Wednesday, June 10, 2009

Nice Look at a Regression Trade


It's instructive to compare this chart to the same chart as it appeared shortly before the market open. As noted in the intraday tweets, volume at the bid has consistently exceeded volume at the offer in the ES futures, enabling us to build volume and value at progressively lower price levels (right side histogram). Meanwhile, we've taken out yesterday's lows in the NASDAQ and Russell indexes, as the market lost its risk-seeking bias from overnight and has kept us trading below the day's VWAP (red line on chart).
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2 comments:

Ronnie Lu said...

What software can reproduce the chart?

Brett Steenbarger, Ph.D. said...

Hi Ronnie,

Market Delta (www.marketdelta.com).

Brett