Intraday Stats - Posted on Tuesday, June 16, 2009, 8:56 PM GMT +1

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Jun Tuesday 16

Trading the Odds on Tuesday – June 16, 2009 -intraday update-

A preliminary note:
Due to the fact that I regularly won’t be able to prepare a posting with stats and tables during the final minutes of the regular session (which was -understandably- desired by some of my readers), and if you’re interested in if a buy/sell signal will be triggered concerning the next session, I highly recommend to subscribe/follow me directly by Twitter. I’ll regularly try -if any tradable edge is provided- to tweet the respective signal (and motive) during the final hour of the regular session.

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With NYSE Advancing Issues/Declining Issues currently (2:56 PM CET) at < 0.36, NYSE Advancing Volume/Declining Volume < 0.22 and S&P 500 down more than -1.0% at time of writing (02:35 PM CET), a short-term buy signal would be triggered at today’s close (assumed everything unchanged) concerning the SPX’ performance on the then following session, but with respect to a potential intraday quote on Wednesday’s session significantly above today’s close only because the edge is not as significant as one might assume (regularly there is some additional downside on the then following session as well, the question is therefore what comes first: a significantly higher quote to close a potential long position or some additional weakness which might trigger a necessary stop loss before a potential bounce on the up-side).

Setups:

  • NYSE Advancing Issues/Declining Issues < 0.40 and NYSE Advancing Issues/Declining Issues < 0.15 the day before (Setup S1),
  • NYSE Advancing Volume/Declining Volume < 0.25 and NYSE Advancing Volume/Declining Volume < 0.1 the day before (Setup S2),
  • S&P 500 down more than -1.0% and S&P 500 down more than -2.5% the day before (Setup S3),
  • Setups S1 and S2 combinded (Setup S4), and
  • Setups S1 and S2 and S3 combinded (Setup S5).

Table I shows the ES (S&P 500 E-MINI) performance (since 01/02/1990) on the next session immediately following those sessions where setups S1 to S5 listed above had been triggered.

20090616-ES-I-S1-5

Table II now shows the ES (S&P 500 E-MINI) intraday performance (since 01/02/1990) concerning the open, high, low, close (compared to the previous’s session close) and close versus open on the next session (in this event Wednesday, June 17) immediately following those 40 sessions where the S&P 500 fulfilled setup S3 mentioned above:

20090616-ES-I-S13

Successful trading,

Frank

P.s.: WordPress recently implemented a Twitter widget, so I’ll regularly make some intraday updates as well using Twitter. If you’re interested in, please have a look at the blog during the trading session as well or subscribe directly to Twitter (recommended).

Disclaimer: No positions in the securities mentioned in this post at time of writing (but now short volatility, long volatility positions closed).

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