Hello everyone, here's a follow up to the exhaustion trade
statistics: Today marks the 24th consecutive close above the
8 day SMA along with %K over 88%. Over the last 50 years,
this condition has only occurred 4 times, max draw down on $100,000
is only -$393! Target is a close back below the 8 day SMA over the
next 4 - 5 days
Condition: On the SPX cash, price closes above the 8 day SMA for
24 consecutive days along with a 10 length %R indicator also
closing above 88%.
The key is that the SPX needs to close up for today with the %R
staying over 88%, obviously we'll have to see how it looks near the
close
the images below, the first one shows the current SPX chart, the
second shows the Tradestation Statistics, the 3rd shows you the
trade list, the last 4 charts show you every trade on the chart at
that time, 2012, 2006, 1998, 1986, interesting thing to note is
that note one of those instances was a major top, just a quick
pullback then prices moved higher
clearly this QE driven market, is causing historical moves in
the market, I was stopped out my last ES contact early morning.
I did enter another another ES short based on the 15 min chart
getting too far from the 9 EMA as you can see on the candlestick on
the attached chart, I'm not sure how much room I'm going to
give it, just playing by ear. I know that eventually price
will close back below the 8 SMA, so I may just scale in at spots
when I see opportunities.
Clearly this QE fueled market has caused historic moves in the
market, those were pretty strong stats, but again, the trade how I
scanned technically doesn't have a stop, you close out when price
closes below the 8 MA which eventually has to happen, and everyone
of them in the past took 4 - 5 days to close, so I suppose
technically it's still following history from a time frame
perspective, but NOT from the max draw down perspective of course
as the draw max draw down on this one exceeds all the past ones.
Ugh annoying...
on SPX cash the max draw down is 636 so far on this trade based
on 100K, the previous max draw down was -393 as you can see from
the second image
Well on the cash SPX, the max draw down was less than $400 based
off 100,000, which is -0.4% since I'm using a round number of 10
it's easy to calculate the percentages. Generally I like to
place a stop above the intra day max draw down, so a stop >=
0.4% could do. Maybe if you wanted to give it room 0.5% or
0.75%. You never know the current trade will exceed the past intra
day draw downs but still end up being a winner so if you set it too
tight you can get stopped out but in the end the trade would have
worked, so hard to give an exact answer, but maybe this info helps
you decide,
Clearly if one didn't do the trade today because maybe you
thought we could go a little higher, any higher prices that you can
get from the close the condition will still be in place and risk
would be reduced. very short term on a 15 min looks like a bull
flag
What I did was sell 1 cc with a tiny gain, and kept the other1
cc and widened my stop-- so your explanation did help. But
then I decided to sell the 2nd cc, , so I would reenter
as one of your suggestions, should it go up to some resistance
point.
hello winter, ha kind of funny, I actually took some contracts
off too that I had short, around 6:15 EST for some profit, a friend
of mine recently completed a huge project where he compiled all the
trade history from every hr to every day into a huge database, he
was telling me that based on history tomorrow would be up based on
his stats, and after looking at futures tonight maybe we'll see
more upside, so that's fine I can just add back what I covered at
higher prices. I've asked him to compile the data for me into
a usable graph and is going to give the database to me so I can use
it for future things, anyway time for bed
also - on these exhaustion trades, it generally takes 3 - 5 days
before price closes back below the 8 MA
In order for that condition to be met the market needs to close
up, currently the condition is not being met after this pullback.
again we have an hr left so anything goes I suppose, but as
of this moment the condition has been lost again
now interestingly on ES futures the %K works all the way down to
80%, which it still is above
Exhaustion Statistics follow up
Posted by matt on 20th of Nov 2014 at 11:39 am
Hello everyone, here's a follow up to the exhaustion trade statistics: Today marks the 24th consecutive close above the 8 day SMA along with %K over 88%. Over the last 50 years, this condition has only occurred 4 times, max draw down on $100,000 is only -$393! Target is a close back below the 8 day SMA over the next 4 - 5 days
Condition: On the SPX cash, price closes above the 8 day SMA for 24 consecutive days along with a 10 length %R indicator also closing above 88%.
The key is that the SPX needs to close up for today with the %R staying over 88%, obviously we'll have to see how it looks near the close
the images below, the first one shows the current SPX chart, the second shows the Tradestation Statistics, the 3rd shows you the trade list, the last 4 charts show you every trade on the chart at that time, 2012, 2006, 1998, 1986, interesting thing to note is that note one of those instances was a major top, just a quick pullback then prices moved higher
advice on this trade please?
Posted by bravestar on 24th of Nov 2014 at 10:48 am
i shorted with etfs thursday evening. my loss not too big yet.
clearly this QE driven market,
Posted by matt on 21st of Nov 2014 at 09:55 am
clearly this QE driven market, is causing historical moves in the market, I was stopped out my last ES contact early morning.
I did enter another another ES short based on the 15 min chart getting too far from the 9 EMA as you can see on the candlestick on the attached chart, I'm not sure how much room I'm going to give it, just playing by ear. I know that eventually price will close back below the 8 SMA, so I may just scale in at spots when I see opportunities.
Clearly this QE fueled market has caused historic moves in the market, those were pretty strong stats, but again, the trade how I scanned technically doesn't have a stop, you close out when price closes below the 8 MA which eventually has to happen, and everyone of them in the past took 4 - 5 days to close, so I suppose technically it's still following history from a time frame perspective, but NOT from the max draw down perspective of course as the draw max draw down on this one exceeds all the past ones. Ugh annoying...
on SPX cash the max draw down is 636 so far on this trade based on 100K, the previous max draw down was -393 as you can see from the second image
Sorry guys - been tied
Posted by matt on 20th of Nov 2014 at 04:24 pm
Sorry guys - been tied up here with trades and customers.
The exhaustion chart has been met!
Exhaustion trade
Posted by winter39 on 20th of Nov 2014 at 04:39 pm
How many point stop is generally used for this trade?
Thank you , and for your diligence in tracking this rare trade (4 times in 50 yrs)
Winter39
Well on the cash SPX,
Posted by matt on 20th of Nov 2014 at 04:42 pm
Well on the cash SPX, the max draw down was less than $400 based off 100,000, which is -0.4% since I'm using a round number of 10 it's easy to calculate the percentages. Generally I like to place a stop above the intra day max draw down, so a stop >= 0.4% could do. Maybe if you wanted to give it room 0.5% or 0.75%. You never know the current trade will exceed the past intra day draw downs but still end up being a winner so if you set it too tight you can get stopped out but in the end the trade would have worked, so hard to give an exact answer, but maybe this info helps you decide,
Clearly if one didn't do the trade today because maybe you thought we could go a little higher, any higher prices that you can get from the close the condition will still be in place and risk would be reduced. very short term on a 15 min looks like a bull flag
Exhaustion Trade
Posted by winter39 on 20th of Nov 2014 at 09:05 pm
Thank you very much Matt.
What I did was sell 1 cc with a tiny gain, and kept the other1 cc and widened my stop-- so your explanation did help. But then I decided to sell the 2nd cc, , so I would reenter as one of your suggestions, should it go up to some resistance point.
hello winter, ha kind of
Posted by matt on 21st of Nov 2014 at 01:13 am
hello winter, ha kind of funny, I actually took some contracts off too that I had short, around 6:15 EST for some profit, a friend of mine recently completed a huge project where he compiled all the trade history from every hr to every day into a huge database, he was telling me that based on history tomorrow would be up based on his stats, and after looking at futures tonight maybe we'll see more upside, so that's fine I can just add back what I covered at higher prices. I've asked him to compile the data for me into a usable graph and is going to give the database to me so I can use it for future things, anyway time for bed
also - on these exhaustion trades, it generally takes 3 - 5 days before price closes back below the 8 MA
here's the confirmation
Posted by matt on 20th of Nov 2014 at 04:28 pm
here's the confirmation
In order for that condition
Posted by matt on 20th of Nov 2014 at 03:04 pm
In order for that condition to be met the market needs to close up, currently the condition is not being met after this pullback. again we have an hr left so anything goes I suppose, but as of this moment the condition has been lost again
now interestingly on ES futures the %K works all the way down to 80%, which it still is above
Here's a newsletter I made
Posted by matt on 20th of Nov 2014 at 12:10 pm
Here's a newsletter I made on the condition, I'm going to email it out shortly
CLICK HERE for the newsletter