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UrmaBlume

Trading The Extremes

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It is not who is hitting the bids at the low that is the commercial interest it is who is replenishing the bids in the millisecond and microsecond time frame that is the commercial, machine executed interest and it is that replenishment that foms the basis of the local low.

 

 

UrmaBlume

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It is not who is hitting the bids at the low that is the commercial interest it is who is replenishing the bids in the millisecond and microsecond time frame that is the commercial, machine executed interest and it is that replenishment that foms the basis of the local low.

 

 

UrmaBlume

 

 

The scenario I was taught is simple. The novice or retail trader comes in late trying to obtain favorable entry on the short side. The bid is "replenished" to use your term, but I think it is not just automated execution at work here. The selling volume is insufficient to overcome buying interest, and the bid is "held". Once the last seller is executed, the next buyer sends the market up...and the low is established.

 

Those of us who read the tape can see this happen real time as the tick drops and the time & sales shows the sellers trying to move it down. A "tug of war" ensues as the time and sales oscillates from red to green and back again.. Monitoring price you see that sellers cannot overcome the bid volume. They are throwing everything they have at it, but the selling volume is absorbed without moving price down appreciably. Once you see that you know its time to buy.

Edited by steve46

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The scenario I was taught is simple. The novice or retail trader comes in late trying to obtain favorable entry on the short side. The bid is "replenished" to use your term, but I think it is not just automated execution at work here. The selling volume is insufficient to overcome buying interest, and the bid is "held". Once the last seller is executed, the next buyer sends the market up...and the low is established.

 

Those of us who read the tape can see this happen real time as the tick drops and the time & sales shows the sellers trying to move it down. A "tug of war" ensues as the time and sales oscillates from red to green and back again.. Monitoring price you see that sellers cannot overcome the bid volume. They are throwing everything they have at it, but the selling volume is absorbed without moving price down appreciably. Once you see that you know its time to buy.

 

Steve, I think there is a nonempty intersection between your and UB's thoughts, however, you don't (want to?) buy into the concept that things can be automated ("seen by a computer" instead of watched by a human...). Believe it or not there are some sufficiently smart people who code what you "see" and then just enjoy watching the computer trade for them. Of course, many things are hard to code but what you mention (tug of war on tape etc.) is certainly something HFT have no problem with capturing.

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Steve, I think there is a nonempty intersection between your and UB's thoughts, however, you don't (want to?) buy into the concept that things can be automated ("seen by a computer" instead of watched by a human...). Believe it or not there are some sufficiently smart people who code what you "see" and then just enjoy watching the computer trade for them. Of course, many things are hard to code but what you mention (tug of war on tape etc.) is certainly something HFT have no problem with capturing.

 

UB, still back to my originally posted question, do you show increased intensity only if it's concentrated in a small area of price? If yes, do you put limits on what small is for various instruments?

 

jurotraderslab,

 

Plainly you have seen a bit deeper into the inside of commercial/institutional technical trading than some others.

 

The last time I checked the ES contract traded about a quarter of a million ticks per day session. This rounds out to about 10 ticks per second.

 

It must take either hubris, a remarkable technical naievte or some of both to, today, be under the assumption that ANY human could "tape read" that many data points at that rate of dissemination and produce useable trade decision support information with any where near the efficacy of any of several blocks of 100 lines or less of C++ that I have seen, and probably you have too.

 

In answer to your questions we have different levels of thresholds of significance for certain markets and certain volume bar sizes. For users of this indicator set we recommend that you start to adjust from a bar size = .0005 * average daily volume. Stocks and some currencys will require further slowing.

 

cheers

 

pat

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jurotraderslab,

 

Plainly you have seen a bit deeper into the inside of commercial/institutional technical trading than some others.

 

The last time I checked the ES contract traded about a quarter of a million ticks per day session. This rounds out to about 10 ticks per second.

 

It must take either hubris, a remarkable technical naievte or some of both to, today, be under the assumption that ANY human could "tape read" that many data points at that rate of dissemination and produce useable trade decision support information with any where near the efficacy of any of several blocks of 100 lines or less of C++ that I have seen, and probably you have too.

 

In answer to your questions we have different levels of thresholds of significance for certain markets and certain volume bar sizes. For users of this indicator set we recommend that you start to adjust from a bar size = .0005 * average daily volume. Stocks and some currencys will require further slowing.

 

cheers

 

pat

 

I suggest gentlemen, that there are many more "things" in the universe, than any of us can imagine, however I have yet to see "code" that can adjust and adapt like an experienced skilled human being. "Code" of and by itself cannot "think"....maybe one day but not today...

 

Finally, take a look at the screen capture....price tests these horizontal lines (in my class we call them Supply/Demand "insets") TO THE TICK. They were put in place last monday.....how did I know that price would visit that place and how would a trader use them to make a buck...I suggest humbly or not, that YOU Mr. Blume and your programmers can't do this...and because I have this in place and I know it is that accurate (almost to the tick) I CAN in fact, read the tape, evaluate ALL the data points and find these entries day after day....been doing it for years....and I don't have to "adjust my resolution" or warn my clients that an indicator signal is "up to 7 minutes early"....

 

Its a strange and wonderful world isn't it...?

 

You all have a nice weekend

5aa71081a3e74_endofdayscreencapture.thumb.PNG.e9b6896432ff92e7159a73bfe7dbf108.PNG

Edited by steve46

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I ............ have yet to see "code" that can adjust and adapt like an experienced skilled human being. "Code" of and by itself cannot "think"....maybe one day but not today........I CAN in fact, read the tape, evaluate ALL the data points and find these entries day after day

 

If you have never seen such code then that doesn't mean it doesn't exist it could mean that it is just beyond your exposure and experience. I do however assure you that in the institutional trading world there are indeed those who regularly apply self-normalizing intelligent agents to todays data streams - I have seen the code and even written some of it.

 

The use of genetic algorithms and non linear processing in the micro time frame is not at all uncommon at the higher levels of automated institutional/fund trading and all of those applications can record/remember, process, serially normalize and depending on mission and design, exercise a certain amount of reasoning and - all in the millisecond time frame.

 

Of course for someone who can track all 250,000 data points at the rate of 10 per second for 405 consecutive minutes - hats off. With that incredible ability and such powerful inputs as the time pivots of previous day's extremes why would anyone need a quad core.

 

My brain is much too small for such operations and much too slow to do it in the millisceond time frame so I have to resort to writing code to do it for me.

 

UrmaBlume

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If you have never seen such code then that doesn't mean it doesn't exist it could mean that it is just beyond your exposure and experience. I do however assure you that in the institutional trading world there are indeed those who regularly apply self-normalizing intelligent agents to todays data streams - I have seen the code and even written some of it.

 

The use of genetic algorithms and non linear processing in the micro time frame is not at all uncommon at the higher levels of automated institutional/fund trading and all of those applications can record/remember, process, serially normalize and depending on mission and design, exercise a certain amount of reasoning and - all in the millisecond time frame.

 

Of course for someone who can track all 250,000 data points at the rate of 10 per second for 405 consecutive minutes - hats off. With that incredible ability and such powerful inputs as the time pivots of previous day's extremes why would anyone need a quad core.

 

My brain is much too small for such operations and much too slow to do it in the millisceond time frame so I have to resort to writing code to do it for me.

 

UrmaBlume

 

Yes, some folks have a naturally wide bandwidth and can do impressive things with it.

 

What interests me is that you suggest that you have "seen" and written some very advanced software, and yet the indicator(s) you are presenting here cannot normalize its resolution, and you mention that one of your products might provide signals "up to 7 minutes early"? " There seems to be some inconsistency between what you say you have seen (and written yourself) and what you are showing us.

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jurotraderslab,

 

 

In answer to your questions we have different levels of thresholds of significance for certain markets and certain volume bar sizes. For users of this indicator set we recommend that you start to adjust from a bar size = .0005 * average daily volume. Stocks and some currencys will require further slowing.

 

cheers

 

pat

 

I guess I didn't clarify my question properly, I meant significance with respect to price move (not volume traded). For example, consider a sequence of trades that plays out within 30 seconds such that your indicator shows a big spike (> 50000) and during those 30 seconds the price only moved 2 ticks. Now, would it show the same value if the exact same sequence of trades played out over a 10 tick price range? Here I just mean timestamps and trade volumes, not prices at which trades happened, so still a 30 second time interval with identical times/volumes transacted as before but "spread out" over a 10 tick range.

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Well I don't know where to begin...first institutions decide when to move inventory depending on things that I am not privy to....I was an order taker not a decsion maker. So there's a limit to what I know about that...

What I do know is that institutions are likely to come into the market with size at specific turning points. That is the basis for time-based pivots. Its easy to see when and where this happens (in other words you don't have to take my (or anyone's) word for that)...also there used to be a commercial data base that listed the activity of commercial traders by code..so one could in effect see exactly where and when institutions and speculators were active...its no mystery...

To your point, yes institutions do on ocasion move size and yes it does take a while to place that inventory, or to liquidate it...but not months certainly, more like a week to 10 days depending on the size of the position and the related hedges and options positions.

Today was a good example in that price retraced to an area that was formerly a yearly low. At that point I can say with some confidence that many institutions start to "get interested" because some of them have positions dating back to that time, and some are interested (for tax reasons among others) in defending those prices. Other institutions and speculators look at those prices as representative of "wholesale value" thus they are willing to step in and try to mark it up hoping that others will agree. It is a noisy market and there are myriad reasons why these things happen, but in a market dominated by profesional interests, these are some of the motivations for institutions to take action...both intraday and on a longer time frame.

 

As an aside, I have no motivation myself to distort the role of institutions (or speculators for that matter) in the markets. I'm not selling indicators.....just the opposite...

 

Hope this helps you

 

Steve

 

well then with all the institutions moving volume at specific time or pivot or price levels.....who does the buying and selling in between these points?

This is the part of the argument/discussions that go on that I actually have an issue with....that people think that there is smart money/dumb money etc and that its professionals v institutions......(again I apologize if thats not at all what you are talking about)

 

The reality is in the time frame you guys are talking about you are picking up the scraps in between - which can be profitable, but some of the explanations of knowing who is doing what and at certain levels. You are in effect trying to front run orders through tape reading etc; or look for levels that allow you figure support or resistance is likely to provide me with a short term opportunity here....?

Can you tell if something is an option hedge, an arb, a real order to initiate a long or short, or one that is liquidating an existing order? The commercial databases - do they (did they) reveal exactly who the clients are or just the brokers executing on their behalf? Too often the reasons given for things are hindsight, and even then are just plain wrong.(You only need to have been present or privy to the real reasons why some volumes go through at particular times and then hear the crap guesitmates of why after to know this is true)

 

Often reason a lot of the quant guys - the big players who sell at precisely the points you guys may be buying with another order is that it allows them to move volume.....a big insto needs other instos to take the opposite view. Its not just retail selling to them.

Some of these guys use quant orders and hire multiple phds - not to write the models for buying and selling but for the models of minimising execution issues when moving size. Their times frames are larger (maybe not months :)) but definitely not in 40 min licks.

Also ask yourself this - if the major professionals etc are all picking these levels, and moving the markets as such - why do so many of them not even match their benchmarks. The real volume in markets - who provides it v why prices move? verses who provides the real liquidity during the day, which allows for short term liquidity and noise movements.

 

I understand UB in that he talks about it being about replenishment at certain levels and picking it up....I also understand your view on price levels just by looking at a chart, and I think you are exploiting these ideas- which is great.

But I dont think instos who are moving things over larger time periods are picking intraday price levels on their charts to make their decisions - or maybe they are and thats why your/mine/our pension fund money never really gets better than market returns. :), sure beats the ideas of using fundamentals to invest money.

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well then with all the institutions moving volume at specific time or pivot or price levels.....who does the buying and selling in between these points?

 

Surely you're not that simple minded....some institutions train their own people, some do not, some use alternative approaches and then there are those who specialize primarily in automated execution....clearly the markets aren't homogeneous.....who is buying/selling in between....I have never wondered about it....clearly no systematic approach is right all the time. So the people who buy and sell in between are those who have a different opinion about market direction.

 

This is the part of the argument/discussions that go on that I actually have an issue with....that people think that there is smart money/dumb money etc and that its professionals v institutions......(again I apologize if thats not at all what you are talking about)

 

This isn't related to what I was saying, sorry

 

The reality is in the time frame you guys are talking about you are picking up the scraps in between - which can be profitable, but some of the explanations of knowing who is doing what and at certain levels. You are in effect trying to front run orders through tape reading etc; or look for levels that allow you figure support or resistance is likely to provide me with a short term opportunity here....?

 

I never pull the trigger unless I think I can get 5 or 10 points, you're entitled to your opinon of course but on an intraday basis, I will take those "scraps" and smile all the way to the bank.

 

 

Can you tell if something is an option hedge, an arb, a real order to initiate a long or short, or one that is liquidating an existing order? The commercial databases - do they (did they) reveal exactly who the clients are or just the brokers executing on their behalf? Too often the reasons given for things are hindsight, and even then are just plain wrong.(You only need to have been present or privy to the real reasons why some volumes go through at particular times and then hear the crap guesitmates of why after to know this is true)

 

Well seems to me that you are rambling a bit here....I never worry about these issues. Generally speaking my explanation of what is happening was taught to me years ago and has proven itself over time to be mostly accurate.....and what I mean by "accurate" is that based on my understanding of what is going on in the markets, I am able to predict in general terms, where the markets are going.... and when I am wrong, it is fairly easy for me to see where my understand is off base....

 

Often reason a lot of the quant guys - the big players who sell at precisely the points you guys may be buying with another order is that it allows them to move volume.....a big insto needs other instos to take the opposite view. Its not just retail selling to them.

Some of these guys use quant orders and hire multiple phds - not to write the models for buying and selling but for the models of minimising execution issues when moving size. Their times frames are larger (maybe not months :)) but definitely not in 40 min licks.

 

Like many of the ideas you have expressed there is some truth to your statement, however (again) your comments are rather unorganized (have you had a few drinks tonight?) I don't know how to explain what other participants are doing...its not my specialty. So I will leave these assumptions to you (if you are comfortable with them).

 

Also ask yourself this - if the major professionals etc are all picking these levels, and moving the markets as such - why do so many of them not even match their benchmarks. The real volume in markets - who provides it v why prices move? verses who provides the real liquidity during the day, which allows for short term liquidity and noise movements.

 

Again you seem fixated on the idea that all professionals are picking the same levels....I hope you can see now that this isn't the case.

 

I understand UB in that he talks about it being about replenishment at certain levels and picking it up....I also understand your view on price levels just by looking at a chart, and I think you are exploiting these ideas- which is great.

But I dont think instos who are moving things over larger time periods are picking intraday price levels on their charts to make their decisions - or maybe they are and thats why your/mine/our pension fund money never really gets better than market returns. :), sure beats the ideas of using fundamentals to invest money.

 

Now this last comment is something that I can work with....yes institutions have to move money at intervals in time, and they don't do it every day....that is why I use the concept of standard distribution when I trade....simply put I like to wait until I see price move to an extreme and then I try to find favorable entry. Sorry I can't be more specific but there are ways to find favorable entry intraday, and I teach my students how to do it consistently (4 days out of 5). This has little to do with institutional participation, and everything to do with defining the concept of value on an intraday basis.

 

Hope some of these answers are helpful to you...and if you are having a drink or two...hey good for you man, I am going to open a beer and relax myself....

 

Best of luck to you

Steve

Edited by steve46

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Its your post #23 Steve that seems quite insular and focused only on short term trading, and from this I was a little confused....

Maybe if I quote you it would help put my crazy ranting /questions into context.

 

"".the fact is that longer time frame participants are using bigger stops (most of the professionals I know are using about 6 points for the S&P contract). As a result they enter differently (scaling in and starting that process earlier) than the retail crowd (who are usually late the party)""

 

There are also lots of players in the market that have longer time frames so as to not worry about selling the bottom over a 40minute or even for a day period in the market if they are trading over a larger period of time.....these guys dont worry about stops, and for many others a 6 point stop is way too small.

 

which then led on to this.....

""

Jurotraderslab....the reason you have people hitting the bid at the bottom is that they are making the cardinal mistake of A.)entering late hoping for continuation.and B.) not taking the time to see where in the past, the previous uptrend originated

This happens all the time because there are both institutional participants (some of whom have similar training) and short term participants who have different training and beliefs....What you see is how it plays out when the short time frame players don't do their homework....plain and simple.""

 

Lots of assumptions here - like they are making a cardinal mistake.....some people actually sell new lows, and buy breaks - sometimes they are instos and they want intso size to get set.....so its not always a mistake.

 

Plus the assumption that everyone selling there is a short term time frame seller who has not done their homework...... on that I might agree with you, however I have made pretty good money selling breaks everyone thinks will hold, but I usually go for more that a few points if it does break, even if I might have a fairly close stop.... I guess thats what makes a market right?.

 

I mean if you did not have people selling to you you would not get the extremes (often these are only shown to be extremes after the fact), and I know you are not saying you are right all the time, and I am sure you are not saying that its just short term players that make these extremes...right?

 

(Or clearly I am so simple minded and unorganized I must have been drinking....name calling is probably not necessary....not everything in a discussion is an attack on you Steve, so there is no need to treat it as such.....)

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Its your post #23 Steve that seems quite insular and focused only on short term trading, and from this I was a little confused....

Maybe if I quote you it would help put my crazy ranting /questions into context.

 

"".the fact is that longer time frame participants are using bigger stops (most of the professionals I know are using about 6 points for the S&P contract). As a result they enter differently (scaling in and starting that process earlier) than the retail crowd (who are usually late the party)""

 

There are also lots of players in the market that have longer time frames so as to not worry about selling the bottom over a 40minute or even for a day period in the market if they are trading over a larger period of time.....these guys dont worry about stops, and for many others a 6 point stop is way too small.

 

which then led on to this.....

""

Jurotraderslab....the reason you have people hitting the bid at the bottom is that they are making the cardinal mistake of A.)entering late hoping for continuation.and B.) not taking the time to see where in the past, the previous uptrend originated

This happens all the time because there are both institutional participants (some of whom have similar training) and short term participants who have different training and beliefs....What you see is how it plays out when the short time frame players don't do their homework....plain and simple.""

 

Lots of assumptions here - like they are making a cardinal mistake.....some people actually sell new lows, and buy breaks - sometimes they are instos and they want intso size to get set.....so its not always a mistake.

 

Plus the assumption that everyone selling there is a short term time frame seller who has not done their homework...... on that I might agree with you, however I have made pretty good money selling breaks everyone thinks will hold, but I usually go for more that a few points if it does break, even if I might have a fairly close stop.... I guess thats what makes a market right?.

 

I mean if you did not have people selling to you you would not get the extremes (often these are only shown to be extremes after the fact), and I know you are not saying you are right all the time, and I am sure you are not saying that its just short term players that make these extremes...right?

 

(Or clearly I am so simple minded and unorganized I must have been drinking....name calling is probably not necessary....not everything in a discussion is an attack on you Steve, so there is no need to treat it as such.....)

 

OK then, I have no intention of trying to "correct" you. I apologize if it feels that way...

 

I hope you will understand that for the past x years my success such as it is, has depended on my doing things that you don't seem to agree with. I think I have attempted as best I can to explain what it is that I am doing. It occurs to me however that in doing so, I am in a sense giving up my edge....I think I will stop at this point. Sorry but I think I have gone as far down this road as I care to..

 

Best of luck to you

 

Steve

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OK then, I have no intention of trying to "correct" you. I apologize if it feels that way...

 

I hope you will understand that for the past x years my success such as it is, has depended on my doing things that you don't seem to agree with. I think I have attempted as best I can to explain what it is that I am doing. It occurs to me however that in doing so, I am in a sense giving up my edge....I think I will stop at this point. Sorry but I think I have gone as far down this road as I care to..

 

Best of luck to you

 

Steve

 

I am sure you make money, it suits your personality and that it works for you. I have also being doing this for 17 years now in various forms and know what works for me.

Its not that you are doing things that I dont agree with, it is more that I disagree with - or more the point - think that there are other explanations for the rationale behind the comments in your previous post about short term mistakes.

Happy to leave it as we both know what we know and can agree to disagree.:)

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The Nasdaq ended up 0.1%.   The brief rally was fueled by a false rumour that Trump was considering a 90-day pause on tariffs—rumours that the White House quickly labelled ‘fake news.’ The market's sharp reaction underscored how desperate investors are for any sign that tensions might ease.   Oil Markets in Focus: Goldman Sachs Revises Forecasts   Crude prices also reflected the uncertainty, with US crude briefly dipping below $60 per barrel for the first time since 2021. As of early Tuesday, Brent crude was trading at $64.72, while WTI hovered around $61.26.   Goldman Sachs, in a note dated April 7, lowered its average price forecasts for Brent and WTI through 2025 and 2026, citing mounting recession risks and the potential for higher-than-expected supply from OPEC+.       Under a base-case scenario where the US avoids a recession and tariffs are reduced significantly before the April 9 implementation date, Goldman sees Brent at $62 per barrel and WTI at $58 by December 2025. These figures fall further to $55 and $51, respectively, by the end of 2026. This outlook also assumes moderate output increases from eight OPEC+ countries, with incremental boosts of 130,000–140,000 barrels per day in June and July.   However, should the US slip into a typical recession and OPEC production aligns with the bank’s baseline assumptions, Brent could retreat to $58 by the end of this year and to $50 by December 2026.   In a more bearish scenario involving a global GDP slowdown and no change to OPEC+ output levels, Brent prices might fall to $54 by year-end and $45 by late 2026. The most extreme projection—based on a simultaneous economic downturn and a full reversal of OPEC+ production cuts—would see Brent plunge to below $40 per barrel by the end of 2026.   Goldman noted that oil prices could outperform forecasts significantly if there was a dramatic shift in tariff policy and a surprise in global demand recovery.   Cautious Optimism, But Warnings Persist   With both Washington and Beijing showing no signs of backing down, markets are likely to remain volatile in the days ahead. Investors now turn their attention to upcoming trade meetings and policy decisions, hoping for clarity in what has become one of the most unpredictable trading environments in recent years.   Always trade with strict risk management. Your capital is the single most important aspect of your trading business.   Please note that times displayed based on local time zone and are from time of writing this report. Click HERE to access the full HFM Economic calendar.   Want to learn to trade and analyse the markets? Join our webinars and get analysis and trading ideas combined with better understanding of how markets work. Click HERE to register for FREE!   Click HERE to READ more Market news.   Andria Pichidi HFMarkets   Disclaimer: This material is provided as a general marketing communication for information purposes only and does not constitute an independent investment research. Nothing in this communication contains, or should be considered as containing, an investment advice or an investment recommendation or a solicitation for the purpose of buying or selling of any financial instrument. All information provided is gathered from reputable sources and any information containing an indication of past performance is not a guarantee or reliable indicator of future performance. 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