Pimco's El Erian

Some good analysis from Pimco's El Erian.

From Fri April 27th 2012.

ES - This weeks unique price action

The ES contract closed for the week at 1375.25, up 10.25 points on the week, with a weekly range of 30.75 points.  A normal sounding week, however the daily bars have produced an interesting pattern.  Below are the daily bars of the 24hr ES market.

Tuesday was a outside bar, wed was an inside bar, thurs was an outside bar and today another inside bar.  By my calculations this is the first time this has happened since the ES contract was established in 1997.  This may well turn out be be of little significance, but from my experience, when the market does things it hasn't done before (or has rarely done before)  that's an important message and a good time to play extra defensive.

All eyes on the Fed next week.

Upgaps following an unfilled down gap and unfilled up gap.

Today we are trading up over 9 points.  On Friday there was an unfilled down gap.  On Thursday the up gap was also unfilled.  Below is an equity curve of a strategy that fades up gaps following such action, 1 contract with the stop at end of day or gap fill.

As you can see this has happened 46 time over the last 12 years, with 36 or 84% either filling gap or closing in profit.

Again, please note this set-up does not include factors such as seasonality, trend, average drawdown etc, other factors that need to be considered. 

More from Soros, on Euro and reflexivity.

Following on from yesterday's video featuring George Soros, below is an hour long speech from Soros on reflexivity and the Euro crisis. A fascinating insight and highly recommended.

From April 2012,  New Economic Thinking (INET) Paradigm Lost Conference at the Foreign Ministry in Berlin.

Soros on Europe

Some excellent insight from George Soros on Euro crisis.

Thanks to zerohedge.com for spotting this video.  From April 13th, 2012.

Down gaps after strong rally day

The ES emini futures are currently set to gap down.  Yesterday the $spx and $indu (Dow Jones) rallied hard, with the Dow closing up over 1.4%.  Below is an equity curve of a strategy that goes long any down ES gap when the previous day closes up by over 1 average daily range and leaves an open up gap.  The strategy exits at end of day or at gap fill.  Based on 1 contract over the last 12 years.

84.5% of trades either closed the gap or closed up on the trade, which suggests a decent historic upside edge for today’s session.  Please note this set-up does note include factors such as seasonality, trend, average drawdown etc, other factors that need to be considered. 

Please trade at own risk.

Gaps on the trading session before Good Friday.

Tomorrow is Good Friday.  Below is a equity curve of a strategy that fades the opening gap, either long or short, over the last 13 years.  The strategy exits at gap fill or at end of day.

As you can see, 12/13 have filled. 

I would not trade on this sort of seasonal info alone, but a factor to consider in trade analysis.  Please trade at own risk.

When 1st of month falls on weekend in a bull market

Today is the first trading day of the month.  It has been documented previously here, a historic trading bias on the 1st of the month.  Below is an equity curve of a strategy that goes long 1 es  contract when the 1^st of the month fell on a weekend and in a bull market (my proprietary definition) and exits at the end of the day.

As you can see there has historically been a bullish bias.  73% of trades closed above the open, which was 1407.25 at the open on Sunday evening (now trading at 1402), so potentially some decent upside in today’s session based on this study.  Please trade at your own risk.