Commentary on the last hour on Tu, Oct 4

[Riskslayer]

Hi Pascal/Billy/Others:

I decided to follow the IWM Robot and sit through the last hour +7% IWM advance on Tu, Oct 4. I watched the entire 45 min move ... painful, for sure - but, hopefully,

I saw Pascal's warning note on the Oversold (OS) condition and possible close below -90 giving a 20D MF short cover signal (but, that the Robot may or may not take 20D MF signal). I also recall seeing the latest OS chart showing -83, so once the intense buying started I figured there was no way the OS would *close* below -90.

A few Q's:

1. Did OS close below -90 on Tu?
2. Is the short covering oversold 20D MF signal triggered on intraday moves below -90, or only the close?
3. Did the Robot go into Buy mode due to 20D MF's move above the trigger level? or, some other Robot reason?

$TICK related Q (Billy?):

I noted that cum $TICK did not take-off during the last 45 min on Tu. Paul Duncan noted this in his comments as well, but did note the Tradestation measures of the various index ticks (see his post for what I am talking about) did show a nice rise, i.e. strong sloping during this period. I don't use Tradestation, so I didn't see this, I only saw the relatively benign cum $TICK - Billy, what is your take on what was happening here?

Can't wait for the real-time stuff!

Have a great weekend everyone,

Shawn

[Pascal]

Hi Pascal/Billy/Others:

I decided to follow the IWM Robot and sit through the last hour +7% IWM advance on Tu, Oct 4. I watched the entire 45 min move ... painful, for sure - but, hopefully,

I saw Pascal's warning note on the Oversold (OS) condition and possible close below -90 giving a 20D MF short cover signal (but, that the Robot may or may not take 20D MF signal). I also recall seeing the latest OS chart showing -83, so once the intense buying started I figured there was no way the OS would *close* below -90.

A few Q's:

1. Did OS close below -90 on Tu?
2. Is the short covering oversold 20D MF signal triggered on intraday moves below -90, or only the close?
3. Did the Robot go into Buy mode due to 20D MF's move above the trigger level? or, some other Robot reason?

1. OS did not close below -90, but at one point, it was at -92
2. The Robot and the 20DMF work only on signals that are triggered at the close. With the RT system, this will change, but only if we can have it automatic (not relying on me to send alerts/post messages)
3. At the close, the 20DMF issued a buy signal because it was in OS, and the OS signal closed more than 3 points above the previous day's level while the MF was positive for the day. On a 20DMF buy signal, teh robot changes his statistics table both for the short and the long evaluation and issued a buy signal. A RT signal would have probably closed the short position in strength as soon as the OB/OS signal would have crossed below -90 and would have entered a long position before the close, but I cannot say when excactly.


Pascal

[Billy]

$TICK related Q (Billy?):

I noted that cum $TICK did not take-off during the last 45 min on Tu. Paul Duncan noted this in his comments as well, but did note the Tradestation measures of the various index ticks (see his post for what I am talking about) did show a nice rise, i.e. strong sloping during this period. I don't use Tradestation, so I didn't see this, I only saw the relatively benign cum $TICK - Billy, what is your take on what was happening here?

Can't wait for the real-time stuff!

Have a great weekend everyone,

Shawn

Shawn,
First, let me remind everyone that cum TICK and its moving averages are still discretionary tools that are not included in the robot’s decision-making process. They are helpful to read what the dominant programs are doing and for leverage and position-sizing.
You are right that the huge price reversal on Tuesday’s final hour was not confirmed by cum TICK which closed just below the declining ½ day average. The TICK gives you the number of stocks ticking up/down each minute, but tells you nothing about the amplitude of the price changes behind each stock. A TICK reading of +800 can be for 800 stocks moving up +0.01% or + 10%! Therefore my tentative understanding of what happened is that the big move came with much less participating stocks than usual (cum TICK divergence) but these stocks had exceptional high percentage price changes. With hindsight, we can see that the leaders of that big move were mostly junk stocks (solar energy, coal,…) that had been battered down for months and at new 52-week lows. Some short-covering targets and algorithms may have triggered for these group of stocks only, hence the limited TICK impact in spite of the frantic price advance. But this classic and typical Junk-Off-The-Bottom bounce was followed by 2 days of relentless broad buy programs until they reversed Friday mid-morning.
Billy