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Snapback Bounce - March 8, 2012
The IWM robot entered a new short position Wednesday at the open (78.91) with an initial stop at 80.57.
The 20 DMF briefly spiked above 0% at 15:45 pm before closing back down at -0.09%. It would switch back to a neutral signal with a close above porosity at +0.10%. Even in that case, the IWM robot will need to evaluate the EOD ST/LT edges before deciding its next action. A secondary short entry is advised today with a limit of 80.13.
IWM is in the middle of a typical snapback bounce from short term oversold which usually expires around the declining 5-day VWAP (80.25). The cluster strengths are about equal both for support and resistance. As long as Quarterly R1 (80.45) is not decisively broken, the pullback scenario stays technically alive. The bounce is happening with moderate 20 DMF and low volume so far; hence a slightly bearish bias is still at play but probably not enough to encourage large positions or leverage.
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GDX is consolidating with a flat GDX MF. All edges and floor clusters are still pointing to the downside, but no new position is advised.
Billy
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Dramatic RT20D MF Changes In The Last <5 min of the Day - How to Deal with these?
Hi Pascal & Billy,
We know that volume and Institutional activity is almost always highest at the end of the day, but I was hoping you guys could share your thoughts on the topic b/c it seems so high...
I would love to hear your thoughts on the subject, but here are some Q and practice points I have:
* In the last minutes, the volume is typically highest, but price progression can be pretty small, and the RT MF shows significant changes by as much as 1/2 ATR (i.e. +0.1%) in the last 5-min (sometimes even the last 2 or 3 minutes). This is reported sometimes as late as 16:04 PM. I assume when the values are volatile (spiking up and down) that this primarily due to time disparity between the various exchanges reporting their data, i.e. inherent to the data feed. But, I am mainly talking about when we don't see large spikes in both directions, but a clear directional change in the last few minutes.
* IB quotes on are still at good bid/ask spreads on IWM within several minutes of the close (say <16:05 or so), so I consider this to be an advantage to me to trade after the close (AH) and I can see how the RT MF and price close for the day. For example, on Th, Mar 8, I did not exit my short position... b/c I was waiting to see how RT MF closed (w/n 0.1% porosity), and I saw the price w/n the 0.2% of the porosity of QR1 (80.45), and I knew I could trade after-hours. Note, the leveraged ETFs spreads are poor immediately after close and I see trading them AH's as being unfair.
* there seem to be discontinuity in the RT MF from close to open (the red pins mark these points)- I thought there were some techniques to minimize this, e.g. disregarding the first min, etc. Anyway, what do these discontinuities mean?
Thanks,
Shawn