Latest Trading Research & Articles

iStock_000001603593XSmall Latest research and articles on trading and day trading related matters. Research mainly focuses on Emini and Forex markets. You will find in-depth research on trading techniques, market biases and trading signals that you will never read from anywhere else. You can always find something useful to improve your trading here.

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S&P Week Range Behaviour

A simple statistical exercise showing how S&P weekly trading range is closely related to and affected by its prior week’s trading range. The Distribution Following is a distribution chart of the weekly trading range represented in percentage te ...

One comment


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Inside Gap Behaviour

This is the second instalment on emini S&P gap behaviour. The first one is Outside Gap Behaviour, Now and Then. Inside gaps are gaps that do not have the open price printed outside of the previous trading day range. Fashioned in the same style ...

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Lunar Cycle - Long Only Model  member only

I have one of my guys worked on this and here is the result of a trading system based on lunar cycle that looks like it works. ...

2 comments


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 ...

2 comments


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
...

2 comments


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Lunar Cycle – First Look

Many people would like to believe that there exists mystical cycles that they can use to unlock the secrets in the markets. Here is an introduction of lunar cycle and its applications on timing the US stock markets. Basics Lunar cycle in genera ...

3 comments


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Nasdaq 100 Down 2% Trading Setup  member only

On a day when Nasdaq 100 is down 2% from its previous day close, something very interesting is likely to happen within a day or two.

Following is a table of Nasdaq 100 emini from September 2003 to March 2011 showing the statistics related to the 2% drop phenomenon.

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2 comments


Misunderstanding of Trading System Designs

Most retail traders misunderstand that trading systems are created by ad hoc grinding in trying out all kinds of rules to see if a system is profitable (or whatever metric you like to use as the performance yardstick). Here is a short summary of the ...

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Some Thoughts on "Nassim Taleb on Living with Black Swans"

First it is a good read - Nassim Taleb on Living with Black Swans Several interesting parallels on Nassim's take on the current situation in the financial system to individual traders or trading models - Traders who never experienced significan ...

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