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Market Research for Index Futures


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Market Research for Index Futures

  #1 (permalink)
Ann Arbor, MI, United States
 
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Market Research for Index Futures

Where can I get market research relevant for index futures trading (ES, NQ)? Specifically, I'm looking for historical trading patterns, statistics (i.e. the next trading day closed long 67% of the time over the last 20 years), potential market movers, etc.

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  #3 (permalink)
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Larry Connors has published some work that may be related to what you're looking for.

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  #4 (permalink)
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Scott Andrews at Master The Gap has software for Tradestation that does this. It's pricey but does an excellent job.

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  #5 (permalink)
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a2trader View Post
Where can I get market research relevant for index futures trading (ES, NQ)? Specifically, I'm looking for historical trading patterns, statistics (i.e. the next trading day closed long 67% of the time over the last 20 years), potential market movers, etc.

In regard to the index futures pertaining to gap fill plays:

At the time of the the copyright in 2006, John Carter published in his book "Mastering the Trade"--

"One of my trading partners, Hubert Senters,has compiled data over the last 4 1/2 years based solely on the raw gap data,disregarding any readings on premarket volume."

Day //////// percentage of gaps filled

Mon //////// 65%
Tue //////// 77%
Wed //////// 79%
Thu //////// 82%
Fri //////// 78%

"gaps are so powerful that many traders make a nice living playing these setups alone"

"I have two basic rules about winning in trading as well as in life: (1) If you don't bet you can't win. (2) if you lose all your chips, you can't bet."
--- Larry Hite from Market Wizards by Jack D. Schwager
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  #6 (permalink)
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I personally believe doing your homework for yourself is important. Its easy to get historical data from whoever your provider is. But using data say from john carters book which is 6 years old, or anyone else you are not sure if the market dynamics have changed since then. I personally use multicharts and do my own analysis. I haven't studied gaps but in relation to something out of carters book. The 1000+ tick fade to the short side, over the last 6 months is not profitable. Actually going long there is much more profitable. Market dynamics change, you need to have up to date information. Also doing your own homework makes it just that much more ingrained into your mind

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  #7 (permalink)
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treydog999 View Post
The 1000+ tick fade to the short side, over the last 6 months is not profitable. Actually going long there is much more profitable. Market dynamics change, you need to have up to date information.


NYSE tick fade plays, according to his methods, are designed only to last for 35 mins . They are levels to take profits and / or reverse the trade and go in the opposite direction, because these are readings of extreme market exhaustion.

I prefer to observe them in conjunction with 5min candlesticks,

for daytrading, I personally don't enter into 1000+ tick readings in the direction of momentum (whether long or short). I will wait

I don't use tick readings as much for fade plays, but I do keep an eye on them for profit taking to identify extreme levels. I generally find that 1200+ tick readings are great places to take profits and that 1400+ (which are rare and very extreme levels) are even better.


As far as his data on gaps, that was from 2006. I do not know what those percentages are today. However, I generally find there is a high probability that most gaps close, if not in the day's session, then in the future.

"I have two basic rules about winning in trading as well as in life: (1) If you don't bet you can't win. (2) if you lose all your chips, you can't bet."
--- Larry Hite from Market Wizards by Jack D. Schwager
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  #8 (permalink)
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squeezed View Post
NYSE tick fade plays, according to his methods, are designed only to last for 35 mins . They are levels to take profits and / or reverse the trade and go in the opposite direction, because these are readings of extreme market exhaustion.

I prefer to observe them in conjunction with 5min candlesticks,

for daytrading, I personally don't enter into 1000+ tick readings in the direction of momentum (whether long or short). I will wait

I don't use tick readings as much for fade plays, but I do keep an eye on them for profit taking to identify extreme levels. I generally find that 1200+ tick readings are great places to take profits and that 1400+ (which are rare and very extreme levels) are even better.


As far as his data on gaps, that was from 2006. I do not know what those percentages are today. However, I generally find there is a high probability that most gaps close, if not in the day's session, then in the future.

I observed 1000+ tick fades for periods between 1 and 60 minutes, they were net losers across every duration of trade. But yes i would agree that gaps usually close, specific numbers I have no idea.

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