Momentum is telling me a 60% chance of shorting the mkt toward 22 day and options are suggesting me 74 for january (closing of december), today’s close was a reverted 78.
That little flag, I think, is bound to be broken now.
Feeling like a curve ball coming to my compact swing with runner on scoring position.
Let us see how it works until we get between Christmas and between New Year.
I know my boss uses ATR for his stop losses, buy this a very nice explanation why to use it and how.
I just noticed when we are in strong trend day the balance of orders tends to get firmer than usual. And when we get in a range, order’s size balance gets wider:
This is important because the z-value suppose to tell when the market is getting trendy, but I just noticed it is a lagging indicator. Look in the minute chart (left chart), the chart line between z-value and price plots the difference between bids minus asks orders, meaning if >0 then it the ammount of bids trying to get filled at that moment, if negative then you are seeing how many contracts are offered in the ask side.
Check the long term chart (30 mins, right side) how volume increased when bid-ask size balance narrowed and very much the same in the opposite logic, wider bidask sizes while volume getting lower.
In the mean time z-value only confirmed the trend concluding the dabate.
My strike zone for scalping the crude would be the 67-vwap (yellow line), the supply demand order (bidasksize, in the middle) and the mkt z-value. All of them in two time frames: long term (30 mins) and short term (1minute or the left chart).
New monitor on my desk, a 22” wide screen allowed to get this though: The two’s bond futures mkt were on the rise while the TY was inverse. I’d like to know the correlation between those. Also there you have the nasdaq and SP500 future, nasdaq was a little more beaten than spy. Crude got an opening gap and made some deceiving testing close to the vwap levels but it bounced towards the 79.81s.
crude is in the way of a change judging by the z-index, not the case for stocks. Bond mkt also have some z value behaivor but not significant I suspect.
If the two were demanded and the TY were sold, stocks flattish and throwing way risk (qqqq) there look some movement to cash?
I was taught about the z-value for 1st time in 2006 at Statistics 101. Then on May 2008 I was taught that this indicator is good for evaluating trading strategies when back testing. But it was not until Christmas of 08 (thinking about a system for the corn intra day) that I learned this figure was a teller of performance relative to volatility; pretty much like a mediocre indicator.
Trying to get a hand at the concept I plotted the numbers from 1 to 50 and calculated the z-value of the return. I noticed the more firm the line, the higher the value. Was like an Epiphany.
Few days back I decided to apply to pure market returns: a market in a strong bull mkt would deliver a heavy z-value, also a brave bear would deliver a negative and high figure.
Now we are trying it intra day and intra week. We’ll see what can this idea bring us. If you have any, don’t be selfish and bring it on.
We are building an option price index based on a call price index and put price index. When dividing the CPI/PPI we get the OPI.
If the OPI falls, we take bidder’s side. If it rises, we go to the ask’s team.
Doing this since July 27th 2009 the equity curve would look like:
26% total return (crude has done 19% since) and the good news is that we got a z-value = 1.8 which suggest a little more effort in risk and money management and we might have tradable idea either in the USO or in the CL future.
pd. The OPI is based on the “oiwap” of all options available. It weights the last quote of each option against the total open interest. Oiwap = open interest weighted average price.
There is a little strategy I have for sugar, corn and gold.
If today’s volume is above the 20% daily average, take the opposite position of today’s market performance tomorrow at the opening and get out near the close.
CZ9 = 2% profit
GCZ9 = 1% profit
I have to test those signals since what the first thing my brain came out after placing the first orders on my own.
