Asia – Trifecta
• Shanghai (China) +0.81%
• Hang Seng (Hong Kong) +3.12%
• Nikkei (Japan)+1.86%

Europe as of 11:45am EDT

• DAX (Germany) -2.72%
• FTSE (UK) -0.33%

Quote of the day:
Knowledge is power, if you know it about the right person. – Ethel Mumford

Current Allocations:

 
Breadth:

After two bullish days, the market turned bearish again.  An easy bull cycle starts today but gets rolling tomorrow.  The bears need to maintain their bear scores now to get street credence.

$ESz

Friday’s look for 1270 did not materialize as news from Europe continued to dampen any buying enthusiasm.  We are now in a topping wedge from Wednesday’s and Thursday’s up days and making a directional call is increasingly difficult without more price and breadth indication.  The bears need to punch down today through the 1230 area and the bulls need to attack 1260.  In between we are just treading water waiting for an European outcome or some indication that the USA and other world economies are in growth mode.

The financial news reporters are being re-located to Italy as the Greek story becomes long toothed and does not have that blend of sex that our Italian friends have.  That tells us there may not be a quick end to this tortuous news cycle and the volatility.  The key to restoring upside moods is extra Europe and lies with the USA and China putting in strong numbers.  Remember, China is on track to add 1Trillion to its GDP.  Greek GDP is 300B.  So China is adding 3 Greeks to the world economy each year.  That needs to continue and we need to see China inflation numbers out tomorrow around 9pm EST to hit in the 5’s tomorrow.  Should that happen we should see more market confidence toward the end of the week.

There is no news scheduled in the USA today so we remain at the variable winds from Europe and most likely will trade in our wide holding pattern range.

Bottom line, we want to short 1270 and go long 1220.  In between is scalping rangy behavior, albeit very volatile.

US Dollar

As Euro news appears to be bottomless, the market patience will continue to be tested.   We see the dollar on the upside for the next two days with a possible break of an inverse heads and shoulders targeting us to the 78.50 area.

TLT

We continue to watch TLT for money flow.  Today TLT is indicating just shy of 117.  As long is it remains range bound between our 120 and 111 we favor the upside of the market longer term.

Latest Posts for:

@redliontrader

This one of the Pivot Boss Suite of indicators for NinjaTrader.  To learn more about using Frank Ochoa’s pivot indictors and the Central Pivot Range you can go to http://PivotBoss.com 

Inputs:

Inputs are easy, you can enable or disable the plotting of the BC, TC and PP simply by manipulating the true/false input fields.

The pivot range calculation can swap around the lines, in other words the TC can be below BC, this sometimes leads to confusion.  If the SortLines input is set, no matter how the calculation works out, the color ordering will always remain the same.  Set this input to false is you want the color attached to the calculation.

This indicator automatically scales for the bar type you are using.  On intraday charts it will use daily pivots, on daily charts, weekly pivots, weekly charts generate monthly pivots and monthly chart yearly pivots.

This indicator is free for registered website users (which is also free):

This indicator is used to visually plot the Advance/Decline line of several indexes for intraday monitoring of strength both relative to other indexes as well as to watch for market turning points. 

The indicator comes packaged with a worksheet setup to for several indexes. It is a bit tricky to setup as TradesStation requires a symbol to be displayed in order to annotate a chart so Data Stream one needs to be “Scaled” out of the chart and the chart expanded and scaled using background scaling in order to be used properly.

Understanding how the symbols are setup is important to understanding how to use the indicator.  You can have up to 8 a/d lines and each a/d line must have an advance/decline pair. Here is the example for the provided worksheet.

Data Stream 3 in this example is the NYSE advances and Data Stream 4 is the NYSE declines.  (odd even datastream = one a/d line).

The first input on the Format Analysis box tell the indicator how many data stream pairs you have setup, in this example we use the first 7 (data stream 1 – 14).  Although we have setup AMEX  as a data stream we find it of little use so we have excluded it from the indicator by picking 7 a/d lines to show (1-7).

The next inputs are the tag names that will float with the latest A/D values to help you identify the A/D lines.

The indicator runs in several modes of which we find the modeDiff the most useful which is simply (A-D)/(A+D).

The final chart so look something like this:

This latest version includes the A/D ratio as part of the annotation allowing you to see a more traditional value for the A/D line.

The !RL_AD_ALL indicator is for premium members only and is one of our most used trading tools.  If you would like to see the indicator in action and how we use it to help us trade you can visit us in the Traders Live! trading room.

Down Load:

We use our TradeStation version of this indicator to do our 4% trading and unfortunately I don’t have access to a Value Line symbol for Ninja, unless someone knows how to get it.  Our example here ha substituted the IWZ (Russell 3000) broad based index as a proxy for the trigger symbol and it doesn’t quite produce the same results as the Value Line.

That being said, there are certain advantages that the Ninja version has over TradeStation, and that is the simplicity of changing the underlying trigger symbol that is built into the strategy.

We have also added in the ability to model profit targets, stops an even a maximum trade length.  These can be disabled by placing a 0 (zero) in their input value fields.

This is a long only strategy but we see room for improvement by adding in some shorting capabilities.

The basic 4% model is that whenever the trigger symbol closes up 4% for the week you buy. When it closes down 4% for the week you sell.  That’s it.  And at its simplest function that is what this strategy does.

We are supplying with the strategy a basic emulation of the Ned Davis 4% system as documented but we are also supplying a setting that whenever one gets a 4% up on the IWZ one enters QQQ for a few days to capture some upward thrust profit.  That strategy does pretty good with a 61% win rate and a profit factor near 2.  We haven’t spent much time yet with the Ninja version except to debug, but we will be looking more closer, a lot closer on follow though price action from 4% IWZ moves!

The concept you need to grab here is that there are two symbols and timeframes involved in this strategy.  There is the underlying index (could be an ETF or any stock really or an index) that is calculated on a weekly percentage gain or loss.  That gain or loss is settable by you, as is the trigger symbol but not the timeframe. Currently fixed to weekly.

Then there is the traded symbol which can be on any time frame.  It can be the same symbol as the underlying, or not and the same time frame or not.  Dealers choice.

In addition you can set the exit long strategy to be something other than the simple 4% down exit.

Here are some suggested areas to explore with the strategy:

• Change the underlying index to a leading index such as the QQQs and buy traditional laggards long on 4% up weeks. 
• Find some good trading pairs that are correlated with a time shift, that is when one goes up, the next week the other has a high probability of going up.

We have plenty of great ideas to improve this strategy and will be returning as soon as we catch up to implement.

• Add in shorting
• Allow the user to set the timeframe for the underlying.
• Improve the auto-trading with a break-even stop once profit is hit
• Add in pyramiding
• Look for a filtering indicator to improve entries

Although this strategy carries the NedDavis4% name it is so much more.  I think we will change the name when we do our next version!

Inputs:

Fairly basic, and in-fact some of those changes we talked about above most of you could probably code in.. remember we always release our source code with the indicators.

With the strategy there are two examples:

The first example uses the inputs above. The sequence is:

• Watch IWZ (the Russell 3000) for a 4% up week.  If there is a 4% up week then enter long into UWM (Russell 2000 2x) we are looking for a little leverage.
• Stay long under a 4% down week is detected on a Friday close.

Our 2nd example breaks the 4% model and is attempt to garner edge by going long on a 4% up week on the QQQs (Nasdaq 100 ETF).  Here are the settings for our 2nd example:

In this example we are using the same IWZ as the Trigger underlying symbol.  The sequence here with these settings are:

• Go long the QQQs when a 4% up move for the week is detected in the IWZ
• Hold the trade for 3 days and then exit

That’s it.  As mentioned above it has a pretty good profile, worth investing some time in.

Our strategies are available for download for Gold/Premium members only.  Membership is good for 12 months and entitles you to download all the indicators we have plus those we add and improve over the next 12 months.  If you want to read more about Premium Gold this is the link, or you might want to review our FAQ page.

Download:

This is our first release of the Ned Davis 4% indicator.  Although it defaults to looking for a 4% weekly move the indicator is generic enough to generate a colored candled based on percentage thresh hold.

You can read specifically about the Ned Davis/Zweig 4% system on our website here.. As well its current status.

Sample Provided:

**Note to rlCandle indicator users, this indicator must be installed after the rlCandle indicator as both re-write the candle colors and last indicator wins.

To use this indicator install in with the NinjaTrader script import and put it on your charts.  It will work with any symbol and with any timeframe.

There is a Ned Davis / Zweig 4% strategy available also for premium members.  You can find the strategy for test Pct move entries using any index to trade a 2nd instrument.  ie.  You can use pct moves to trigger in the S&P500 for a buy or exit in IBM for instance.

This indicator is free for registered users (which is also free):

What are trending candles you ask?

Traditional red/green candles are green if the close is greater than the open price and red if the close is lower than the open. One problem with that is that a gap down can show as a green candle if the gap down open is less than the close, even if the close is less than the previous close.  We don’t like that, we use trending candles and this is how they work.

Red Solid – Close is lower than open and previous close

Red Hollow – Close is greater than the open (green on the bar) but still less than the previous close

Green Hollow   – Close is greater than the open and greater than the previous close (trend up)

Green Solid – Close is less than the open (usually a red bar) but the close is greater than the pervious close (trend up).

Our rlCandles also does some housekeeping for us putting up the net change and %change in the upper left hand corner.

This is the foundation to all our charts as mentioned above.

Note: For you at home players and coders.. this indicator is an excellent example of how to pass in boolean, fonts and colors and the necessary serialization for colors and Fonts.  It uses them all!

This is how our charts look with the indicator turned removed and the standard RSI installed.

Same chart with indicators turned in on in candle mode 1:

Same chart with candle mode 2:

And finally in transparent mode 3:

Allowing just the indicator to be painted in pane 1 without any price info. (Very useful)

Our charts have the fonts and lines oversized for publication and screen sharing, you will probably want to spend a few minutes and customize to your needs.

You can download rlCandles for free as a registered member of the site.  There is a short video tutorial in the download section describing how to set up your charts just once, and then the next time you load your charts they will be like you like them.  Setup is important for NinjaTrader.

This strategy builds upon the ADT/UDT indicators released.  It enables traders to test trading strategies and do analysis on A/D and up down volume strength and their predictive properties.

There are two modes of entry in this strategy.  A thrust mode and cross mode.  Both can be disabled by placing a zero in their values.

It is possible to have both modes on by simply setting their values as desired.

The sample worksheet packaged with the strategy has the following two examples setup.  These are setting examples as opposed to real trading strategies, further optimization, portfolio testing, and selecting the best ADT/UDT length are left up to the trading researcher… you.

Our first example uses the strategy in thrust mode, looking for a particular size move in a particular number of days.  The second example uses the strategy in cross-over mode, that is looking for a particular ADT or UDT to cross either above or below a particular value.

Example #1 Buying and Shorting Thrusts

This is  the worksheet example that is packaged with the strategy:

• In our example we are looking an an NYSE ADT length is set to 7 bars on our daily chart, so we are looking at an ADT7 calculation.
• For a buy we are interested in a thrust length of 14 (a move from over sold up to over bought in 14 trading days) or for a sell or short we want a downward thrust of -7 (a move from overbought down to oversold in a 7 day period).
• The levels considered oversold for the short and buy are both 35.8, for overbought 63.
• The cross over mode is disabled via the buyX and shortX inputs set to zero
• We will exit the trade at 4% profit, stop at a maximum 4% loss or force an exit if neither is hit within 15 days.

So what is the strategy doing?

Each bar, the strategy is generating a new ADT7 and looking over the past 14 bars to see if we have moved up from 35.8 to 63 in the last 14 trading days.  If so then we want to buy the next bar.

Or because we have a –7 in the shortThrustLength input, if our ADT7 has moved from 63 (ob) to 35.8 (os) during 7 trading days, we want to short the next bar.

Performance Results:

These are the results based on a continuous ES contract.

The long side here looks reasonable and we would want to spend more time optimizing on the short side.

Example #2 – Buying and Shorting Cross Overs

Strategy Settings:

This example also looks at the NYSE advancing and declining issues

We are :

• Interested in an ADT7
• The buy and short thrust trading logic is disabled via the 0 in buyThrustLenght and ShortThrust length
• We ignore the settings in os_buy, ob_buy, os_sell, ob_sell since we are not in thrust mode
• buyX is set to –50.5 so we want to go long when the ADT7 crosses below 50.5 (since it is a negative number)
• shortX is set to 60 so we want to short when the ADT7 crosses above 60
• Our exit is either a 5% profit, 4% loss or a trade of 7 days which ever happens first.

This strategy and worksheets are available to gold members only.  If you are interested in joining you can do so here:

http://www.redliontrader.com/membership/

This is the release of the Wayne Whaley ADT/UDT version 1.0  indicators for NinjaTrader.  This release includes both indicator, along with source code, and a sample worksheet to get you started.

If you are not familiar with Wayne Whaley’s breadth work you should be.  Built upon the work of Dr. Martin Zweig, Wayne has developed a market model using several breadth patterns which include 52 week new highs/lows, Advancing/Declining strength and up/down volume and seasonals.  For his work, Wayne received the coveted Charles H. Dow award in 2010.  You can read Wayne’s initial Plane,Trains and Automobiles using this link. 

Each night Wayne publishes the best signals from his market model, which often include ADT and UDT or Advance/Decline Thrust or Up/Down Volume Thrust.  These are appended with the look back length, ie. an ADT3 would be a 3 day average of advancing/declining issues (number of symbols advancing as opposed to declining in price).

July 1st, 2011 Wayne wrote a piece on the double barrel 9:1 thrust: and his work often includes tables like this:

          Double Barreled Lopsided Volume Reversal Days
When the Price Trend is 0-2
                   FORWARD S&P 500 PERFORMANCE
DATE  UDT1 UDT2 UDT3 UDT4  XMA0.01    1MT     3MT     6MT    12MT
19750127  1.1  5.2 91.7 92.6    0.01    7.16   14.93   18.47   31.44
19750409  8.2  2.9 91.2 91.6    1.03    9.28   14.44    6.68   21.14
19750919  8.9  6.6 97.0 93.7    0.25    3.47    3.40   17.12   23.74
19760105  5.2  3.7 91.9 93.4    1.05    8.44   11.81   12.45   13.16
19790103  7.3  3.4 90.2 91.5    0.11    1.74    4.70    4.39    7.59
19790327  9.1  5.7 90.0 90.4    0.70   -0.66   -0.20    7.54   -4.16
19791112  0.6  2.4 91.4 94.9    0.12    3.87   13.90    1.23   30.03
19860826  2.5  3.7 92.7 93.2    1.74   -8.15   -1.61   11.91   32.32
19870102  0.4  2.0 94.3 93.7    0.70   12.17   19.14   24.01    0.26
19880902  5.3  7.3 95.3 97.6    0.11    2.81    2.77    9.63   33.75
19890512  8.9  9.0 93.9 94.2    1.54    3.95    9.85    8.05   12.16
19970505  9.4  7.5 92.8 91.5    1.94    1.58   14.70   13.55   34.37
19971103  9.9  0.4 93.7 94.7    1.40    4.02    7.14   19.38   18.30
19981015  4.0  3.5 95.7 91.3    0.28    7.47   18.69   26.29   19.09
20040328  6.8  9.8 93.4 94.0    0.75    1.30    2.30    0.18    5.98
20040902  7.9  8.0 93.5 90.6    0.41    1.18    6.44    8.21    8.92
20060629  4.6  9.6 96.6 94.1    0.20    0.45    4.95   11.43   18.11
20090803  5.4  3.8 97.1 92.1    1.59    0.06    4.27    9.44   11.75
20100305  9.7  4.5 91.7 93.0    1.42    4.28   -6.48   -3.00   16.02
20100713  5.0  0.1 97.9 93.6    0.22   -1.47    7.56   17.20   22.31*
20101201  4.6  7.0 94.1 96.7    1.17    4.28    8.31    8.96   11.08*
20110701  8.4  3.7 91.6 96.3    0.99     ?       ?       ?       ?

                                #UP-DN =   18- 3   18- 3   20- 1   20- 1
AVG%CHG=    3.20    7.67   11.10   17.49
MED%CHG=    3.47    7.14    9.63   18.1

This table is a statistical historic performance of 9:1 up volume days using a UDT1.  I am more visual and would like to see on the charts visually these thrust, hence the Whaley ADT/UDT indicator.

This is how it looked on the charts. You did get a couple of days to the upside and then August came and the indicator started throwing in double barrel sells, that is 2 9:1 down days with out an intervening 9:1 up day.

The last 4 days on the chart are signaling market in-decision alternating between 9:1 up and and down.  The last hit was and up 9:1.  Should a second 9:1 up happen without an intervening 9:1 down (a reading below 10) that will be another 9:1 double barrel buy signal.  Indicting that buy volume momentum has moved to the upside.

You can create ADTs and UDTs of any length with our indicator.  We are providing an example workspace (Wayne Whaley 2)  that shows ADTs 1,2,3,5,8,13 and 21 for your research.

How to format the Indicator:

Where:

The sample above is looking at an 8 day NYSE ADT (ADT8) and considers 61.5 as overbought and 40 as oversold.  Should the indicator move form one extreme to the other it will paint a hot pink background.

This is the resulting chart.

Note: This indicator requires instrument mapping to work.  You must map the following symbols, the Kinetick mapping values are supplied below.

Download Indicator:

These indicators are provided free, but you must be registered in order to download.  Please register here:

Each night Wayne publishes the best signals from his market model, which often include ADT and UDT or Advance/Decline Thrust or Up/Down Volume Thrust.  These are appended with the look back length, ie. an ADT3 would be a 3 day average of advancing/declining issues (number of symbols advancing as opposed to declining in price).

July 1st, 2011 Wayne wrote a piece on the double barrel 9:1 thurst: and his work often includes tables like this:

          Double Barreled Lopsided Volume Reversal Days 
          When the Price Trend is 0-2
                                         FORWARD S&P 500 PERFORMANCE
   DATE  UDT1 UDT2 UDT3 UDT4  XMA0.01    1MT     3MT     6MT    12MT
19750127  1.1  5.2 91.7 92.6    0.01    7.16   14.93   18.47   31.44
19750409  8.2  2.9 91.2 91.6    1.03    9.28   14.44    6.68   21.14
19750919  8.9  6.6 97.0 93.7    0.25    3.47    3.40   17.12   23.74
19760105  5.2  3.7 91.9 93.4    1.05    8.44   11.81   12.45   13.16
19790103  7.3  3.4 90.2 91.5    0.11    1.74    4.70    4.39    7.59
19790327  9.1  5.7 90.0 90.4    0.70   -0.66   -0.20    7.54   -4.16
19791112  0.6  2.4 91.4 94.9    0.12    3.87   13.90    1.23   30.03
19860826  2.5  3.7 92.7 93.2    1.74   -8.15   -1.61   11.91   32.32
19870102  0.4  2.0 94.3 93.7    0.70   12.17   19.14   24.01    0.26
19880902  5.3  7.3 95.3 97.6    0.11    2.81    2.77    9.63   33.75
19890512  8.9  9.0 93.9 94.2    1.54    3.95    9.85    8.05   12.16
19970505  9.4  7.5 92.8 91.5    1.94    1.58   14.70   13.55   34.37
19971103  9.9  0.4 93.7 94.7    1.40    4.02    7.14   19.38   18.30
19981015  4.0  3.5 95.7 91.3    0.28    7.47   18.69   26.29   19.09
20040328  6.8  9.8 93.4 94.0    0.75    1.30    2.30    0.18    5.98
20040902  7.9  8.0 93.5 90.6    0.41    1.18    6.44    8.21    8.92
20060629  4.6  9.6 96.6 94.1    0.20    0.45    4.95   11.43   18.11
20090803  5.4  3.8 97.1 92.1    1.59    0.06    4.27    9.44   11.75
20100305  9.7  4.5 91.7 93.0    1.42    4.28   -6.48   -3.00   16.02
20100713  5.0  0.1 97.9 93.6    0.22   -1.47    7.56   17.20   22.31*
20101201  4.6  7.0 94.1 96.7    1.17    4.28    8.31    8.96   11.08*
20110701  8.4  3.7 91.6 96.3    0.99     ?       ?       ?       ?
 
                            #UP-DN =   18- 3   18- 3   20- 1   20- 1
                            AVG%CHG=    3.20    7.67   11.10   17.49
                            MED%CHG=    3.47    7.14    9.63   18.1

This table is a statistical historic performance of 9:1 up volume days using a UDT1.  I am more visual and would like to see on the charts visually these thrust, hence the Whaley ADT/UDT indicator.

The red lines show us 9:1 down volume days.  Notice during the bottoming process we put in a series of negative 9:1 days.

The !RL_WW indicator released today can generate charts for an UDT/ADT of any length.  The inputs are:

Where:

The sample settings above are setup to look at an UDT or ADT of length 5 depending on how we have data stream 2 and 3 configured.  If we climb above 61.5 or below 40 the line will change color and indicate an Overbought or Oversold coloring.  If we go from the extremes in a 10 day trading period (thrust_length) then the line will be painted Yellow and a thrust alert will be generated.

The above chart is a chart generated with the example settings.

(Note that this chart has the indicator installed twice, one to generate the ADT and one the UDT)

Notes about setting up the data. 

This indicator needs multiple data streams and the charts need to be setup accordingly.  The sample worksheets are available for download. 

I like to leave Data Stream 1 ie. the default data stream, as the symbol I want to study like the $SPX (SP500 index) and then use data stream 2 and 3 for up/down volume and 4 and 5 for issues advancing and declining .  This is how the data is setup for the above chart:

For TradeStation there is a number of indexes available for study.  The format for the symbols are:

$UVOL = Up Volume

$DVOL = Down Volume

$ADV = Advancing Issues

$DECL = Declining Issues.

You can append a code to the symbol to get other indexes.  The default symbol without a code is the NYSE data.  The common codes that I use for my studies are:

RL = Russell 2000 ie. $UVOLRL

SP = SP500 ie. $UVOLSP

Q = Nasdaq Composite. ie. $UVOLQ

This is how to setup a chart for the SP500:

Sample Worksheet:

The supplied worksheet has 5 sample charts setup.

The upper left chart is the NYSE Advance/Decline data along with the NYSE index showing 7 different ADTs,

ADT2, ADT3, ADT5, ADT8, ADT13, ADT21 which is a great study in visualizing how the different length ADTs work.

The remaining 4 charts are the NYSE, RUSSELL2000, Nasdaq COMP and SP500 charts with their respective UDT5 and ADT5 plots setup (UDT on top ADT Bottom).

That gives you a great head-start in using the indicators.

To download the indicator and worksheets simply click on the link below.  You must be logged in to download and registered as a free member.

Support for Pivot Boss’s Developing pivots.  This draws bar for the the pivots as they are developing for tomorrows trading.  Enter pivot type “d” in the format input box.

Version 4.1 added support for  Weekly and Monthly Pivots

Version 4.0 adds: 

1: Support for other Pivot Types

• “t” = traditional Trader Pivots
• “c” = Camarilla Pivots
• “w” = Woodie Pivots

2: User-defined pivot line colors 3: Ability to turn off any pivot line to keep charts cleaner  

Format Box Description:  

• Pivot Type (“t” = tradtional, “c” = Camarilla, “w” = Woodies Pivots, “d” = Developing Pivots)
• ShowTodaysOHLC = if set to TRUE will plot today’s open, high and low lines
• ShowYesterdaysOHLC = if set to TRUE will plot yesterday’s open, high and low lines
• ShowHalfPivots = if set to True will display a dashed line halfway between pivots
• dateORsession = sets how transitions between days is calculated. If set to a 1 the indicator will use a date change to force recalculation of the pivots. This is good for stocks. If set to a 0 the indicator will use the end of the session to calculated the next pivot points. (good for futures).
• TxtOffset = Allows you to move the legend text around
• newPivotsonClose = set to true will calculate tomorrow’s pivots on session close
• ppColor – r4Color = allow user to select which color to use for a pivot level line.  Putting in a 0 will turn that pivot line off and not plot.
• Vers. = Do not change this. This is the current version of the indicator and is used for support purposes.

This download is for gold members only.  If you have not Joined there is no better time then now!

Premium Membership Information: