E-Mini S&P500 Trading Research Central

I daytrade the emini S&P 500 and Nasdaq 100 index future contracts. My inventions on market breadth are specialized in the identification of short term stock market index behaviours. Hence I have a large body of research work done on the index related markets. My take on price movements and price behaviour is not conventional and my research articles clearly reflect that.

When I am not trading and have spare time on hand, I would review my research notes and write up summaries. The process is slow and time consuming. But I know if I do not do so, my research work will stay behind the closed doors of financial institutions. I hope my work will make a difference among retail traders for generations to come.

For trading signals and real-time trading tools visit S&P500 Signals

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ES 5-min QE Buy_20110617_154157
Impact of Quantitative Easing on Stock Market Indices

Everyone on the street talks about Quantitative Erasing and that it is messing up the markets, causing inflations, etc. Can we really identify the characteristic change in the S&P that distinctly separate its behaviour from its normal self, or, is th ...

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Outside Gap Behaviour, Then and Now

Many traders who daytrade emini S&P probably are familiar with the gap fill bias. What I am going to show here is how a particular type of gap fill, outside gap, has changed over time. Gaps are created when a market open at a price different from ...


Gap (Up) and Go Failure  member only

One very reliable pattern showed up today (Jun 13, 2011) in Emini S&P that worths a more detailed explanation. The Setup
  • Market down more than 2 to 3 percent from previous month close
  • Market gap up but within previous day trading range
  • Tried to gap up and go (i.e. rally off open at once) but stopped after 15 minutes
  • Then the next hour trapped within OR (open range or the first 30 minutes)
  • Extremely bearish $tick reading all along
  • Last swing down coming off VWAP


Emini S&P Day Close to Range Distribution

To answer a question from our member, here is the distribution plot of Emini S&P close of the day relative to the range of the day. By representing the price as a percentage of the RTH range, centered at the midpoint, we get a distribution gra ...


Compound Effect from Multiple Filters  member only

Answering a question from our reader - Would using multiple criteria like combining the condition of close greater than or equal to pivot (PP) and the condition of close greater than or equal to volume weighted average price (VWAP) produce stronger b ...


What to Expect After 2 Down Days?  member only

One of my favorite daily level Time Map patterns is that Emini S&P dropped for 2 days significantly. It provides something so consistent to work with over the years you have to wonder why no one talks about it at all.



Trading with Tick Index: S&P 500 Tick16

I wrote an article in the Futures magazine some time ago on S&P 500 Tick16 Index and a basic daytrading system that exploit the statistical bias on the index. Here is some supplement information about the concepts. What is S&P Tick16 Index? The ...

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Basic Consensus System - Performance Review

Here is an update on the performance of the Basic Consensus System. As you can see, there is a mild drawdown period during 2006. After that, the system has been performing very well. ...

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Fascinating Volume and Open Interest Relationship in Emini S&P

As of friday's close, emini S&P has an estimated daily volume of 3,251,000 (more than 3 million), with prior open interest stands at 2,350,000 (more than 2 million). Think about the ratio. The daily turnover is more than the commited overnight pos ...

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Studying Your Data Across All Bar Sizes

Have you ever wonder why you like to use 5-minute bars to trade something, and then, all of a sudden, switch into another time frame like 15-minute bar to monitor another instrument. Why we somehow have different level of comfortability with differen ...

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