S&P500 relative volume chart

I was looking for the best method to have the S&P 500 volume show up on a chart and I stumbled upon an unusual looking chart that may have some significance.

First, the S&P500 is an index and does not have any volume related directly to the value of the index, it is only a number representative of the group of stocks and their combined value. So I would expect that the volume would be representative of the combined volume of the underlying stocks. Well, the exchange does not send that information with it's feed to the various data processors, like Esignal, stockcharts.com etc. They have to generate this number themselves.

There is an index that I found, $TVOL, which is the total volume of the NYSE. This is not the S&P500 but I think it will be representative of the overall market sentiment.

I found a formula to let me plot this in the lower volume pane of the chart the same as any other volume on a regular equity chart with a moving average, which may be helpful as well. I am not certain yet how this may work on an intraday scale yet.

I have been thinking of trying to track volume at certain times of day to see if the current day is trading higher or lower volume than the same time over the past days. I had not got around to trying to chart this as I was not aware of TVOL yet and thought I would have to come up with my own cumulative market volume indicator, not an easy task.

Which leads me to my interesting chart. I plotted the $TVOL as the primary data on a chart and set it to an hourly chart and this was the result:

Each bar represents one hour, although the first bar is really only 0930h to 1000h as it is set for 0900h-1000h. Worth noting is the last bar as this one is for 1600h - 1700h. Quite a large volume traded after hours, far more than average.

Here is the same chart in a 30 minute period for the last few weeks:
I need to setup a formula to change the colours for each half hour so they are easier to distinguish...but I will only do that if there is any validity or use to the relative time period volume. I think that it will help to differentiate a trending vs ranging day as a high volume start could likely indicate a better moving day...or just a nasty whippy day.

I'll check that out historically a bit then watch it for the next week and see how it correlates. Given the big volume afterhours on Friday I might expect a big day on Monday.

Jeff.

May 29th...small day

I did some trading today....I am finding that "trading" does not equate to placing trades as much as studying the market activity and getting a feel for where the trades are.

This was a funny day and I only placed one trade, made a few bucks as I caught a 20cent move in SDS as the S&P came off of the midweek high. I think that I am trying to hold onto my profits from yesterday too tightly. Get a little cash and I don't want to part with it so I was watching for perfect setups to enter...that led me to miss some nice trades, I tracked a 25cent trade in SSO and I see a couple of others since. Having said that it is a strange Friday as volume was down, end of the month so I don't regret not being active.

I did work on my audible alert system for Esignal. I now can set a fast and slow SMA to alert me with one sound as the fast crosses upward and another as it crosses downward. I plan on using the 10 SMA for a pre-alert, the 15 SMA as the setup and the 30 as the slow SMA all in the TICK data. The next pullback (or rally) into the opposing 100/195 high low average band will be the trigger, no alert and I would like to get this setup to place the arrows for each step. I actually missed a nice trade due to dinking with the arrow on the TICK chart instead of just watching the activity.

I noticed a strange pattern in the TICK data candles today, one that I have noted on other days also. The candles are sparse and there is not much "beef" as the TICK swings from one range to another. Higher volatility usually accompanies this along with fairly tight ranging and less predictable price activity. I plan on going back and determining what the circumstances are but I think that it will have to do with volume and expectations coming off of a certain types of preceding days.

Interestingly this was typical of the TSX and the related TICK data. It looked very similar and I recall it not being a very good indicator.

I don't have charts to illustrate this right now but I wanted to make a note of it.

Jeff.

That's more like it.

I just applied my TICK trading rigorously on the initial move on the S&P500 this morning. The action looks to be muted for a while as everyone takes a breather, consolidates, covers and what-not so I figured I would post the "one good trade" of the day. If I really trusted my entries I would be in SSO right now as the TICK says that it is heading back up...perhaps the pivot point is the new target for a reversion trade...I will sit on my profits for now rather than taking a slow trade that I don't completely trust.

TICK:

Note the declining TICK highs even though the SPX is not moving all that much this is like setting a spring and just winding it up until it gets let loose. I used the trigger (black arrow) but jumped it a bit as I would like to see it hit or pass the upper range, I went with the position of price on the chart as well and it was just testing the 50 sma and the pivot point a bit, looked like a good technical entry anyway.

SDS:

Nice entry at $58.80. I kept the sto rather steep as I figured this may be a short lived momentum style trade, glad I did as I exited at $60.12 for a $1.32 gain.

I see that I should have trusted my reversion indication as the SPX did indeed head back up after this quick sell off. I will wait and watch for a setup once everything gets near the pivot point again though. Perhaps I will not trade anymore as I might expect a range day forming until mid afternoon. I need to study more before trying range days again as I do not do very well in them, I don't think I trust my judgement yet.

Jeff.

May 27th chart followup

Here are the charts for yesterday's setups:

TICK:

SDS:

I started marking these as if I took every indicated trade based solely on the TICK, just for kicks, to see where that might have led. The terribly obvious resistance at yesterday's high could not be ignored as any trades to the upside of this line were doomed, I know as I tried one or two and they went nowhere. So this puts a short bias on any trades and I only posted the lead up to the large drop in the S&P500, everything before that was just tight range trading. The price chart is for SDS, the leveraged bear ETF

Interestingly this could have been played without the TICK altogether due to the solid resistance by just entering short as close to this line as possible...or even a bit over. There are far more ways to determine trade entries...I just like the way the TICK shows me what is going on.

The green arrows are the first indication of the following move and the black are the triggers to make the trade. Given the expectation of the move either of those two trades would have stop loss orders below the black low for SDS from Tuesday (which corresponds to the SPX high). Moving the stop up following the 50sma or the purple 100VWMA ( I am starting to recognize it as a decent stop setting once a move is underway).

Should I have been stopped out on the 50sma after 1430h there was another nice setup after 1500h to get back in for more of the move.

Jeff.

May 27th, little AM trading.

No time to do up charts today so just a synopsis.

I did make three trades. The first two were plays following the TICK as a straight trend indicator, which did not work as there was no trend, just a tight range so I was stopped out both times for small losses...most of my losses are smal at least.

The third was a TICK trade but I waited until the price broke yesterday's high then pulled back for a test. This already happened earlier and failed so I was really playing a long shot that it would not fail... long shots are not really the best moves. I headed out after that and now see that the afternoon had a nice selloff.

According to the TICK data it started at about 1230h and the best next entry short would have been at 1242h, 1248h or 1303h. Others were at 1314h and 1318h and one late one at 1324h.

Checking SDS for price entries at those times all closed from $57.27 to $57.39. The lowest low at any time over that period was $57.22. My stop for SDS to start is usually 15 - 20 cents. In this case somewhere under $57.18 as that was yesterday's high, nice resistance level for SDS that never broke again.

So, had I been in front of the screen would I have traded this one? I think so as the signal was pretty blatant and repetitive.

I'll check the charts closer tomorrow ans see how it would have faired as a trade, how much I may have captured given my regular stop settings and what not.

Jeff.

May 26th running commentary

I anticipated a down day today in the S&P500...for no other reason than I figured that I should pick a direction. Seeing as the pre-market was mostly below Friday's range I figured it was an OK shot...but not worth trading solely on that premise. As it turns out I was wrong...a day when being able to change trading plans on the fly and not getting stuck into being "right" are important.

By 1000h the SSO, SPY etc hit the pivot point at $24.53 and never slowed down until past the R2. I am determined to only play the TICK setups that I now know to be high probability setups but I was not on the ball this morning (phone calls for most of the AM) so I did not get in until later on.

Check the overlayed chart with the SPX in black followed by financials, technology, health care and energy. I have another that includes some other important sector ETFs but I can only fit five on one chart so I run two charts with the SPX as a reference between the two. It looks OK. Today it was pretty obvious that everything was, more or less, in synch

Here is the TICK chart with the notated trade triggers in green arrows with the possible trade entries in the following black arrows:

Here is the SSO chart with the corresponding trades noted. I only marked the first actual trade entry for each trigger. Note that trade 2 was the only one that I got into today due to AM phone calls and afternoon appointments. Most of the others I tracked including the very first one.

I ended up getting stopped out, I didn't notice the 100VWMA (purple) coming up to the price level, I should pay attention to this as it seems to be a fairly relevant support line often. Seeing as I was quite late getting in I tried to keep a tight stop loss using recent resistance...I made a few bucks but there was more potential left in the move.

Once I get more confidence in my trades in this market using this style I will feel better about letting the stop ride longer. This move did take a long time to get going though so I suppose it wasn't so bad to be out. Long consolidations tend to be unpredictable...for me, so far, at least.

Hmmm...the TICK trigger trading looks simple but there is a lot more going on behind the scenes than I really think about anymore. If, for some unusual reason, this does not work out to be a tradeable system the whole point is moot. Although I expect it to work out nicely, once I get my rules in place and start applying them properly, it will not be quite as simple as "this does that then do this". There is the stop setting, which I have not nailed yet, the entry timing, the market movement mode (trending, ranging etc) and some other stuff that seems "common sense" now but in some way affects the trade management.

Oh well...likely not much trading tomorrow, off to see some distributors and clients in the city. Maybe one or two morning trades if I can manage to squeeze them in AND they setup perfectly for me.

Jeff.