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July
2: AFTER HOURS FILL ON TRADING MODEL
As users
know, fills can come on after hours trading. At 1:35 SPY trading
through 89.54, the trading model achieved the target.
July
2: Closing Read
Well
so much for the short covering at the close. Signal weight
closed at -2431, the Change -17 and the Slope -762. The short
signal at 90.44 from this morning is still in effect, a GTC cover
at 89.54.
Have
a safe and sane 4th of July! No fireworks in the wildfire
capital of the world.
July
2: 3pm
Looks
like Elvis has left the building for the long weekend. Signal
weight -2377, Change now -22, price flatlining . Would expect
to see short covering into the close for the long weekend.
July
2: 1:15pm
Signal
weight remains extremely negative, the Change now at -61. The
Change is losing 16+- ticks per bar and if signal weight moderates
it will lose more faster. This is the pattern of behavior
that continues.
Here's
a link to the archive weekly signal list
colored for periods when the Secondary is trending and not. Interesting.
July
2: 12:30pm
Here's
some comments from a software user that I received yesterday. Rob
makes some great observations reflecting his particular style of
trading and applying the Delineator and the signals.
While market is in this flat trend we don't intend to take signals
unless there is a strong trend (strong Secondary, high change).
General observation, the tool works best in a "normal" market. In a
rapidly changing market (ie last October) you won't get signals because
there are no counter trends (you told me that you had to trade without
the secondary last October). In a flat market with low VIX you get
newman after newman... Knowing this makes it easier to avoid entering
trades that are likely to fail. So I guess a "normal" market is one
where the market rises 2-4%, exhausts the upward momentum, there is
profit taking, then it tries again, with occasional retracements during
profit taking.
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July
2: 11am Exit Long / Enter Short signals confirmed
The
exit long signal confirmed at 90.44 as did the enter short.
The email did not go out for some reason. The trading
model is short SPY at 90.44 with a GTC cover at 89.54. The
last signal generated a $2.52 loss.
11:20:
The next double chevron up is at 89.58 from 6/25.
July
2: 10:30am Early Exit Long / Early Enter Short signal
issued
Unless
signal weight reverses, both signals will confirm at 11am.
10:45:
With signal weight holding at -2485, there is no question
that both signals will confirm at 11am. I would consider that
the short signal is a high risk signal given the 2% move down in
the market already today and the previously mentioned pattern of
price making all its move in the first hour. There may be
an opportunity for a secondary short trade later in the morning
if price rises up to the 90.85 area and signal weight and the Change
remain strongly negative.
July
2: 10:00am
Another
big gap on the opening similar to the first hour price action over
the past week or so continues a recent pattern that users should
consider. This trendless period is certainly a challenge,
especially when most of the move during the day comes within the
first hour. With extreme negative signal weight of -2400,
the Slope 37, Change -181, an early exit long/early slope change
down will occur next bar. Any new signal today should be viewed
as a higher risk signal given the recent pattern of trading.
10:15am:
It's also likely that a double signal will be issued at 10:30
of early exit long/ early enter short as the Change of -181 will
move the Slope to -144 at 10:30; then possibly another double exit
long/enter short at 11.
July
2: Opening Read
Very
strongly negative signal weight at the opening of -1788 has the
Change -180, the Slope +248. An early exit long/slope change
down signal is expected in 1.4 bars. The Secondary has again
flipped down as this trendless narrow range continues. We
can also expect another short signal to be issued later this morning.
July
1: Closing Read
The
short signal from yesterday failed to achieve its target and took
a -$1.17 loss as an exit short signal was triggered at 11:30am.
During the next half hour an enter long signal confirmed at
12:00 at SPY 92.96, the trading model is long at that level with a
GTC exit at 93.86. Extremely strong signal weight has been
maintaining all day and at the close was +1854, the Change now a
positive number at +4.8. Here we go again...signal weight
exhausts itself very early leaving little to sustain any move in
the Primary for more than a day. This is consistent with a
Secondary that is not trending and VIX very low.
Several
users have asked if I have data regarding the model during such
non-trending periods. The short answer is there is no consistent
pattern that expresses itself with respect to the model signals.
However, from a purely trading point of view, when there is
a reasonably defined range identified as the spread between the
most recent double chevrons down and up, and that spread is barely
2 points, there's simply not enough range. Until the Secondary
begins to actually trend, we're just going to be flipping back and
forth and continue these shallow ranges.
July
1: 10:30am
Signal weight continues extremely strongly positive
at +2226 Change +124 Slope -62. Next bar, an early exit short
will be issued and possibly an early enter long as well.
NOTE: Unfortunately,
I have business
that will take me away from posting the rest of the day. The
email system will be on but I expect more dual signals that can
lock up the program. Yours will be running so be aware of
the potential double signal during the next hour.
July
1: 10am
Very
strong positive signal weight of +1968, the Change +131 and Slope
-198. We can expect an early exit short signal during the
10:30-11am bar.
July
1: Opening Read
Strongly
positive signal weight of +1223 at the opening has the Change +114
and the Slope -365. We can expect an early exit short within
3 bars at the current level of signal weight. Once again the
Secondary has flipped back up taking the current short signal out
of confirmation. If signal weight continues, we can expect
an exit short and a new long signal today.
June
30: Closing Read
Strongly
negative signal weight turned the Secondary and Primary down today
and generated a short signal at SPY 91.74 which has not yet achieved
its profit target. The model is short SPY at 91.74 with a
GTC cover at 90.84. At the close, signal weight was -886,
the Change +7.5. Tomorrow, strong negative signal weight will
be required to move the Primary across zero into negative numbers.
June
30: 2pm
Signal
weight strongly negative at -1233, the Change -25. The best
period for a secondary trade has past because it's 1)longer than
2 bars from the signal and 2) while signal weight is supportive,
the Change is low. However, our expectations for this cycle
are that it will last at least 1.5 days and the value of the
Primary will drop below zero. With the value of the Primary
now at +4700 and the Slope at -450, this implies 10 bars or 5 trading
hours at the current level of signal weight before the Primary gets
to zero.
June
30: 12:20 pm
Signal
weight is -1380, the Change -65. The trading model is short
SPY at 91.74 with a GTC cover at 90.84.
I've
received several emails from users regarding the nature of the "average"
cycle on the Secondary and the effect on signal reliability. With
respect to cycle duration, the first answer is they last as
long as they do. There are only two types of markets, trending
and not trending (sometimes referred to sideways markets). As
many users already know, I tend toward the totalitarian principle
which states 'if it's not mandatory, it's forbidden'. Since
the slope of the Secondary is used only to determine which signal
can be confirmed, whether it continues to move in a direction or
not is really irrelevant. A signal is a signal and from that
perspective that's all we need to know.
Cycle
duration is what it is and our goal is to be able to predict the
slope of the Secondary at any point in time by measuring signal
weight. When the Secondary is flipping, it tells us that there
is no trend in signal weight, it's flat. The model will issue
short or long signals accordingly. So the short answer to
the question is none, there is no average, it simply ranges.
Which
leads us to signal reliability. Reliability, in my mind, is
related to the length of time it takes from signal confirmation
to the point where the Change reaches zero. The longer we
know a cycle will last, the more time we have to achieve our goals.
The perfect example of this was Friday's short signal because
the value of the Primary was high and the Change value low. Reliability
is measured solely by signal weight's affect on the Primary expressed
as the Change in Slope.
June
30: 11am Enter Short Confirmed at SPY 91.74
The
short signal has confirmed at SPY 91.74. The trading model
is short SPY at 91.71 with a GTC cover at 90.84. A move back
to SPY 92.30-92.40 +- over the next hour will be an opportunity for a secondary
short if signal weight and Change values remain strongly negative.
June
30: 10:30am Slope Change Down Confirmed, Early Enter
Short signal issued
The
slope change down has confirmed and an early enter short signal
has been issued that will confirm at 11am if signal weight is greater
than -20.
UPDATE
10:50am: With signal weight at -1386, it's obvious the enter
short signal will confirm at 11am.
June
30: 10:18am
Signal
weight is now -728, the Change -82 and the Slope -25. If signal
weight remains where it is now, at 10:30 we will get a double signal--slope
change down, early enter short. This may lock up your program.
The earliest the short signal could confirm is 11am.
June
30: 10:06am EARLY SLOPE CHANGE DOWN signal issued
Signal
weight of -278 has triggered an early slope change down signal that
will confirm at 10:30 if signal weight is greater than -220.
June
30: 10am
Signal
weight of +426 now has the Change at -27 and the Slope +29. To
turn down, signal weight of only -220 is needed. We can get
a short signal today if signal weight is -660 and a slope change
down on the Primary. -660 turns the Secondary down.
June
30: Opening Read
At the
opening, the early enter long signal is still valid. To trigger,
the Slope of course must first be +80 or more at the end of any
bar prior to a slope change down or a change in slope on the Secondary.
Weakly
positive signal weight of +335 has the Change -30 and the Slope
+42. While the Primary is not over-extended at +7600, it will
require signal weight of greater than +1000 to get the Change to
zero, and higher to get the Change up to a reasonably higher number
to trigger the signal.
June
29: Closing Read Early Enter Long signal issued
At 3:30pm,
an early enter long signal was issued that cannot confirm until
9:45am tomorrow. Trading signals cannot confirm at the open
or close of the market. Within moments of the early enter
signal, signal weight fell back moving the Slope from +80 to +77.9
and already out of the range needed for a signal. Nothing
to do but wait for the morning and see the level of signal weight.
With the Change already at only +13, the early enter nearly
qualifies as a "Newman" signal (a signal that comes when
the Change has already reached zero).
At the
close, signal weight was +1098 and the Change only +8. We'll
need signal weight of greater than +1200 tomorrow at 9:45am to confirm
the enter long signal. If that happens, the Change will be
nearly zero and we'll have another Newman signal on our hands.
June
29: 3pm
With
signal weight at +1100, the Change is now only +11.7 and the Slope
+55.8. To get an early enter long signal will be slow as the
Change level is already nearly in single digits. The Secondary
is flat and can go either way depending on signal weight (see Secondary
section above). Tomorrow, extremely strong positive signal
weight will be needed to keep the Primary rising, otherwise it will
fall and attempt to complete the truncated down cycle it started
on Friday.
June
29: 2:20pm Exit Short Signal issued at 1:30 at
SPY 92.66
An early
exit short signal was triggered during the 1:00pm bar that confirmed
at 1:30 at SPY 92.66. The signal failed to achieve its profit
target.
June
29: 12:30pm
No changes
from the prior posting. If signal weight is greater than +1440
during this bar, an early exit short will be triggered that will
confirm at 1pm if signal weight is +1440. Otherwise, an early
exit signal will be triggered at 1pm that may confirm at 1:30pm.
This is the last posting until
2:30pm (off to the gym).
June
29: 12pm
Signal
weight continues to hold strongly positive at +1062, the Change
+26 and Slope -43. An early exit short/early slope change
will occur in 1 hour given the existing level of signal weight.
It's also possible to see a long signal today.
June
29: 11am
With
signal weight at +958 the Change is +29 and Slope -101. At
this level of signal weight, an early exit short/ early slope change
signal will occur in 3.4 bars.
June
29: 10:30am
Signal
weight has reversed, now at +729, the Change +21 and Slope -144.
June
29: 10am
Signal
weight has turned negative at -520 the Change -39, the signal
is back in confirmation.
June
29: Opening Read
Weak
positive signal weight of +246, the Change -11 at the opening. The trading model
is short SPY at 91.69 with a GTC cover at 90.79. The signal
is currently out of confirmation with the Secondary. However,
if signal weight moves below +90, the Secondary will be back down
and the signal back in confirmation.
June
26: Closing Read
Signal
weight closed modestly positive at +664, the Change +120. The
Secondary closed up on the day taking the short signal issued earlier
today out of confirmation but still valid. The trading model
is short SPY at 91.69 with a GTC cover at 90.79.
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