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Sunday, May 13, 2007

NYSE A/D Strategy


This is a rough draft of my NYSE A/D strategy. This will be an evolving strategy as I research it more.

I follow NYSE values to determine market strength and use it as an indicator to base my trades off of along with NYSE TICK, Volume, and price action.

NYSE A/D Values Observations-
Very Bullish: 3.0-4.5
Bullish: 1.5-3.0
Neutral: 0.6-1.5
Bearish: 0.2-0.6

When NYSE A/D opens on a large bar up between 0.6-3.0 look for a large and quick reversal bar within the first 5 minutes of market open for a potential short trade setup that may last for 45-60min (Time period of expected reversal 7:15-7:30am)

When NYSE A/D opens with and extreme value 3+ or less then 0.5 there is a bias to go in the direction of the extreme NYSE A/D value; moreover, if there is a gap in the morning, and the gap is not filled in the first 30min, look to trade in the direction of the NYSE A/D extreme value.(ie. If NYSE A/D is 3+ after 10min of market open on a gap up with no gap fill, go long and expect bullish trend day, the reverse is true for NYSE opening below 0.5 and not filling the gap in first 30min)

Other things I will look at in conjunction with NYSE A/D is relative sector strength in XLF, XLE, and SMH, as well as the volume seen in these ETF's and the Futures contracts ES, ER2, NQ, YM, ZN, 6E, and 6J.

Opening Short setup, NYSE A/D neutral value range-


Opening Gap and run, NYSE A/D Very Bullish Value-


Opening NYSE A/D extreme value gap fade, but still bullish bias from NYSE A/D Bullish value-


Opening NYSE A/D bullish value-


Opening NYSE A/D short setup, NYSE A/D bearish opening value-


Opening NYSE A/D short setup, NYSE A/D bearish opening value-


Opening NYSE A/D long setup, NYSE A/D very bullish opening value-


12 comments:

TMK500 said...

When you say the following;

"When NYSE A/D opens with and extreme value 3+ or less then 0.5, and there is a gap in the morning ..."

Have you found it more relavant if the GAP is above/below the previous day's VA High/VA Low?

Or, do you feel the A/D is strong enough to qualify directional bias on the values you noted independent of GAP location?

High Probability Trader on 10:34 PM said...

Have you found it more relavant if the GAP is above/below the previous day's VA High/VA Low?
Yes

I think the NYSE A/D opening value and first 5min gives a big clue to the direction for the first 30min, when also used in conjunction with the price action and volume seen in ES.(whether we have a gap or not)

Do you feel the A/D is strong enough to qualify directional bias on the values you noted independent of GAP location?
Yes. However, after the first 30-60min the trend or bias is very likely to change, so the opening bias based off the NYSE A/D value is likely to only be good for a limited of time.

david said...

I dunno if you are already aware of this but Peter Reznicek talks about leading indicators on the stock market on traderinterviews.com (July 5, 2006).

I haven't done any research on it myself yet that's why I dont't know how well this stuff works but A/D is one of them.

High Probability Trader on 4:50 PM said...

David,
Thanks, I'll checkout the interview again. (I listened to all of them on the website last month) The general assumption is that there is no leading incicator for the futures indices or else we'ed all be millionaires. Besides arbing differences between the cash and futures indices (which is done by the big brokerage firms) there really is no leading indicator that I have found, just market breadth indicators which help determine the markets' direction.

Alex on 2:12 AM said...

How do you chart AD-NYSE with IB feed on QuoteTracker? Any special chart settings? I can see the bid ask in the portfolio (and they are correct just like in the IB Market Scaner) but when I chart it, with QT, I get nothing.

HPT on 7:22 AM said...

You must have the symbol in QT setup wrong.

It is NYSE:$AD-NYSE

The symbol for TICK is NYSE:$TICK-NYSE

Also, make sure you have the spike filter set to 999 under chart setting options. Also set the min. Y range to 0 and max Y range to 999.

Alex on 9:14 AM said...

Thank you. It works now.

Do you use 1 min bars or range bars for the AD-NYSE ?

HPT on 1:55 PM said...

1 min bars

Jackie muller said...

I use ib $ad-nyse but get extremes of +1000 and -1000 and not the ratio as in the charts posted. Is there a wrong setting on my charts?

HPT on 3:18 PM said...

Are u using Quotetracker charts. I'd suggest using the same chart setting as shown in this picture- "(http://2.bp.blogspot.com/_cHYeTpsQJ7g/SjF7ixY_xKI/AAAAAAAAEVs/2mMY_M5DufM/s1600-h/qt+chart+preferences.jpg " and remove any bad prices in your data by deleting ALL price spikes (ctrl+shift+H). If that doesn't work, then you may want to ask the QT developers. I'm using an older version of QT, so it's possible the newer version of QT has problems with the NYSE-AD data, however, I don't think that's the case.

Jackie Muller said...

Thank you very much for the reply. I use Ensign Windows for charting.
The data feed is IB with symbol $AD-NYSE and i do get the extremes +1000 AND -1000 values and not the ratio chart as with QT. If you can perhaps help as it is the same data feed from IB. If I do look in my quote board the same there values with - + that gives more the AD line and not a ratio chart.
Any other symbol perhaps that I should use?

Thank you in advance.

HPT on 7:40 AM said...

Only QT charts convert the AD line to a ratio between 0-10. When I run the IB quotes through Ninjatrader or excel I get the raw values, ie -1000, +1500, etc)

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