Size matters

Above are results for the HLC Low system for IWM, Qs and SPY.

Optimimized inputs are as follows: IWM 7,14 ; Qs 4,13; SPY 2,13

Average % profitable is 70%.

I haven't explored the importance of volume in the systems I've previously profiled, but here's a quick look at what happens when we add a volume component to the HLC Low system.
TS2000i code for the 3 performance reports below now reads:

Inputs: Len1(2), Len2(9);
If Close=HighestFC(close, Len1) and low=highestFC(low, Len1) and high=highestFC(high, Len1) and Volume=highestFC(Volume,Len1)
Then Sell This Bar at Close;
If BarsSinceEntry=Len2
Then ExitShort this bar at Close

The code highlighted in blue is the sole addition to the previous HLC Low code.

We could tweak the system a little further by making the volume length a separate input variable (Len3), but I'll leave that testing to my more motivated readers.

Note that the Inputs for IWM have been optimized to 2,9. The top optimized value is actually 2,13, which yields an additional $1000, but from a risk management perspective I prefer this max consecutive win/loss ratio in lieu of the enhanced return.

Optimized Inputs for the Qs are 1,12.

Optimized Inputs for the SPY are 1,14.

The average % profitable for the 3 examples has now risen to 83% with a considerably improved max consecutive win/loss ratio.

This system is just something to play around with and should be regarded only as a jumping off point for further volume impact explorations. Nevertheless, the win/loss ratios and % profitable numbers are very impressive and may warrant the time and effort of additional testing.

Keep in mind these are all SHORT ONLY examples. The long side trades perform no where near as well, no doubt reflecting the downtrend momentum of most of the test period. This can also be noted in Monday equity curve profile, where the first dozen trades produced only marginal returns since the markets were still uptrending at that point.

GE system variations

One of the nice characteristics of GE is the way it reacts to the pivots. In some cases more reliable than the Qs or my all time favorite IWM, GE momentum can be gauged fairly accurately by looking at proximity to the pivots. Friday's intraday behavior - shown above in 2 minute bars - is an exceptional example of this behavior. By using the parabolics (white circles) and 8/16 MA crosses (white arrows) for trade triggers, it's relatively easy to scrape several profitable trades out of GE each day with a minimum of risk exposure.

Generally, the better the technical alignment of a stock or ETF, the better the performance of a benchmark testing system. That being said, here are the results of using the High Count Reverse (HCR) system (profiled Friday) as applied to GE

The HCR is, of course, a short side only system, but with a 13:1 consecutive win/loss ratio, this is a highly attractive risk/reward approach, especially when one examines the max intraday drawdown of $160.

Finally, here is a little variation of the HCR system that produces twice the return of the HCR, with twice the Max intradday drawdown and a 9:2 consecutive win/loss ratio. The focus of the system is selling strength as defined over "X" number of days as defined by optimizing the "HighestFC" function of TS signal builder.

TS200oi code for the 3 day HLC Low system:

Inputs: Len1(3), Len2(6);

If Close=HighestFC(close, Len1) and low=highestFC(low, Len1) and high=highestFC(high, Len1)

Then Sell This Bar at Close;

If BarsSinceEntry=Len2

Then ExitShort this bar at Close;

Since the code contains none of the dreaded <> symbols, Blogger has obliged me and allowed the post in open format.

2 High, 2 Low

Just fooling around with the RSI Lag setup and streamlined the code, minus the RSI component to produce this little ditty. This looks a lot like the High Count Reverse (HCR) system that's part of the dirty dozen BZB systems (side panel of blog), but with the slight variation that the entry doesn't necessarily immediately follow the consecutive 2 higher highs or 2 lower lows. The fixed exit on the shorts has been compressed to 6 days, instead of the 9 days for the HCR, but keep in mind that pyramiding was turned on for the HCR and is not enabled here. The practical implication of using pyramiding is that you make more, but you also risk more and deploy more capital with each successive signal. The dramatic skew between the 2H2L holding times for profitable longs (1) and profitable shorts (6) highlights the negative slope of the markets for the majority of the backtesting period.

Code below in TS 2000i format:

Once again I apologize for the Blogger's refusal to let me post the code in open format so you can just paste and copy to your platform. The <> symbols in the TS code seldom transpose to Blogger correctly and frankly I got better things to do than spend 30 frustrating minutes trying to get the thing to format correctly, even when I first copy the copy to word or excel and then repost and repost and repost . . .

GE scalps

Two nice GE/NYAD setups yesterday that illustrate GE's penchant for sticking to the pivots, as GE swung picture perfect between PP and R1.
The first trade kicked off at 10:30 with a parabolic confirmation with GE having diverged from a rapidly ascending NYAD for the preceding 30 minutes. With the NYAD turning positive again at 11:00 after a 30 minute pullback, I'm encouraged to stick with the GE trade until 11:20, when the parabolics fire a SELL signal and both GE and the NYAD turn down in tandem.
Net time in trade= 44 minutes. Trade gain = 17.86 - 18.15 = .29
The second setup fires a SELL at 12:20, again confirmed by the parabolics, although that first reversal bar to the downside is a whopper. The continued downslope NYAD then carries GE back to the PP pivot at 13:00, accompanied by a parabolic COVER signal as both GE and the NYAD reverse up.
Net time in trade = 40 minutes. Trade gain = 18.37 - 18.02 = .35
Total exposure of the 2 trades = 84 minutes for a total gain of .64. This is a little less that the typical .01/minute that these scalps have been averaging . . . but you can only get what the market offers and make the best of it.

Butterfly Details

For some reason the previous post Butterfly Excel picture will not expand when you click on it, so here are the files in a larger format so that you can actually read the cells and numbers.
Hope that helps.

Mid Week Update

Qs, IWM and XLF are showing almost identical chart patterns, having broken through the upper LR30 channel band for 2 days. Once again, these 3 ETFs are poised to kiss the channel good-bye to the upside. The mid panel technical are somewhat ambiguous, offering little guidance for the possibility of a sustained rally. Coupled with the weight of deteriorating fundamentals, an alternate scenario is a retracment back to the LR30 means, or if things get rolling , a retreat to the lower channel band with XLF and the Qs the most likely candidates as they approach overbought levels of the RSI.

XLE is an another story entirely and fits nicely into the Butterfly options model which I mentioned some time ago with 47 providing a nice mean reversion pivot for the spread.
Many brokerages allow 3 legged trades for one commission. The expanded butterfly with 2 focus strikes (47 and 45) reflects a bearish outlook for XLE. Coupling 47 and 49 as target strikes would reflect a more bullish outlet. (not shown)

More RSI Lag Trades

I ran a few more examples of the RSI Lag system profiled yesterday just to test the robustness of the concept. After testing over 20 ETFs and equities, I found the average return was just over 70%. Not bad for a simple system that seldom keeps you in the market for more than 6 days. Per the reference to Lentz/Graham article, the algorithm may also be useful in collecting short term option appreciation, rather than the focus of the article, which was premium decay. Keep in mind that this system reverses the buy and sell signals from the Lentz/Graham model.
Optimized inputs for GE are 13,14,2,1

Optimized setting for QQQQ are 14,14,6,4

Optimized settings for MSFT are 15,16,5,1

RSI Lag Trading

I've mentioned the concept of lag in previous posts and an article in the latest Futures and Options Trader e-magazine stimulated my otherwise semi-comatose brain to explore a relatively simple, but practical systems application. Subscriptions to the magazine are free and I always look forward to the unique market perspectives frequently found within. Go here to signup and download the current (December) issue. You don't have to be a futures or options trader to benefit from the frequent trading nuggets of wisdom that are profiled.
The article in question was by Steve Lentz and Jim Graham of OptionVue and they employed the RSI lag to time bear call spreads or bear put spreads. They don't mention the period of the RSI they used for their model, but I optimized the thing in TS and found RSI14 on the short side and RSI11 on the long side work best for the IWM. The system as they define it has a good track record, although the drawdowns are a bit onerous, and the average holding time for winners is 37 days, which, if you've followed me for a while, is about 35 days more than I'm comfortable with. So I reversed the signals and morphed the concept into a short term (2-5 day) equity trading system (no options). You, gentle readers, are welcome to pursue the original intent of the article, but the above system trades more frequently and manages risk a little better, IMHO.

TS 2000i code is shown below and is optimized for the IWM. I added a fixed bar exit which is variable for the longs and the shorts to accommodate the added market momentum of the down moves. That is, downside moves are typically of greater range than upside moves so what takes 5 days to go up may only take 2 days to go down. The optimization test for this system seems to support that notion. FYI: I use the "Then Begin" and "End" conditions to assure that the system doesn't fire until the initial Lower Low and Higher High non-conformation with the RSI has transpired.

Blogger has refused to let me post the code in open format as it won't recognize the > symbol without screwing up the entire code so no cut and paste today.

Mean reversions

The Qs, IWM and XLF have now reverted to the LR 30 mean. XLE has slid a bit as suggested in the previous post, although IWM has not followed suit. Interestingly, XLE has the most bullish looking LR30 channel, having now moved from downslope to barely upslope, while the LR11 is now clearly upslope. XLE also has the lowest RSI2 reading, further suggesting a poised position for an upthrust, although the MACD's position argues for some caution.
In an abrupt change of character, all 4 of the basket are looking moderately bullish. If the big 3 do get their handout, the expectation is for a rally of some substance. If not. . . welcome to the next leg down. With Fridays having a recent habit of being down days, voting on the handout may be delayed until the weekend for maximum effect.

Tuesday bounce

If you're underwater for the year, your're not alone. Of the 11,585 stock mutual funds tracked by Morningstar, 11.584 have lost money this year. The sole exception is APX MidcapGrowth Fund, which so far this year has returned a stellar return of 0 percent.
Why anybody would want to own a mutual fund, burdened by end of day selling/buying restrictions, load fees and documented manipulation is beyond me when there are over 800 ETFs covering almost every imaginable market and that allow intraday trading and price transparency.
Here's an update of the NDX A50 and A200. Just in case you thought the markets were gaining some traction, check back to my Nov. 15th post of the same charts.
A50 AROON is on a BUY, A200 AROON is on a SELL.

Monday Update

Today's decline was pretty well forecast by my little friend the RSI2 in all 4 of the ETF basket, as they all rolled over on Friday . Just a quick gander at these four charts should provide a compelling argument for following this indicator and justify its merit in several of the BZB dirty dozen systems.
The IWM and XLE appear to be most prone to further decline based on their distance from the lower LR30 channel already hit by the Qs and XLF. This doesn't mean that the Qs and XLF aren't subject to further decline, but rather that the IWM and XLE are probably more prone.
Coupled with the RSI, the LR30 has done of great job of providing tradable support and resistance levels for the past two months and deserves to be monitored seriously by swing traders.
With the LR11 now downslope in all 4 ETFs and a wave of selling expected in December as the commercials dump losers and rebalance portfolios, swing traders favoring the long side should be wary that once the lower LR30 channel gets crossed, the next decisive action may be kissing the channel good-bye to the downside. This prospect is supported by the fact that RSI2 has a ways to go before oversold conditions develop again.
All four of the basket are now in confirmed downtrend per the LR30 studies.

Thanks for the support

Thanks to all the nice folks who sent me comments or emails with your best wishes for my wife. They were appreciated. I'm back at the computer for a few minutes a day, but not trading again yet. Still sorting through those 262 emails I received while I was away. Bears look like they're winning the battle as the news gets more depressing each day so I'm glad to be in cash.
I pulled my wife out of the hospital after 2 and half days although she was supposed to be there 4-5 days. They had a MRSA outbreak in 2 of the rooms about 100' down the hall and were about to quarantine a quarter of the ward, when I called the doctor and told him we were escaping. Since his office is across the street from the hospital, he came over and after assessing the situation agreed with my plan and I then literally carried Carole out of the hospital and brought her home. If you ever want to be around a bunch of really sick people, just go to the hospital. And I'm not talking about the patients, I'm talking about the staff which, after this latest adventure, I will refer to as the staph. Since Carole's mobility is extremely limited, I'm still focused on her care and will be for the next week or so. Until then . . .

I'm Off for a While

My wife Carole is having surgery early Monday morning and will be hospitalized for a week. Thereafter the recovery process will require several weeks of close attention and my intensive participation. During this period I'll have little time to monitor or trade the markets and I am therefore suspending new posts to the blog, although I may manage a weekly update.
In the interim, for my loyal cadre of daytraders . . . I suggest you go back and study the GE /NYAD posts that began on October 23rd. This is, hands down, the most reliable, low risk and low stress scalping technique that I have found . . . and that's saying a lot. I hope you realize that the only reason this trade works so well lately is due to VIX60 conditions. Up until a few months ago this type of arbitrage trade against the NYAD could only make money for prop shops and commercial traders who could throw vast amounts of capital at these trades and scalp off a few pennies. With the current volatility, these trades are a whole new game, so squeeze out the juice while you can. The 816 cross updates that began on October 22nd are also worth a close review, both as a confirmation for the NYAD divergent trades and a stand alone trending indicator.
For you swing traders . . . good luck . . . and I really mean it!

Weekly Update

The 4 ETF pivot chart pretty much tells the story and although the ranges contracted a little bit, the momentum was clearly down, with 3 of the basket closing on the low pivot of the week and the Qs between S1 and S2.
Check out the pivots for the coming week on the right side panel of the blog, they are all at new low PPs.
Once again the NDX is bouncing off the 50MA and the A200 continues to ride the 20MA down.
While I find little technical evidence of an impending Santa Claus type rally, Peter Worden has a somewhat different (bullish) spin based his classification of Thursday's action as a one-day-reversal pattern. Keep in mind that the Worden video was released some 80 minutes prior to Friday's market close, so he missed that market min-collapse in his analysis.

Friday GE scalps

I managed to get 4 GE /NYAD divergence scalps off today. . .more than usual but when the signals pop up you've got to take em. In each case GE diverged positively off the NYAD slope actual and projection (orange and blue) and in each case the trades were of relatively short duration.
Trade 1 - 11:28, the parabolics fire a SELL after a little 12 minute runup.
I enter at $16.18 and ride the slope down to the parabolics COVER at 11:44 at $16.02.
Time in trade = 16 minutes, net gain = .16
Trade 2 - 12:48, the parabolics fire a SELL after a 24 minute runup.
I enter at 16.22 but 4 minutes later the parabolics are fire COVER, and I'm out at 16.15
Time in trade = 4 minutes, net gain = .07 (I'm a bit shaken by that last trade, as the reversal was unexpected, but I'm sticking with the plan.)
Trade 3 - 13:00, after only another 7 minutes the parabolics are again on a SELL and I enter ( a little late) at 16.23. This proves to be a good trade that carries for the next 15 minutes before the parabolics fire a COVER at 13:16 and I'm out at 16.08.
Time in trade = 15 minutes, net gain .15
Trade 4 - by 13:30 GE has retraced back up to the 12:56 high and forms a litle squat bar for the next 12 minutes, so we know a break in coming. I'm still bearish on the markets at this point and the NYAD is supporting my negative bias so with the parabolics on a SELL at 13:42 I sell at 16.28. We the get a big bar down, but don't break through the PP, which is actually bullish, so when the parabolics fire a COVER at 13:52, I'm happy to close the position at 16.18 and get flat.
Time in trade = 10 minutes, net gain .10
None of the trades were big winners, but I did manage to collect .16 + .07 + .15 + .10 = .48 with only 45 minutes of exposure.
I'm done for the day.

Qs / NYAD and the 816

I've mentioned the 8 and 16 MA cross in previous posts as a highly reliable trend indicator. Today certainly provided a great example of using the 816 with the NYAD to guide your trades in underlying securities. The 816 NYAD tell works best with the indices, especially ETFs like my sample basket. It was interesting today that virtually all the 816 crosses in the NYAD synced perfectly with the 816 crosses in the Qs. Where the 816 NYAD really earned its money today was in revealing the false cross in the Qs about 14:06. If you followed the lead of the NYAD you stayed in the trade and avoided being flushed out of the Qs bullish move and the subsequent impressive short term pop.
In my own experience, if I get stopped out of a daytrade with the 816 cross, I'm reluctant to re-enter the trade for at least 20 minutes, or until I'm confident that the trend has indeed resumed or reversed. That's just a little risk management tool I use because I'm old and my mind is easily confused. Watching the NYAD in lieu of the underlying and trading according to the NYAD 816 may cost you a few pennies in drawdown but it will typically keep you from being kicked out of trades prematurely as market makers run stops and play other head fake games.

Mid Week Update

I was really expecting a little pump today, but the technicals tell the tale. With today's slide the idea of kissing the channel goodbye with an upside bounce is pretty much out the window. Volume is increasing in conjunction with selling momentum.
All 4 of the ETF basket have kissed the LR11 good-bye to the downside.
Side note: GE down 8.5% today on volume equal to the Qs and XLF. OUCH!!!!
Not one of the mid-panel technicals is bullish, so what started out the week as a neutral forecast has now become resoundingly bearish and the trading range market that was expected has developed into a solid downtrend. For swing traders, the danger here is assessing the odds for a near term rally against further declines.
Perhaps surprisingly, in the face of the virulent selling today the VIX only jumped 8% to 66.46 with an intraday high of 67.19. I think we're going to see VIX 80 again before the bottom . . . the big question is when.
If we don't get any upside relief tomorrow, the odds of it happening on Friday or Monday are slim . . . recall my studies on selling Friday and Monday for a quantitative view.
Not a time to get frisky with your account.
Yes . . . there is some good news . . . guns sales are up . . . way up!
And . . . consigliere Paulson said late in the day that done of the bailout money would be used to buy bad mortgages. Wasn't that Bush's argument for the bailout in the first place? Hey, I'm old, I probably just misunderstood.

The Elephant and the Irish Setter

One e-mail I received recently asked me to clarify the reasoning behind the NYAD / GE divergence studies I have posted for the past several weeks.
The best example I can offer is by comparing an elephant to an Irish Setter. The NYAD, like the elephant, cuts a wide swath with considerable momentum and it's trail is easy to follow. While elephants do go rogue occasionally, that is not typical behavior. At the same time I'm reminded of a friend's Irish Setter, a delightful dog, that was a complete airhead, seemed to have the ability to run in several directions at once and seldom responded to voice commands in any meaningful way. Off leash, the dog would disappear for hours at a time, only returning for chow time or inclement weather. Think of the NYAD as home for our divergent Irish Setter stocks.
To date, I have only mentioned GE in conjunction with the NYAD. However, if you set up the 2 minute chart template as I have shown on multiple posts and then examine NYSE stocks like HD, MCD, WMT and VZ you'll quickly see very similar trading possibilities.
And if you really like excitement, load a few NAZ stocks like PCAR and EXPD against the NYAD.
Within an hour of fiddling with the template you'll have a stable of NYAD divergent trading candidates that will keep even the most hyper daytrader busy for a looooong time.
Some readers have commented that my trading style seems boring because I only focus on one or two ETFs at a time and just trade them up and down.
My response is . . . that's what works for me. I get up 15 minutes pre market open and often shut down well before the final bell. If I didn't spend a few hours a day blogging and testing ideas I'd have a lot more time to play golf and still have the same amount of money in my pocket.
I don't spend any time running scans, sorts or RS studies. I seldom read my live news feeds and consider most fundamental analyses generally flawed and after the fact.
And my expectations are pretty dull too. I just try to generate a steady income stream from day to day. I'm content to make .40 - .60 on a couple thousand shares a day with minimal exposure. I seldom have a tremendous day, but I never have a horrendous day. That's just my style of risk management and liking to sleep at night. I've tried lots of different trading styles in the last 23 years, and this suits me just fine. Each trader needs to find their own risk comfort level and their own trading style, whether it be discretionary, systematic, algorithmic, technical, fundamental or (most likely) some hybrid.
Hope these posts provide some ideas to help you find yours.

GE Monday

A refreshingly obvious and easy GE / NYAD divergence trade this morning.
Trade setup as per previous posts:
Do not enter setup for first 30 minutes.
Trace GE and NYAD slope when they start to diverge - in this case 10:00
After 20 - 30 minutes extend the NYAD slope line - blue line
Wait for reversal in either GE or the NYAD - in this case GE reverses down at 10:30
Parabolics fire a SELL (inital trade signal) and 6 minutes later the 816 crosses down (confirmation). We are now double short (2 positions).
GE crumbles down to the NYAD slope mirror - pink line at 10:56 and continues to ride it down in sync with the NYAD's continuing downslope behavior.
EXIT - at 11:0 the parabolics fire a COVER signal as GE comes off 2 little dojis.
Although the 816 has not crossed in GE, the NYAD 1 minute bars display an 816 cross in conjunction with a parabolics reversal to the upside.
As I've mentioned in previous posts, I often toggle to the 1 minute bars for an exit signal in an attempt to capture as much gain as possible. This tends to lead to whipsaws, but that's the risk management tradeoff that works for me. Another option is to close half the position and let the remainder ride. That would have worked nicely in this scenario as GE is down another .21 since I closed my position and the NYAD is once again downslope, but I'm off for the rest of the day and wanted to be flat.
Net gain: $ .43 for 56 minutes exposure.
This was a long duration trade relative to previous GE examples but, Hey!, every once in while you get a runner like this that just keeps going.

Weekly Pivots Update

Here's the weekly pivots update for the 4 ETFs. The range expansion that I was expecting didn't quite pan out, although the XLE did produce a very modest expansion. Looking forward to next week, all the ranges have contracted substantially except the XLF, which remains essentially flat.

Above is the Qs weekly pivot data running back to 7/3/08 which looks at the MAs of the PP pivots and the MAs of the pivot ranges (charting series 1-5).

Below is the charted progress of the Qs for the past 3 weeks:

Each of the 3 charts becomes progressively longer as we add the present week's data to the string. The gradual decline in the Qs momentum that began the week of 8/29 (week 6) is clearly seen here, as is the range expansion that accompanied it (think volatility).

Last week's chart was interesting in that we began to see a flatting of the Qs pivot and range declines. This is assumed to be the first step in any market reversal to the upside and as such, this week's chart was eagerly anticipated.

And here we go!. The coming week's PP of 31.87 is a modest gain over last week's 31.62, but the Range MA3 has dropped a full point and the Range MA4 has dropped .5 points. Both these trend lines are now looking neutral to bullish and whether week 14 will turn out to be the bear market bottom remains to be seen.

Weekly Update

Another week and we are technically right back where we were 5 days ago . . . riding the upper LR 30 channel line. The difference, of course, is that all 4 ETFs made attempts to kiss the channel good-bye . . . and failed. While there are instances where a return to the upper channel line has served as a springboard to new highs, the current underlying technicals are neutral to bearish, with the exception of the RSI2, which is fast approaching oversold levels in all 4 ETFs.
Volume in all 4 was below both the 10 and 20 DSMAs all week, which suggests that the big money remains on the sidelines despite the election.

As suggested last week, the MA50 served as overhead resistance for the A50's rise and Friday's surge has provided a little pause as the A50 looks poised to retreat back to the 20DMSA. I've added the AROON indicator to the chart for more guidance, which in this case is in a SELL mode.

The A200 looks very similar to the A50, the difference being that price has already retraced to the 20DSMA. The A200 AROON is also on a SELL.

MACD on both the A50 and A200 are dead on the zero line and trending down short term.

Not a lot to go on for next week which, given the current technicals, is more likely to be a trading range market than a trending one.

More GE Trades

Today's GE scalps shown above.
11:00 divergence of GE and the NYAD on 2 minute bars (white down arrow), which (interestingly) corresponds to an 816 cross.
The divergence lasts 10 minutes (which as mentioned in previous posts, is a typical duration.)
Parabolics fire a SELL on GE at 11:16 while the NYAD continues down.
For my own trading I frequently take the trade after the second 2 minute parabolic signal (white dot) and then double up after 4 dots, as this confirms the trend.
This turned out to be a really nice fade that lasted 18 minutes that produced a .42 gain before the NYAD reversed at 11:38 (big pink blob) and kicked me out of the trade.
The next setup kicks off at 12:50 when GE and the NYAD once again diverge until 13:08 (or 18 minutes, which is on the long side of the expected divergence duration).
At 13:08 the parabolics fire a SELL and GE drops .08 in 2 minutes.
I enter short at 13:09 (late to the game) and exit after only 10 minutes when the parabolics fire a COVER and GE hits the mirror of the NYAD downslope line and projection (orange/blue line).
Net gain from trade = .07 (Hey!, at least it wasn't a loss).
With the NYAD still downslope and being a glutton for punishment, I short GE again at 13:33 on the parabolic SELL signal.
My target, of course, is . . . (this is a test). . .the mirror of the orange NYAD downslope line.
16 minutes later our target gets hit and with the parabolics firing a COVER signal at 13:49 (on 1 minute bars), I'm out.
Net gain from trade = .10, so a little better than the previous but nothing to write home about.
I'm done for the day as I've a few errands to attend to.
Summary for the day. . . 3 trades. . . total gain .60 and I'm flat going into Monday.
Today's total range for GE (as of 15:00) is 18.28-19.10 = .82 . . . so I'm happy to walk away with .60 for 44 minutes of exposure.

A Different View of the NYAD

Here's a look at the NYAD compared with the Qs for the last three months on daily bars.
First of all, I need to clarify that I wouldn't trade the Qs or anything else based on the NYAD daily chart, even if I was being prodded to do so with a red hot poker.
I've already expressed my daytrading bias and focus in many previous posts, and this same bias extends to the NYAD. The price scale skew that typifies the NYAD at the market open is a giant caution flag for any traders (like myself) trying to use the NYAD to guage momentum divergence . . . which is why I have suggested not implementing any NYAD based trades during the first 30 minutes, during which time NYAD volatility tends to subside to a more trackable range.
With that disclaimer, what I find interesting here is the way the daily NYAD has responded to the 3 LRs study, especially the LR30. Although the LR30 mean has been upslope since mid-September, the majority of daily bars have clearly been below the zero line. Although we can trace a distinctly upslope momentum in the NYAD in the week prior to the election, the last 2 days behavior has retraced the NYAD to a level currently below the lower channel leg.
This current daily NYAD position is accompanied by a number of technical indicators suggesting that a quick bounce off this otherwise oversold level is not likely to occur quickly. This short term bearish stance is also reflected in the Qs technicals, as the Qs have retreated once again to the upper LR30 channel.

GE / NYAD Signal Setups

Here are a couple more ideas for watching GE (and other securities) in conjunction with the NYAD (NYSE advance/decline line).
Orange lines are slope of GE and NYAD for 30 minutes.
Blue lines are 60 minute extensions of the orange, unless a reversal.
Pink lines are mirror of NYAD slope onto GE price range.
White circles indicate reversals in GE upward slope, accompanied by parabolic sell signals (per yesterday's post).
The low risk trade develops when the 30 minute slope of the NYAD and its projection diverge from the 30 minute GE slope at 10:45. Interestingly, the GE slope continues to diverge for 30 minutes, which is somewhat longer than we are use to seeing over the past 2 weeks, and then reverses to the downside at 11:15, accompanied by a parabolic sell signal and a 816 sell signal 6 minutes later. With these 3 indicators now in sync, the scene is set for a clear GE downtrend.

Looking carefully at the chart you might wonder why the GE reversal at 10:15 doesn't merit the same level of confidence as the 11:15 trade.
The reason is simple . . . the NYAD is still in an upslope at 10:15. While a more risk tolerant trader might have taken the 10:15 GE sell trade as signaled by the parabolics and confirmed by the 816 cross 8 minutes later for a net gain of .17 - .20, I prefer to wait for all 3 signals to be in sync. The result is fewer trades, but also fewer whipsaws and less anxiety. That's my comfort level.

Pullbacks and Reversals

This is part of my continuing study of GE and NYAD divergences that may serve as high probability tells for intraday scalps of GE. Although my initial tests of GE and QQQQ divergences still offer trading opportunities, my research over the past 2 weeks has led me to conclude the $NYAD is a much more reliable GE counterpart. This is probably due to the fact that the Qs reflect the average momentum of 100 Nasdaq stocks, while the NYAD reflects momentum of the entire 6400 issues in the NYSE, therefore making the NYAD a lot harder for market makers to game than the Qs.
What was interesting about today's action was the 11:00 slope reversal in th NYAD, while GE continued to climb, then falter, then climb again to noon when it began a 4 hour descent, punctuated by several pullbacks to the downsloping GE trend line.
One indicator that is helpful capturing these short term pullbacks is the parabolic SAR, which I typically set up with a minimum step of .05 and a maximum step of .2. Most platforms provide the parabolics, although the default settings may be a little different. The white arrows on the chart above designate the parabolic triggers for today's GE overhead pullbacks. Used as either a confirming or leading signal, the parabolics can help keep you on the right side of a trade.

Waiting

Summary for the day: nothing happened on low volume. A few little GE/NYAD scalps set up but I had little interest in chasing them. Which, as it turned out, was the best course of action as none lasted more than 12 minutes or returned more than .15. The intraday hovering around the PP was a good indication that today would be range bound.
Based on my weekend post, the technicals looked like we would see a run up before the election, which clearly failed to materialize today. Maybe tomorrow.
I'm more inclined to just stand back and wait for volume to resume.

A side note on GE/NYAD trades (or other divergent trades using the NYAD):
Because of the frequent openings pop in the NYAD, it is not recommended using the NYAD for anything other than intraday trades after the first 30 minutes. Trying to compare the NYAD with other equities and ETFs on daily bars will inevitably produce a conflict of price scales that will effectively prevent you from discerning otherwise attractive slope divergences.
Also, keep in mind that GE arbitrage is a popular trading theme (although I seem to be late to the game), and as such most slope divergences of GE with the NYAD, Qs and other correlated tells are best played on 1 or 2 minute bars since the duration of most recent divergences seldom exceeds 20 minutes and exits have to be fairly precise. . . which is why I term these trades scalps.

Weekly ETF Pivots Update

All 4 of the ETF basket reached the upper LR30 daily channel this week and all 4 closed the week with the technicals in a bullish mode. We are now at a challenging point: will the market exhibit some of that (truly) irrational exuberance and kiss the channel good-bye to the upside . . or will the LR30 continue to hold as upper resistance and usher in the next cycle down to the lower LR30 channel? That, of course, is the 64 dollar question and whether the election results catalyze a market explosion or an implosion remains to be seen.
One scenario that has been posted widely foresees a surge into election eve and perhaps for a day or 2 thereafter, followed by a virulent decline to previous or lower lows. Given the position of the current technicals, this is a distinct possibility, so extreme caution is advised for those favoring swing positions.

For the week all 4 of the ETF basket closed at the R1 level, reflecting the lockstep bullish behavior of the markets. This should also be an indication to you that these ETFs do indeed move in somewhat predictable ways.

The pivot ranges for the coming week are almost mirror images of last week, so what's interesting here is that the % delta of the ranges has almost reached 100, indicating a leveling off of volatility. Unfortunately, this is happening when the asset value of these ETFs is down about 40% from this time last year. What this suggests, of course, is an impending range expansion . . but as with the LR30s study in the top charts, the question is whether the break will be to the upside or downside.Finally, a quick look at the NDX (Qs) stocks above the 50 day MA. Coming off a zero reading for most of October, this certainty looks encouraging, and based on past behavior of this indicator, we should at least expect a cross of the MA50 line before a retracement. We'll check back next week to see how the A50 played out.