here are some comments on last 4 days. I don't mean for this to be a trading strategy in and of itself -- just a higher level concept to be aware of...
My hypothesis was that the market will generally not sustain a trend until 40,000 contracts trade at a single price. The implication of this is that you can generally think about counter-trend trading until you get to something approaching 40k contracts and then you need to start to be more careful of counter-trend trading as the market might have chopped up enough traders such that a trend could not ensue. The bigger implication is to then gear-up and try to catch the trending move that could develop and just hold on.
Be aware that this is just a tendency I have noticed. The market could trend strongly and THEN do its 40,000 after the movement --- but somehow, some way -- it will get to 40,000 on any decent volume day. I will add the caveat that it is important to figure out ways to confirm this tendency on lower-timeframe such that you do not get 'run-over' in a trend day. Personally, I like to watch how price is reacting to
VWAP and to use various standard deviation types of methods to gauge whether the market seems to be acting consistently with my various trading concepts.
Let's look at last 4 days from only a high-level. Tuesday, Wednesday and Friday were very much consistent with my hypothesis - Rangey Price Behavior until 40k.
Tuesday was a trend-day but even that day first printed nearly 50k contracts at 1461.50 before the REAL trend began.
Wednesday was straightforward sideways chop with a giant plunge at the end after printing nearly 55k contracts.
Thursday came close to 40k before dropping really hard (it hit 38k). Obviously, when you see price failing just under
VWAP, as it did on Thursday on that test UP, you would want to think short. A market that is rejecting
VWAP (while under
VWAP) is a short.
Friday was a 'wide and loose' day that saw giant swings but no sustained trend away from
VWAP.
All you really have to do is catch 1 of these afternoon moves and your week is made. Or catch just a piece of a few of them and your week is made.
