comments 4/19/06 (Wednesday)

Bracket E (10:30): Top 2 ranked days show very similar patterns. Low created during RE to downside in F bracket. In Q/R bracket we see a rally which makes new HOD in one case. Otherwise these 2 days appear to be Z days focussin on the lower half of the range established during the DEF brackets.
So based on these 2 profiles here is a possible strategy for rest of day, let's see if this plays out and helps us:
Sell the 1312.75 to 1313.75 area.
Buy the 1308.5 to 1306.75 area.
Play the Z day for small targets.
Once Q bracket starts then don't sell - if long then hold position.

F Bracket complete: Rank 2 moves to position 1 and rank 1 drops to position 5. Common theme: Day's with high PDTP (Previous Day Trend Percents) show a Z-day which is what we expect.
Based on new information it doesn't look like there is a great risk of the G bracket breaking out of the current range and a slightly higher risk of the H bracket doing this.

The close of the J bracket at 1pm shows that the I&J brackets are unlikely (according to the 5 ranked profiles) to move more than a few ticks outside of the range to that time of day. In fact it looks like that theory holds for 3 of the days, fails for 1 and partially works for the 5th. Using those figures we can say that we have 3 winners, 1 loser and 1 scratch.

Target expectations should be reduced if trading during these periods as it appears that the range is 2 to 3 points. Breakouts, range expansion and larger moves are more likely to occur during the L&M brackets and beyond.

It is not clear if this type of ranked profile (with the IJ characteristics) is just valid for Z-days or perhaps for all day types.

In order to answer this question we may need to run some stats to determine by how many ticks the I&J brackets exceed an extreme and determine if this is below or above what a random distribution would exhibit. We could compare moves beyond the extreme in one bracket to another to determine what a normal move beyond extreme would be. For example, on average, we would probably expect that M bracket moves beyond extremes to be larger than I bracket moves. If this is the case then we might determine that we can fade the I bracket extreme breakouts.

HOWEVER, we have to remember, that the potential move in the I bracket is way lower than in the M bracket. So if, for example, we were getting 3 out of 4 winners with stops at 2 points and targets at 2 points. This might not be as good as the same trade during the M bracket with 2 out of 4 winners but the winners being 4 points and the stops being 2.

(Just some thought bouncing around in my head.)

K bracket closed. Top 5 ranked profiles state: HOD is in. 4 of the ranked profiles show new LOD, 3 of those in N bracket and one in the P bracket.

At close of N bracket we have 5 fairly balanced ranked profiles. 3 say new HOD and 2 say new LOD. However all of the ranked profiles show that the P bracket never crosses the DPOC and trades to the new extreme on the side that it opens on. This supports the theory that we will see a new HOD and not new LOD today. We will see if this theory holds...

Top 4 ranked pages from end of today point to the following day tomorrow:

1. Another Z-Day but shifted higher by 2 to 4 points. (NV up)
2. Another Z-Day but shifted down by 2 to 4 points. (neutral)
3. Another Z-Day but shifted higher by 4 to 6 points. (NV up)
2. Another Z-Day but shifted down by 2 to 4 points. (neutral)