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For very short term traders that are in and out of the market the same day, longer term forecasting (and especially riding the medium term trend) is irrelevant. The most important (and profitable) days to an index day traders would be to jump onto a MDD or MAD (like yesterday). So how do we forecast whether we will have a trending day (whether it be trending up or down) or a range day? Here are some of the my thoughts and suggestions.
(1) NYSE Tick
Usually large players move in during the opening 30 minutes. By gauging the 30 minutes of the markets, it should give you a good feel where the market is headed (and if there is a trend reversal, typically it happens in the PM - hence provided you lock in profit, just riding the morning trend is good enough for day traders). Now how do we gauge the market?
NYSE Tick - this measures the number of stocks that are quoting at offer - numbers of stocks that are quoting at bid. Hence a large positive number indicates more stocks are being sold at offer than bids and the sentiment should be regarded as positive. Similarly, if we see a large negative number, then it indicates negative sentiment and active selling. Now, looking at one time $Tick is quite useless. What one should do, is to produce a distribution of the $tick for the first 30 minutes (i.e., average - is it substantially above zero? standard deviation - is it fat or narrow?). My theory is that if the $TICK's mean is at 500+ and its standard deviation is 250 or less for the first 30 minutes, we have a trending day with strong buying support. Similarly, if $TICK's eman is -400 and its standard deviation is 300 or less, we have strong selling pressure.
(2) Abnormal volume surge on ES either at offer/bid
Again, we should be looking at the first 30 minutes. If there is abnormal volume in comparison to an average volume either at offer or bids, then we are looking at large players having entered the market, in a particular direction. Chances, these large players will set the tone for the whole day (or at least the AM). Trading in the same direction as these large players is likely to be profitable. Now what is average volume? I usually use a 10 day MA for the first 30 minutes to compute average volume. If I see volume at offer/bid exceeding 1.5 standard deviation above the 10 day MA, I will take to this to mean large players have entered the market.
(3) Advance/decline lines or advance/decline volume
Similar to the above 2 methodology, one can develop a normalised view of a normal advance/decline issues/volume and any swing outside the normal should tip you off to potential trending day.
BTW, does anyone here use a real time data service? I used to use OpenTick and they went under in March. Since then I have been without a real time data vendor and my broker does not have an open API to allow me to hook into the market data. I'd love to hear your feedback and suggestions on a good data vendor that is also reasonably priced.
Happy Trading |
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发表于 2009-5-19 08:59 AM
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发表于 2009-5-19 09:02 AM
