Tightest Intraday Uptrend This Century? Ever?

[jackb 10]

Was yesterday's S&P 500 intraday session one of the tightest ever on a day that happened to also be well above its ATR? In looking at the ES, I don't see a pullback greater than 3 points. I can't remember ever seeing such a day in the ES. Of course, I'm old and I can barely remember my address. Does anybody have the historical data and data mining chops to confirm where this day ranks (maybe a job for Bespoke)? With the given parameters, I'd be surprised if this day isn't in the Top 5...which in turn makes it a Bottom 5 for counter-trend traders.

[FulcrumTrader 10]

No....these type of days happen several times a year imo. We had a new quarter and a pre-holiday Friday all mixed into one. US Dollar was down and Equities had the BUY program pumps on all day!

 

Take a look at how biased the Equities action was Friday (take a look at all the BUY programs too with many plots at +600 and above)!

 

Images | ChartHub.com

 

 

Not a single Equities SELL program all day......I see this pattern about 3 to 4 times a year.

[horace 10]

No....these type of days happen several times a year imo. We had a new quarter and a pre-holiday Friday all mixed into one. US Dollar was down and Equities had the BUY program pumps on all day!

 

Take a look at how biased the Equities action was Friday (take a look at all the BUY programs too with many plots at +600 and above)!

 

Images | ChartHub.com

 

 

Not a single Equities SELL program all day......I see this pattern about 3 to 4 times a year.

 

FT

 

How can you see the BUY/SELL programs in action.

 

thanks

[jackb 10]

No....these type of days happen several times a year imo. We had a new quarter and a pre-holiday Friday all mixed into one. US Dollar was down and Equities had the BUY program pumps on all day!

 

Take a look at how biased the Equities action was Friday (take a look at all the BUY programs too with many plots at +600 and above)!

 

Images | ChartHub.com

 

 

Not a single Equities SELL program all day......I see this pattern about 3 to 4 times a year.

 

Interesting. Can you find the last one and provide a date? Again, no pullback greater than 3pts on a range expansion day.

[FulcrumTrader 10]

FT

 

How can you see the BUY/SELL programs in action.

 

thanks

 

Just watch a NYSE TICK market breadth chart (30 second or 1 minute chart) live and you will see the cycling of Equities BUY and SELL program activity when it hits. I have used this market breadth information in my trading for over 8 years now.....it is a very good idea to track the Equities action intraday if your trading equity index futures instruments (ES, YM, TF).

[FulcrumTrader 10]

Interesting. Can you find the last one and provide a date? Again, no pullback greater than 3pts on a range expansion day.

 

Here is a day that was very similar from late March.....once Equities turned on their BUY program pumps it was an ES SHORT covering party all day (reacting to the strong Equities action).

 

Images | ChartHub.com

 

NYSE TICK that day

 

Images | ChartHub.com

[jackb 10]

Here is a day that was very similar from late March.....once Equities turned on their BUY program pumps it was an ES SHORT covering party all day (reacting to the strong Equities action).

 

Images | ChartHub.com

 

NYSE TICK that day

 

Images | ChartHub.com

 

Thanks for the leg work and posting the charts. Much appreciated.

[TheNegotiator 13]

Hi Fulcrum,

 

I'm sure many people are interested as am I in what exactly you are seeing in the TICK that suggests a buy or sell program is active. As far as I understand it, you are saying high or low extremes are indicating large baskets of stocks are being simultaneously bought or sold. This could indicate a program executing or combined with other factors, it could indicate extreme exhaustion as participants finally capitulate. So if the readings are looked at in isolation, couldn't they mean two very different things? What do you look for in reliably identifying this very specific type of participation? To me, the 'quality' of auction tends to be a good way of working out whether these programs are active. You can see a uniform 'flow' of trade in short term cumulative delta. An exhaustion print on the TICK, I often see the delta 'hang' for a short period of time and if no further participation in the same direction comes in, a reversal can follow.

[jackb 10]

Well, there was some history made during this up move:

 

From Bespoke:

Last week's strength of group breadth was also notable given the fact that all 24 groups finished the day in positive territory on four different days. Looking back at data over the last ten years, we found that there has never been a period where all 24 groups were up on the day in four out of five trading days. In fact, prior to last week, there was never a period where all 24 groups were up on the day in even three out of five trading days.

[uexkuell 10]

Was yesterday's S&P 500 intraday session one of the tightest ever on a day that happened to also be well above its ATR? In looking at the ES, I don't see a pullback greater than 3 points.

 

My guess (of course can't show hard evidence for it):

Big boys got some new algos that keep pullbacks at a minimum.

 

You can see this across many timeframes and all major futures.

And the occurence of such patterns definitively increased in the last month or so.

 

It would make some sense:

Reducing pullbacks means also reducing the possibility for competitors to enter into a move with low risk.