Tuesday, April 28, 2009

Case Study

Cases
Events
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FREQUENTLY ASKED QUESTIONS

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Sis QQQ's Market quotes

Overall mkt: from FX to future to Cash, to VIX, $CPC, $ADD. $VOLD, when put everything together, will see better picture.

Based on Copper and Eur future action, I think tonight is not good for longs. I still think we should see 880 channel low print before make new high
(1)http://www.ise.com/WebForm/md_ise_sentiment_index_stats_hp.aspx
the most interesting part is the huge difference between equity call/Put, vs. Index call/put ratio. that means the huge protective index puts are placed in, preparing a downside risk
This data tells me if I am a mktMM, I will try my best to do an 880 wash off.
(2) Copper future is down 3% this smells fishy, as Copper/metel stocks such as FCX is hitting new high.
(3) FX mkt is not that excited, as USD back up and EUR:USD at 1.3324 at mkt close. anytime if EC/6E losses 1.3300, 1.32's corresponding ES (roughly) is about 88x, not 90x.

(1) In general, on a down mkt, if DOW is leading the down side, we will have more down side ahead.
(2) On up mkt, if spx is leading and NDX not following, means we will have a pull back.

Explain relationship between oil or commodity, gold, $USD, and market index like SPY? Does this relationship in bear market also apply to bull market?
$USD (UUP) up, OIL/commodity/gold will go down. Comodities in general counts >30% of SPX, while other sectors are unable to support consistance rally in bear mkt, commodities' impact to SPX becomes obvious, strong commodities support SPX. In bull mkt, it is same, just because other sectors are also strong, the impact from commodities becomes a strong support in bull mkt.

"Most important, Why I decided load shorts/puts so heavy right around open? Check out the ES and SPY candles and open volume, that immediately gives me a signal that institution selling force kicked in" 开盘大盘下跌的势和量已说明了一切, 特别是944am-949am (这也是俺当时的感觉)


WHERE YOU CHECK THE INTERNATINAL MKT?
http://www.bloomberg.com/markets/stocks/wei_region2.html
http://www.bloomberg.com/markets/stocks/wei_region3.html

WHERE YOU CHECK REAL-TIME NEWS?
just cnbc

Money flow data is on wsj
http://online.wsj.com/mdc/public/page/2_3022-mflppg-moneyflow.html?mod=topnav_2_3000

If on level II I see some large sizes of bidding orders, and some small sizes of asking orders, I know MM are exiting, I better run, dump my longs?
No, need watch for excution orders, if small order hit ask and large order hit bids, then means they exiting.

IF you trade double/tripple ETFs, DO NOT wait last minute to exit, EXIT 15-30 minutes before closing bell is always safe and enough profit.
I tell you the secret, many DT auto-trading systems set exit DT trading automatically within last 15mins of trading. that's why SRS can just loss 3 points on nothing related to underlaying sector stocks's performance.


Q: Also how do you decide when resistance/support is in conflict with other signals? E.g. if it's near resistance, but BB or MA gives buy signal, which way would you choose?
Answer: major resistance with buying signal is hold with stops, major resistance with sell signal is exit without second thought.

we buy/cover at channel/wedge bottom support with stop set at bottom line. We sell/short at the top/resistance with stop set at top wedge/channel resistance line. This basic TA should continue work unless one day mkt makes decisively moves out of the range.

QQQ said...
looks like today still paper trade pounding the ask while electric trade suddenly comes from no where get ES bids 0.5 up from time to time. paper trades usually from large clients while electric orders are from small people like us and commutials.
I meant CME floor trading has 2 types, paper means traders receive phone call or notes from their clients, and the traders on CME floor enter order for those clients manually. (not what we mean paper/fake trades)
eceltric trading is the flow from electric order entered like what we are doing, plus commercials


DT: Detect intra-day positive and negative divergence http://i44.tinypic.com/eb8ymd.png

Price and volume (only 4 combinations)
Price Up, Volme Down: most bearish
Price Up, Volme Up: depends, (i) Small up, big up vol, after bullish run, bearish; (ii) Big up, big up vol, bullish.
Price Down, Volme Down: bearish
Price Down, Volme Up: depends, (i) Bearish if it is the begin of sell off (ii) Bullish if the sell off already lasted for a while

Hedge positions
You mentioned that you have hedge positions sometime. If you think one position is risky, is it better to buy another one to hedge the existing position or simply sell the risky position?
QQQ said...
bjva, after account grows into certain size, the risk of having a single large position is also grows. so fund managers have to hedge their positions. say all big funds holding XOM, while XOM looks lossing support, the funds might consider short OIL.
but as you know, for us, I definitly suggest STOPs are must have on any positions. I took position on DIG at same time I have ES shorts that are much leveraged to offset DIG's loss oif mkt goes down. I will do the same to protect my swing positions tomorrow as well as Friday until the dust is clear on this correction. Sure I have stops on swing positions.

How to fine-tune trailing stops on 5min or 15min charts to max profit/min risk?
It depends on what do you trade and your relax level, you can use the trading band on that day to decide what size of trailing to set. I will use 5min SPY chart with ema7, ema21, ema50 as example. But you know when I trade ES, my stops are very tight. Trailing stops I normally set 3-5 points. The trades on last Friday, because the trading band was so tight, I used only 3 points trailing when I remind all of you to set trailing stops to protect gain. I have to admit, set trailing stop on those 2X, 3X ETFs are difficult.

QJ,is that the SPY volumn is not as good as ES volumn to indicate the market move? In that case, maybe at least I should sign up an account which can see ES volumn?
Answer:
many weeks or even a month or two ago, I mentioned a few times if you trade stock mkt, you are better to have a friend who trade Future or FX mkt, because these two mkt actually indicates something earlier than cash/spx mkt.
as you can see I often use EUR, OIL, Copper to try detect next mkt moves rather than many TAer drawing lines on SPX charts over and over.
No, you do not need a future account, but if you already with IB, you can enable your acct for future. even you do not trade, it helps to understand some mkt actions.
I did notice SPY end of day volume is lower compare to past days. but I still see end-of-day buying behavior remains the same, once this hehavior changes, we can hold shorts.

WOW, I just saw this book. It can turn a turtle into a good trader!
I'd recommand all of us download this book and read it.
http://www.ebookee.com.cn/Way-of-the-Turtle-The-Secret-Methods-that-Turned-Ordinary-People-into-Legendary-Traders_140249.html
http://uploading.com/files/FSW4OIZT/Way_of_Turtle.rar.html

http://www.ise.com/WebForm/md_ise_sentiment_index_stats_hp.aspx
QQQ said... March 26, 2009 10:29 AM
if it is decrease, than they are exiting calls. CPC finally above, that means (1) Exit calls (2) buy up puts
QQQ said... March 26, 2009 10:34 AM
this tells me (1) call vols are higher than puts vol
so plus (2) $CPC, put/call ratio is up
so (1) + (2) is telling me they exiting calls, am I right?
QQQ said...
$usd is up, gold is up, bond is up and all stock index is up.
so index puts are bought for protection while they run up stocks
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Others

Comments on Stockcharts.com
QJ said...
if you are not a member of stockcharts.com, you can only see daily and weekly charts, not intra-day and monthly charts.
If you plan to do day trade, a subscription with real time data will be very helpful.
If you are only able to see mkt at night, a basic member should let your review intra-day data with 20 min delay.

Which broker is best?
stlearner said...
I am looking for a broker for low commission. I have scottrade, etrade and ameritrade account. All of them are about the same, $7-$9.99 for stock and 0.75-1.25/contract plus $7-9.99 for option. It's painful as every tiny profit was eaten by the commission. I think of IB. Last time when sisQ showed her simulation account, I saw the commission was low. After checking IB website, I was confused with different fees listed there. Seemed they have account maintain fee, cancellation fee, using different exchange may have different fees...etc. I guess many classmates here have IB account. Could anyone explain a bit how good/bad is the IB's charge? thx.
TA_Jetblue said...
For IB account, you will have $10 maitanence fee (per month) if your monthly comission is less than $30. The comission is almost the cheapest (I don't know anyone who beats it). But its customer service is slow. I am not very clear on other fees. It doesn't have datafeed fee but on the other hand, your data through IB isn't the real tick data.
qqqstudent said...
I am using MB trading. It has the similar commision as IB for stocks. The drawback is that I can not trade in company. Can't connect to their order server which I think is blocked by my company.
So I am thinking about IB too, as it seems to have web-based system and mobile too.

QJ said...
TS is best for future trade
IB is best for Option trade plus both low commission fee.
OPX is the best for its abnormal Option trade alerts, so I keep 3 of them.
I still have IB as the swing acct for stocks/ETFs/options, I like the way IB OptionTrader is set up. Tradestation acct is only for trade Future. for ES, CL, YM, NQ, TF, and E7 (baby Euro) and DX ($USD). I trade ES almost everyday and trade Euro sometimes at night. Tradestation makes future a lot easier, I don't have to type price!
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Questions about IB
Anybody using IB know how immediately change trailing stop order to market order for exit? I have a preset: when a order filled, the trailing stop order been set same time. I need cancel trailing stop first then make a market order. that take time. Any Idea?
TA_Wen said...
if your trailing is far away so that you can be sure it won't be executed immediately, you can sell @ market price first, then cancel the trailing. I just tested and it seems to me that it is not allowed to change from stp to mkt.
If you are dealing with options, my experience is that after your mkt order got filled, if you don't have enough margin to fulfill the stop order, it will be canceled immediately.
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Questions about QuoteTracker
Zoe said...
目前data source 是ETrade, 我有IB a/c, 想改成IB feed.
1) Is IB data feed better than Etrade feed? 有必要换吗？
2）改data source的时候，QT asks for "custom IP address" and "IB client #" (instead of asking for my IB user name and password）。 Where can I get those information?
TA_Jetblue said...
Here is the help page on how to setup IB with QT: http://quotetracker.com/help/ib.shtml
I am not sure about IB vs. etrade. but etrade doesn't have futures I believe

if you want to bring up multiple charts for one ticker within Quotetracker, please try the following (assuming you have saved 5-min and 1-min chart template before)
1) bring up a 5-min chart for a ticker, such as ES or spy;
2) from the chart you just brought up, right click the mouse on the chart, choose "new chart" from the menu, then click 1-min chart which you have saved before;

QT manual. http://www.quotetracker.biz/QTHelp/
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Phantom bar indicates?
the p-bar is often a price error, but bayliner's conspiracy theory says it is a secret message b/w MMs for future price action.
Today's SPY p-bar "strategically" filled the opening gap, so people unaware of the p-bar will think the gap has been filled.
phantom bar is the "spike" on your real-time streaming quotes (from ameritrade streamer, or quote tracker). The spike is far away from the then-current price, so appear as a big "spike" up or down. My advice is : 不可不信,不可全信. For example, the SPY 15:31 spike to 81.3, don't seem that will become true today ;-)

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Useful tools
bokchoy said...
  • For Firefox user, you can download 'reloadevery' add-on, it will automatically refresh your screen. You can also set how often to refresh your screen. Very nice add-on. I use it to watch Q jie's post every day.
  • For those who wants to surf the net but be invisible in the office, try this http://ghostzilla.en.softonic.com/
If you want to do a live class, try this one, www.dimdim.com
(free webconferencing, audio, video, desktop sharing, and more, up to 20 students in one class)

For the ones who wants to trade during work and be discreet, try this www.logmein.com (the free version), it use port 80 and encryptied so your company can detect what you do.

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Jingyi said...
does anybody like to share your information about your computer set up etc? I have only one computer with one moniter at home, I want to get two moniters, one for chart, one for trade, because I find out one is really not enough.
Lucy said...
I get one laptop with dual monitors, for watching es and blogs, and another laptop for stock trading. I am not a very active trader, but when I watch, I'd like to see them all.
BenMao said...
dual monitor setup
1) using desktop pc
make sure your video card has dual output, either dual DVI output or one DVI + VGA.
you can search good deal from http://www.buy.com/cat/video-cards/61929.html,
check the pC bus type, such as PCI, PCI-E, or AGP, first, then check video card
output type. nowaday LCD monitors usually support two types of connection, DVi
and VGA. some video cards have power supply capacity requirement. read the spec
carefully before purchase.
2) using laptop
many laptops comes with one extra VGA output port, you can connect it to an external
monitor. based on the video card you have in your laptop, the procedures to enable
external monitor is different, but not difficult.
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Monday, April 27, 2009

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