meaning of which i have pointed out lately.



Yes, after tremendous volume expenditure on 1st september breakout back below 1000p on S&P 500 (as did E-mini S&P 500) we now have pared all the losses and breached today 1022.5p – 1028.75p ES volume cluster of late august – the only resistance separating bulls from the new year highs (see chart below). But the market increase was on a very low volume, never exceeding volume ES posted on Tuesday 1st september. That’s just something to remember while entering long & calling for fresh highs.



Back to my summarized post after the past week finish, i have shared with you intention to monitor energy & financial sectors, cause of reasons I have described there. Today XLE, energies, was the strongest sectors relatively to the other 7 sectors i’m tracking, on the reason of oil case, i have described above. The sector have soared more than 2.6% and since 31st august when SPY was near its highest point of the year, energy back from that day is already in small, but plus (0.3%). Moreover, it has pared all of its losses back from the beginning of last summer week, 35th from the year start. Such recovery corresponds to be very bullish signal. But still closer to the OPEC meeting, volatility in oil can expand dramatically with hardly predictable short-term movements and inevitable influence on energies.



Financial sector today was slightly underperforming SPY, but the real movement took place in the 4 financial giants stocks I mentioned in one of the previous post. C, AIG, FRE & FNM have shrunk today on the median of almost 7%. Since its peak on 31st august, they have fallen on an average of more than 20% for just 6 last trading sessions. But XLF, financial sector overall, today have managed to stay up 0.43%. Good for him, but 4 mentioned remarkable financial guys plunge is something to keep in mind & not to be surprised to see weakness of financials in the upcoming sessions.

Troubles in the rally continuation.

All the way up to the stars, where it seemed like bears are tired of calling for pullback, lately battered financial sector has got up its over 120% increase for just half a year. There was no secret that current rally from march lows was pushed by financials, that skyrocketed more than twice relatively to S&P 500 index with its plus near 50% from march 9th 09' lowest point. But financials seemed to play even huger role on the market when it was revealed that in the 35th and also final summer week, more than 20% of volume on NYSE was accounted by Citi, AIG, Fannie Mae & Freddie Mac only.



On monday 31st financial sector opened with huge downside gap. Still it have got back morning loss to the closing bell, but there rung first alarm bell to bulls, when four financial giants, i mentioned above, have plunged on the median of minus 6% that day. Profit tacking in those guys, after their increase in august for an average of more than 200%, have continued on tuesday 1st september. On dramatically volume expand, S&P 500 plunged back below 1000p. But on the following sessions any bears attempts to push the market downside have failed.



On the chart above we can see how on wednesday 2nd september morning bears try to dip ES below 990p. have failed and subsequent session hours ES was oscillating near open swing on the low volume, that have totally declined relatively to past session on 27%. Endeavour was repeated next day, on thursday, but bears didn’t appeared to have volume accumulation (total ES volume that day have plunged 41% in comparison with tuesday) and closer to the session finish, bulls back ES above 1k.

Bears failed to have volume confirmation of their plans and on friday ES have pared half of its early week losses. But still it was done on the weak volume, relatively with tuesday plunge volume jump. It could be easily explained in the matter of shortened week ahead with Labor Day holiday on monday. But the volume story can have two conclusions.

In the past week financials appeared to be the most underperforming among 8 leading sectors with the decline of roughly 3,5%. The decrease looks less dramatic in comparison with median week result of C, AIG, FRE & FNM. Four financial giants have shrunk on an average of almost 15%.



It doesn’t corresponds with market sell signal but with financials playing leading role in the current rally there goes the question are they able to recover and if not, who will be the next to lead the market upside? Somehow, starting with the beginning of next week we have to see strong recovery of those stocks to see subsequent fresh market highs. Indeed, the early signs of four financial giants recovery already in place.

In the previous post I have revealed that TRIN (the indicator that in past showed interim, short-term bulls-bears placing environment) was partly nicely indicating what was going on with volume in the four mentioned financial stocks. On monday & tuesday the indicator was extremely bearish while already on wednesday kind of mayhem was in place. After already usual inadequate bearish opening, closer to the middle of the session TRIN dipped below 1 that corresponds to buy signal. And it has managed to stay pretty bullish on thursday & friday.



Still, one more trouble for the bulls is continuing to stay energy. Under the pressure of numerous failed attempts to break above resistance level of 75$/b for light crude oil, the sector still didn’t manage to make new highs with S&P 500 and 7/8 leading sectors, back from the end of july to the beginning of august. And for now, we still do not see any energies recovery while tracking it back from the beginning of last week or from the start of last summer week when majority of sectors were near their highs. Both, energies and financials are the leading laggards, to continue the rally bulls have to deal with.

Here goes something, bulls to afraid of

(*something – typically bearish september month)

Traders back on track according to remarkable volume performance. But the question is what sentiment they have. According today’s september 1st session results with SPY contracting 2.2% on positive 10AM ET econ data – bearish, for now. Back to today’s volume, it was: 1) highest in at least last 2 month; 2) 34% higher than average daily ESU9 (S&P 500 e-mini futures contract tracking from june to september current year) performance; 3) higher each 30 minutes relatively to an average of ESU9 contract.





Summer is over, children back to school – traders back to trading desks. That could be nice reason of stunning volume surge, if there’s no background. But the background is full of content. The topic I want to point out is a story of four big financial guys playing their own games, or being played by someone, that’s not matter of fact. Citi, AIG, Fannie Mae & Freddie Mac in the past week have generated volume accounting near 25% of total NYSE volume, which was still pretty light. Telling the truth, volume was poor past couple of weeks and i was ready not pay attention to financials tricks but it finally concerned me directly.

One of my instantly using indicators TRIN, monitoring difference between NYSE advancing issues and its volume and declining issues and its volume, broken. Shortly, on thursday, 26th august in the past week, TRIN showed extremely strong signal to buy, that was almost irrelevant to real market environment and internals. (See Brett Steenbarger full coverage on that story). On friday the situation didn’t change. There went monday that saw huge financials plunge at the session beginning, but then recovery came to the closing bell. And there goes Tuesday, 1st september, when nothing could stop financials fall. Plus already on monday & moreover on tuesday TRIN have reversed and was extremely bearish.

Today’s remarkable volume pick up is easy to interpret like strong confirmation bears downward move. And the supposing could easily be bolstered by the fact that 4 financial giants I have mentioned above have soared since the start of the past month to 28th august on an average of +220% with the worst result belong to Citi that have soared only 65% and the best result, “and the Oscar goes to” Freddie Mac with tremendous pick up on 287%. Whooa!

Still it’s too early to call for a serious pull back but as did school bell ring today – first alarm bell for bulls has rang.

practice makes perfect: broken trend day

Такой pattern, как broken upside и downside trend day был расмотрен мною не раз. Тем не менее, считаю необоходимым продолжать описывать данные случаи для нахождения оптимальных подходов для profitable trading in the such patterns.

27 августа, в четверг, признаки указывающие на downside trend day были следующие:
1)no TICK > +600;
2)ES opened at PP and soon reached S1;
3)ES below VWAP;
4)XLB (strngest past wk) - weak as well as XLE (stngest ytd & past week)

Signs of trend day breakout, enumerating in turn of emerging:
1)no ES, NQ, ER & 5/8 leading sctrs wich i'm tracking, fresh lows;
2)ES breakout above 50ema m1;
3)20 & 50 ema’s m1 cross signaling to buy;
4)TICK climbing > +600;
5)ES touches VWAP;
6)normal diver sell signal (unacceptable in dnside trend days and signify vice versa signal - buy).





TICK distribution, m2


VWAP vs ES performance, m1


ES performance, m5

triangle breakout

Прошедшая 19 августа сессия, предоставила возможность рассмотреть такой pattern, как triangle breakout. Признаки ложного triangle breakout, ровно как и условия указывающие на сам triangle breakout и triangle breakout movement finish в общих чертах я уже описывал ранее. Сейчас же я рассмотрю pattern более подробно.

Итак, тогда как нижняя и верхняя линии треугольника на графике SP500 (ES) и Russell (на Nasdaq triangle отсутствовал) уже сформировались, session environment на 19:10 по Москве (msd) (17:10 по Цюриху; 11:10 AM по Нью-Йорку) был следующим.

NYSE A/D – 1079/1734 (-655; 38%/62%); однако данные по объемам были более bullish, т.к. показатель TRIN ((Advancing issues/declining issues) / (advancing volume/declining volume)) находился < 1 на 0,81.

TICK was oscillating near neutral zone судя по EMA 20, однако no ticks < -800 & 4 ticks > +800 (2 ticks near +1k).

In sectors performance XLB, XLF & XLK (stngest ytd) were underperforming, хотя с начала сессии сектора понемногу отыгрывали позиции и приближались к уровню SPY, в особенности это неплохо удавалось XLB (Materials).

Исходя из этого, в целом environment was slightly bullish, т.к. после слабого открытия с гепом SPY на почти -0,9% в секторах и в advancing/declining issues на NYSE намечалась позитивная динамика, хотя и их показатели еще оставались ниже нуля.


Так или иначе, далее поэтапно, с указанием времени опишу признаки, указывающие на upside triangle breakout:

1) Как показано на графике ниже, когда ES уже был в triangle, медведям не удалось довести 5-й (19:12msd) и 7-й (19:24msd) swings до нижней части треугольника, support level;


SP500 (ES) triangle breakout, m1 chart

2) На 8-м swing-е (19:30msd) треугольника по счету, произошло что-то на подобии пробития. На подобии, потому что де-факто быки отказались на него реагировать, не подпрыгнули объемы и ES не взлетел. Однако необходимо было поставить на графике обновленный resistance level, учитывая последний lower high (на графике выше он отображен оранжевой линией, тогда как первоначальный треугольник красной линией). Примечательно, что в прошлой записи, освещающей upside triangle breakout, ровно так же проявился этот же pattern. Я его назову durable triangle resistance level. И в прошлом и в данном случае, pattern был предвестником пробития треугольника вверх;

3) 9-й downside swing дошел-таки до нижней линии треугольника на графике ES, однако это быкам не удалось повторить на графике Russell-а. При этом стоит заметить, что Nasdaq понемногу начал крепнуть, oscillating немного выше своей interim линии сопротивления (смотри графики ниже).




В 19:48 по Москве (msd) происходит пролом верхней линии треугольника и SP500, Russell, Nasdaq устремляются вверх (красная пунктирная линия на графике выше и в последствии на графиках ниже). Сопутствующие признаки triangle breakout:

1) TICK показывает новый high по сессии около 1,1k, при этом последующие более 1,5 часа tick почти не снижается < -300 (первые 50 минут после пробития так и было – отмечено зеленым фоном на графике ниже – до появления tick-а < -600). Замечу, что если до пробития tick was oscillating near zero (исходя из EMA 20), теперь он находился > 0.



2) За приблизительно 5 минут количество Advancing issues на NYSE превысило количество Declining issues, соответственно индекс $ADD показал число > 0.



3) TRIN на долго снизился менее чем на 0,8. По праву сказать, он никогда во время того как SP500 торговался в треугольнике, не показывал число > 1, т.е. не был bearish. На графике ниже это хорошо иллюстрировано. Тогда как open price, high, low & closing price 2-х минутной свечи индекса $TRIN > 1, то фон красного цвета (bearish), если < 1 – зеленого (bullish), если есть и ниже и выше то серого (neutral). Замечу, что EMA 10 графика $TRIN, тогда как треугольник еще только формировался, иллюстрировала превосходство быков.



4) Последовал рост объемов – в игру включились breakout traders, bulls (повторно вставляю график, ниже). При среднем объеме в 1-у минуту около 300 за последние 15-20 минут, в момент пробития показатель подскочил приблизительно в 2-е до около 750, минутами позже – свыше 1k. При этом, volume не снижался, а постепенно рос почти постоянно ежеминутно превышая 500 и поднимаясь неоднократно > 1k.



5) Взметнули вверх и отстающие от SPY (SP500 ETF) сектора XLF, XLB & XLK, в частности XLB удалось-таки превысить SPY. Поддержку рынку оказал и энергетический сектор (XLE), в частности XOM (Exxon Mobil) и CVX (Chevron) (базовые составляющие XLE ETF (exchange-traded funds)) на фоне bullish данных по запасам нефти (-8,4mb actual vs +1,1mb estimated) иллюстрирующие неожиданный рост потребления – признак улучшения экономической ситуации в Штатах.




В 21:12msd, через около 1,5 часа после пробития треугольника, ES установил свой high по сессии на 998,25p (999,61p SPX), не дойдя до серьезного психологического уровня сопротивления 1k p. После чего, mkt начал понемногу приспускаться и при high-е по сессии SPY в +1%, closing price – +0,69% – 995,5p ES.

Однако, после установления ES high по сессии начали проявляться следующие признаки triangle breakout movement finish:

1) В 21:32msd (19:32 по Цюриху) ES впервые после пробития дотронулся до 50 EMA m1;



2) С 21:28 по 21:34 по Москве впервые после пробития, 5 EMA m1 на графике $TICK опустилась < 0 и проявился tick < -300 (на оранжевом фоне на графике ниже);



3) Приблизительно к 21:40msd было видно, что XLB (сектор, открывшийся слабее рынка, но затем его обогнавший) снизился больше чем рынок, SPY. Так же, XLF не смог поставить higher high.



4) В 22:09msd (20:09 по Цюриху) на графике минутке 20 EMA пересекла 50 EMA сверху вниз (см график к 1-у пункту)

$TRIN и $ADD (NYSE A-D) более-менее четкие сигналы на продажу подали гораздо позднее вышеперечисленных признаков. $TICK показал 2-ую по счету после пробития треугольника цифру < -600 только в 22:22msd. Только около 23:10msd (менее чем за час до closing bell) проявился $TICK < -800 (фиолетовый фон на графике ниже), $TRIN ускакал > 1, а $ADD поставил минимум с момента пробития треугольника – 240, тогда как high по сессии был 805. Тем не менее, selling pressure так на mkt и не пришло.



TICK session distribution


ES (based on candles low) vs VWAP (based on candles c/p)


ES 5min chart session performance