Market Internals for Day Trading YM

[trbates 10]

I recently started day trading the mini sized dow futures, and was curious as to what market internals you all use? I'm currently watching the NYSE tick, NYSE UpVolume compared to DownVolume, and a market watch window with the 30 DOW stocks (these being sorted every 3 seconds to show net gain for the day) for general market behavior.

 

Are there any others that might be better suited to day trading the YM?

 

Thanks

 

Travis

[brownsfan019 17]

Travis - what has your research shown on using this combination? Does it make money over the long run? What drawdowns can you expect?

[trbates 10]

Brownsfan,

 

I don't have very extensive experience with using them. That said, I have been watching the market using these internals. And they do what they do very well ... give an over all feeling as to what the market is doing. For example, if the tick spends the majority of its time above zero (preferably, between 600 - 1000) then I only go long.

 

The up/down volume seems to give a broad sense of the market as well, so I use it like the tick ... If there is more up volume than down, then I only go long.

 

Though, like I said I don't have all that much experience with watching these ... since I have only been at it for the last 4 months.

 

As far as draw downs, I use other indicators (MA's, trendlines, and wave analysis) for my actual entries, exits.

 

Hopefully, someone with more experience can shed more light on this topic

 

 

Travis

[namstrader 10]

I watch these same internals and I like to watch the inverse relationship with interest rates (zn) with the ym. Also why not have the es,er,nz emini's up as well for general direction. How about a financial etf like (xlf) that often leads.

[Guest forsearch]

There are a list of newer indices available specifically for the YM here:

 

List of Indices Added at Tradestation

 

-fs

[trbates 10]

Thanks forsearch, thats an awesome list.

 

I like the advance/decline volume for the DOW, rather than using the total US volume.

[waveslider 10]

I use a moving average of the russell cumulative tick ($tikrlc in TS), since it encompasses more stocks, and small cap stocks are usually a good barometer of strength/weakness in the market. I also have been watching $VOLRLDC which is advancing minus declining volume in the russell.

The russell cumulative tick gave a great early warning signal today. I take a moving average of it.

On the daily chart the trin and trinq are very helpful

yeehaa..

[waveslider 10]

Travis - what has your research shown on using this combination? Does it make money over the long run? What drawdowns can you expect?

 

brownsfan these questions you have are related to entries and exits as a part of a system - that would be a different discussion altogether.

Breadth can be used to see underlying strength or weakness, but don't expect price to react to them immediately! Manipulations and stop running usually will supersede on the shorter time frame.

[stanlyd 10]

trbates,

For me the internals can help to show direction but what is important is to see how the internals are acting at key price levels. They wil help you to confim rejection or acceptance at support/resistance. For example if your looking at a "flip" area and price breaks a bit past your price level, but the internals show no sign of change then you might consider waiting for them to respond for confimation before entering.

[MC 10]

 

Anybody use a $UVOL/$DVOL comparison?

Here's how I use it myself.

[Guest forsearch]

Very nice comparison, indeed.

 

How does $VOLUSD (All US Up Volume – Down Volume Difference) look when added to the mix here?

[MC 10]

Very nice comparison, indeed.

 

How does $VOLUSD (All US Up Volume – Down Volume Difference) look when added to the mix here?

 

I'm not sure...I tried $VOLUSD and it isn't something I have access to. I don't think it would do much in comparison mode since here we are comparing up and down directly.

 

To clarify, for those thinking what good is knowing its choppy...

I use knowing its chop to look for a range, chop is a range bound action typically. And of course range breaks often lead to trending.

 

Trend days are pretty obvious, buy pullbacks or short rallies in the direction of the trend. This is nothing new, but the indicator can help eliminate guess work to some extent.

[trbates 10]

Yeah, I have not been using the up down volume to indicate a chop day as of yet ... but thats a great idea!

 

Like mcichocki said ... knowing when its a chop day vs a trend day is VERY helpful (especially when your experience is limited, like mine is

 

Travis

[rathcoole_exile 10]

For example, if the tick spends the majority of its time above zero (preferably, between 600 - 1000) then I only go long.

 

 

ever use TICK readings >1000 or >-1000 as opportunities to fade ?

the contrarian logic being that by the time enough bullish (or bearish) sentiment has built up, it's usually time for the Pros to step in and fade the public .....

[david111 10]

Very dangerous game!

You will get chopped on strong trend days.

The tick extremes actually show strength.

As for time for the "Pro's" tp step in, well the "pro's" lost so much money doing this........(see the "zoo" guys...).

The "pro's" never categorically fade anything, nor do they ever face the market with a given strategy(...like I will fade the tick at 1000..."), they adapt and react and use good r/r based on proper sup/res analysis confluence which is mainly visual and not indicator orientated.

This game is though, I want to direct you to a guy that had a blod on day trading and just retired (and he is very very good).

http://highprobability.blogspot.com/

This is a very difficult game to predict the future guys.

 

 

ever use TICK readings >1000 or >-1000 as opportunities to fade ?

the contrarian logic being that by the time enough bullish (or bearish) sentiment has built up, it's usually time for the Pros to step in and fade the public .....

[MC 10]

Very dangerous game!

You will get chopped on strong trend days.

The tick extremes actually show strength.

As for time for the "Pro's" tp step in, well the "pro's" lost so much money doing this........(see the "zoo" guys...).

The "pro's" never categorically fade anything, nor do they ever face the market with a given strategy(...like I will fade the tick at 1000..."), they adapt and react and use good r/r based on proper sup/res analysis confluence which is mainly visual and not indicator orientated.

This game is though, I want to direct you to a guy that had a blod on day trading and just retired (and he is very very good).

http://highprobability.blogspot.com/

This is a very difficult game to predict the future guys.

 

LOL at the highprob blog. I partially feel sorry for him, but hes a gambler through and through. :crap:

 

Pros fade price action divergence, not indicators themselves. Well the big pro's don't predict the future or fade anything, they make the future as they control supply and demand. :o And the higher end retail traders that can't move the market meerely take the trades with higher odds and accept the risk of a failed trade. It's a probability game, nothing more or less IMO.

 

You're dead on...you fade ticks and you might as well send me your money, hell I'll even give you a kick in the balls to remind you what a dopey idea it was. It may have worked but overall internals will leave you confused and broke. Even the setup I gave below is easy to use in hindsight, forward use it's not so easy.

 

Tough game, but a great challenge.

[john99 10]

Hey Guys this is HPT,

Most of my blowups and screwups have been from doing what mcichocki said, gambling. Gambling as in, adding to losers, and overleveraging myself on bad trades. As long as you have good risk management (dont add to losers, use planned out stops, and trade the right size for your account), then you should avoid the screwups that you frequently see I have.

 

I believe market internals are very helpful in day trading the indices. For example, you wouldn't want to be looking for short setups in the market with nyse A/D at 3 in the afternoon and when NYSE tick extreme readings haven't touched -400 all day and the volume is below avg. These are the types of slow low volume days that creep higher all day that many traders get stuck trying to fade. I know this from experience.

 

HPT

[rathcoole_exile 10]

You will get chopped on strong trend days.

 

i thought one of the purposes of this thread was to identify strong trending days from choppy days ?

Of course nobody is going to fade against a trend but

a) there are opportunities on a trend day to fade a reaction back in the direction of the main trend

b) there are opportunities galore on choppy days.

 

I was just interested if anyone else uses it. Obviously not. Your funeral.

[OAC 10]

Hey Guys this is HPT,

Most of my blowups and screwups have been from doing what mcichocki said, gambling. Gambling as in, adding to losers, and overleveraging myself on bad trades. As long as you have good risk management (dont add to losers, use planned out stops, and trade the right size for your account), then you should avoid the screwups that you frequently see I have.

 

HPT

 

Hey, we got a celebrity here !

HPT, you should check out Jperl's thread: http://www.traderslaboratory.com/forums/f67/jperls-trading-with-market-statistics-summary-3326.html

 

And consider using the Standard Deviation Bands with the VWAP.

You can get NinjaTrader which is free to hook up with your IB feed.

And there is the code for the VWAP SD bands somewhere on the Ninja forum.(PM me if you can't find it)

Fading at the 3rd SD band confirmed by other internals is a High-Probability Trade.

[Soultrader 12]

Fading at the 3rd SD band confirmed by other internals is a High-Probability Trade.

 

Agreed. Especially in line with S&R levels.

[MC 10]

Hey Guys this is HPT,

Most of my blowups and screwups have been from doing what mcichocki said, gambling. Gambling as in, adding to losers, and overleveraging myself on bad trades. As long as you have good risk management (dont add to losers, use planned out stops, and trade the right size for your account), then you should avoid the screwups that you frequently see I have.

 

I believe market internals are very helpful in day trading the indices. For example, you wouldn't want to be looking for short setups in the market with nyse A/D at 3 in the afternoon and when NYSE tick extreme readings haven't touched -400 all day and the volume is below avg. These are the types of slow low volume days that creep higher all day that many traders get stuck trying to fade. I know this from experience.

 

HPT

 

I wish your HPT blog was on a domain you owned...you got so much publicity and linkage on your video, that traffic would be worth $$$ now. I'm sure that's the last thing on your mind though. Can one sell the rights to a blogpress site I wonder? At least you can do ads on the site.

 

I'm glad you didn't take offense to my opinion. Honestly, the way you handle the peoples criticism you should NOT quit the market at all. You know you can do this, you had wicked profits before your mind blew up on ya. Just start back with a small size and don't over leverage and realize the gains you made were that large from gambling. Focus on discipline and execution and you WILL be profitable again, just a bit slower this time around.

 

You didn't really quit did you?

[Guest forsearch]

I wish your HPT blog was on a domain you owned...you got so much publicity and linkage on your video,

 

Where's the video that you are talking about located?

 

I looked about over here at http://highprobability.blogspot.com/ and didn't see the infamous video.

 

 

Never mind, I found it over at break.com.

 

Definitely NSFW.

 

Wow.

Edited May 19, 2008 by forsearch

[Guest forsearch]

Hey Guys this is HPT,

Most of my blowups and screwups ...

 

 

This is a must see trading video. Check it while you still can here:

 

Stock Futures Trader Having Rough Day

 

 

-fs

[Trader333 10]

Hey, we got a celebrity here !

HPT, you should check out Jperl's thread: http://www.traderslaboratory.com/forums/f67/jperls-trading-with-market-statistics-summary-3326.html

 

And consider using the Standard Deviation Bands with the VWAP.

You can get NinjaTrader which is free to hook up with your IB feed.

And there is the code for the VWAP SD bands somewhere on the Ninja forum.(PM me if you can't find it)

Fading at the 3rd SD band confirmed by other internals is a High-Probability Trade.

 

I have quite a lot of experience trading using VWAP and SD bands along with other SR levels to confirm the liklihood of a trade. However, this has been on stocks and not indices. It is curious how others are using this and reading this has sparked my curiosity again.

 

I did try to read the post from your link but I don't have permission to view it, is this a private forum or something else ?

 

 

Paul

[OAC 10]

I have quite a lot of experience trading using VWAP and SD bands along with other SR levels to confirm the liklihood of a trade. However, this has been on stocks and not indices. It is curious how others are using this and reading this has sparked my curiosity again.

 

I did try to read the post from your link but I don't have permission to view it, is this a private forum or something else ?

 

 

Paul

 

Sorry, some of the stuff are in the Premium section. Try this: http://www.traderslaboratory.com/forums/f6/trading-with-market-statistics-i-volume-1962.html

 

Just to let you know that I do my own stuff and don't exactly follow the methodology as laid out by Jperl..