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SP500 ES bits and pieces


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SP500 ES bits and pieces

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  #1 (permalink)
Ozquant
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SPX has taken a hammering and we have seen some extremes in Price Action that are potentially indicative of exhaustive move to fade in coming week/s . Friday was the 9th consecutive day close was lower than open with that extreme the highest since Lehmans collapse in 2008 . 60 day drop from highs another extreme level and stocks above the 200dma under 20% . These levels are areas where i begin to look for a bounce . Will update some charts when my platform is back on line







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  #3 (permalink)
Ozquant
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% under 6 month highs



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  #4 (permalink)
Ozquant
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Consecutive days close under open SP500



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  #5 (permalink)
Ozquant
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All in the same theme . That buying while most are crying ' thing ' with appropriate risk management of course




A key take away here is 2008 lehmans collapse is where much of this would fail , outside this its not the worst place to have a ' go ' . Risk is clearly harder to manage in this volatility and must be taken into account , smaller sizing goes part way to addressing that .

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  #6 (permalink)
Ozquant
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ES hit the 10% below 5 days highs level last few hours here , this is the area where significant historical capitulation lows are made .



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  #7 (permalink)
Ozquant
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Longs today , once swing low is in im expecting 10% upmove inside next 20 days . Willing to add once shorter term intra based regime flips bullish





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  #8 (permalink)
Ozquant
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Well didnt expect 6.5% move of lows inside a day but i will take it . 10% might be conservative . Outright longs and some way OTM Jan calls looking sweet , not so OTM now




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  #9 (permalink)
Ozquant
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I think probably the first time this year where insider buying > insider selling fwiw



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  #10 (permalink)
 trendisyourfriend 
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Ozquant View Post
I think probably the first time this year where insider buying > insider selling fwiw



What does insider mean exactly?

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  #11 (permalink)
Ozquant
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trendisyourfriend View Post
What does insider mean exactly?

SEC reported BUYS/SELLS by company employees , directors , board members

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 trendisyourfriend 
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Ozquant View Post
SEC reported BUYS/SELLS by company employees , directors , board members

Should we infer that since they are insiders they know something the rest of us mere mortals are unaware of and consequently are more likely to align with a solid reversal or bottom?

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Ozquant
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trendisyourfriend View Post
Should we infer that since they are insiders they know something the rest of us mere mortals are unaware of and consequently are more likely to align with a solid reversal or bottom?

Not inferring too much at this stage given the liquidity and relative small size of insider in last week , but given the ratio of insider sells to buys over last 12 months its worth taking note to follow up . Fair to say relatively , insiders are more likely to have insight on whats value in their company compared to ' mere ' mortals , whatever that implies . All im doing here is looking for facts to quantify to make better decisions , i think i do ok . I try to have no biases and i am neither bull or bear , just looking for any swing in either direction to ride with a positive probability ( edge ) .


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  #14 (permalink)
Ozquant
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SP500 forward earnings / revenue / margin spreads can be a useful tool in the longer term




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Ozquant
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Given the holiday induced low liquidity last couple of trading days not much to be gleaned from price action , Rally of recent lows now as high as 8.8% so not far to go till i tag my initial target of 10.3% of lows . My short term model still has room for more upside beyond that so will keep a small runner above 10% , willing to buy algo triggered signals on dips above 10% where i will hold daytrades only until my model regime flips bearish . This plan has played out nicely




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  #16 (permalink)
Ozquant
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Ozquant View Post
Given the holiday induced low liquidity last couple of trading days not much to be gleaned from price action , Rally of recent lows now as high as 8.8% so not far to go till i tag my initial target of 10.3% of lows . My short term model still has room for more upside beyond that so will keep a small runner above 10% , willing to buy algo triggered signals on dips above 10% where i will hold daytrades only until my model regime flips bearish . This plan has played out nicely

8 days to tag 10.7% rise from lows . can cash out large part of longs here today for nice profit ( ES AND NQ ). Still holding SPX options that are now in the money with 10 days to expiry . Thats the easy money , now more daytrading buying dips from here . Regime filter still maintaining bullish outlook




SPX range finder which is a work in progress looks solid


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  #17 (permalink)
Ozquant
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Next week getting time to flip bias here , looking for shorts and spikes to trade into . The Bull honeymoon is almost over here imo


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  #18 (permalink)
Ozquant
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Ozquant View Post
I think probably the first time this year where insider buying > insider selling fwiw




Once market liquidity returned the insider ratio is stil bearish but a key takeaway is that still nowhere near as bearish as 2018 as a collective



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Ozquant
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Ozquant View Post
SP500 forward earnings / revenue / margin spreads can be a useful tool in the longer term

SPX forward earn consensus '18 Q4 still trending down as is '19




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  #20 (permalink)
Ozquant
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Is history telling us anything here ?




Given in 2008 SPX was so far below the 200DMA there was no significant bounce is stocks above 200DMA so that explains that anomaly


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 ratfink 
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Ozquant View Post
Is history telling us anything here ?




Interesting longterm topline for me. Good counterpoint to the excellent support zones, keeps us open minded. Do all l/t rallies show the same declining pattern, or is it more pronounced in this decade? I suspect it will be the latter, but it obviously can't be used for timing in any case.

Much appreciate your charts and input.

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  #22 (permalink)
Ozquant
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HERE we are with SPX backtesting 200dma after a signicant drop below the 200dma , History says another correction 10% deep is imminent for after such deep downmove a straight breakout of 200dma is a rare event . Time to build a position accordingly imo


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mirin
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Ozquant View Post
HERE we are with SPX backtesting 200dma after a signicant drop below the 200dma , History says another correction 10% deep is imminent for after such deep downmove a straight breakout of 200dma is a rare event . Time to build a position accordingly imo



There's a lot of good work in this thread. Was watching a different trader also discuss something kinda similar, good stuff.

Did you end up shorting back in jan/feb 19? you seem to be calling an intermediate/large bearish reversal there

Today, it seems like see volatility for a few weeks and then continue uptrend

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