tesrak
@tesrak
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I like to share financial market analysis. YouTube (more content in the works): .
Joined December 2013
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I started analyzing
@satymahajan
ATR levels and filtering results based on the previous close with relation to EMAs to see if there’s any predictive power there. I’ll give you a preview of what I have found so far and see what conclusions you all can draw from it.
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Gaps: a gap open above the call trigger (about 28% of the time for spy) improves your golden gate success rate to 74%.
A gap under the put trigger (19% of the time) increases gold gate success rate to 78%).
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New stat just dropped: a 10% up close on the VIX in a day means there’s an 80+% chance one of the next two days will be an up day on the SPY. In fact the average for the next day is up .2%. Please keep in mind before you short big red candles.
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This video describes how I get the data I’m using and what my methods are.
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Good morning! Here are some mock-ups of golden gaps described yesterday. You can see in the first image that this occurred in back to back days.
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Did you know that the golden gate strategy can work on multiple time frames. Here’s and example using swing levels for a swing play.
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I can usually tell when
@satymahajan
gives me a shout out because I have an unusual amount of notifications. Thanks friend.
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Hello all the new followers. Thanks
@satymahajan
. My more than full time job that prevents me from day trading, and trading and the statistical analysis I do are hobbies. I’m passionate about the markets and am I am looking for any edge I can. Thanks for joining me on my journey
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Gaps are like a vacuum in price action. “Nature abhors a vacuum” Aristotle.
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Think today might be choppy? Pay attention to if the open is between the call trigger and the put trigger. It reduces your odds of having larger moves. The overall chance of a move to +50% atr is 42%, but an open in the box lowers those odds to 33%
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My friend
@drippy2hard
made an indicator based on some analysis I did to test his theory almost a year ago now. I hand jammed intra day data for over a years worth of data. It took me weeks. Glad to see my hard work has been paying people. Check it out here.
After years of trading & charting, 1 year of backtesting historical data and testing 11am strategy on live trading with members and algotrading on simulator, many of you are finding success and I'm happy to share the BoomBox indicator for TOS (thinkorswim) for FREE!
Read🧵👇
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. Listening to this book by
@johnfcarter
now and my only regret is not doing it sooner. Excellent read.
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@satymahajan
For anyone who is asking about the data, I’m sharing where I got it and how I analyzed it here.
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After much trial and tribulation, I’m making some progress on my latest project. Not done yet but I’ll share some findings. Using SPY data back to inception, there’s about 2800 daily gaps outside the previous days range. 74% get filled the first day. Gap +7 days only 12% unfilled
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@unusual_whales
Biden specifically said no new taxes on families under 400k. Maybe we get a George Bush repeat.
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VIX intraday data starts in 1992. If we look at VIX gap fills to previous close from that point until today, a very interesting number emerges. 61.8% of the time VIX fully closes gaps the day they occur.
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Using the common definition of a gap, trading outside the previous days candle, I’m coming up with 73% chance of gap fill on the day it’s made. But only 56% chance of reaching the previous close. Hope this helps.
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Hey everyone. I tried for a little while to release some new bit of data every day but couldn’t keep up the pace. I’m going to try something a little more realistic and call it the stat of the week. Looking at Sunday evening. Stayed tuned.
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Stat of the week:
On a daily basis, SPY and VIX are positively correlated about 20% of the time (Both are green or both are red)
I looked at DXY and TNX and on the daily timeframe the correlation is roughly 50%.
This makes me question the useful of other as sentiment gage.
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As we found out today, 74% is not a guarantee.
Gaps: a gap open above the call trigger (about 28% of the time for spy) improves your golden gate success rate to 74%.
A gap under the put trigger (19% of the time) increases gold gate success rate to 78%).
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@drippy2hard
Look, before everyone gets too excited about this, I obviously didn’t do this with a 10k portfolio. Please have reasonable expectations. This is by no means a normal thing. Also my portfolio is still down 36k ytd, so I am still doing a lot of learning.
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I haven’t actually dropped off the face of the Earth. I did just close out a particularly trying period at work. Hoping to get back into some more analysis soon. Thanks for hanging with me.
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@unusual_whales
I was just reading a different story about this and was wondering how this isn’t bigger news. Lots of economic activity goes across those bridges to and from Canada
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80% is still 80%.
New stat just dropped: a 10% up close on the VIX in a day means there’s an 80+% chance one of the next two days will be an up day on the SPY. In fact the average for the next day is up .2%. Please keep in mind before you short big red candles.
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If you aren’t paying attention to futures charts you are missing out. RTY Russell 2000 index printed a nice tweezer bottom on the daily chart, while the IWM ETF chart didn’t give any particular signal. Something to keep an eye on.
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Here are stats on VIX using data back to 1993. VIX crush Friday does seem to be a thing.
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@im_vatsalpatel
Typically spy vix are inverse (about 80%). If vix is up 10% or more, one of the next two days is likely to be up on SPY. The inverse is about 72%.
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Does anyone else find Two factor identification to be unbearable? Or at least incredibly inconvenient?
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Curious how different days of the week behave? Hope this helps:
All time:
M: 0.81% change, 55% bullish
T: 0.8% change, 53% bullish
W: 0.77% change, 56% bullish
Th: 0.76% change, 54% bullish
F: 0.79% change, 53% bullish
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@drippy2hard
US opening international travel tomorrow. Pfizer pill. Infrastructure bill. Seems like bull catalysts are all in place.
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Results have very little to do with the goals you set, and nearly everything to do with the system you follow.
- Atomic Habits by
@JamesClear
This encapsulates why I don’t believe in having a daily trading goal. If your system is good, the results work themselves out.
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Time goes by, we move across the country, still carrying around my hoard of toiletries, and I keep working through my supplies. Then today, the unthinkable happened. I went to get out a new tube of toothpaste, and there was none. Life comes at you fast. 5/5
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VIX golden gate? 68% of the time works to the upside but only 60% to the downside.
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I’m doing a deep dive into gaps and chop. I’m finding some things that seems contradictory to prevailing theory. I’m considering a gap as the open is above or below previous close for this analysis.
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If you want the stats for closing the gap to previous close it’s less than 60%.
Doesn't mean we don't go to previous close. But from the 82% statistic it is relevant.
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@satymahajan
@johnfcarter
@ripster47
I don’t think I belong on the same list as these goats but I appreciate it.
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Bearish outside candle got you down? Not so fast. SPY has formed this pattern 440 times on the daily. 38% of the time the next day closes lower, 35% for 5 days later and 37% 10 days later. Average max down move 2.2%, up move 2.4%. Still feeling bearish?
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For all you Golden Gate fans, I ran some numbers. If you have a failed Golden Gate on the daily (price fails to meet the midrange after the 38.2 level), the odds of a successful Golden gate the next day are only about 33%.
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@reshsafari
@drippy2hard
It’s the largest stock in the market. Fully 7% of SPY, 13% of QQQ. Hard for market to go opposite way of AAPL.
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Weekly gaps are rare. It looks like the chart wasn’t too happy leaving this one behind.
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@CashMoneyTrades
@satymahajan
@GobiCalls
The data is consistent out to 30 years, in case you were wondering
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Recently someone who works for me was seriously injured doing a job I had given him. For a minute I thought I was responsible for something much more serious. It haunts me, thinking about what could have been. Life’s precious.
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@satymahajan
Also important to note that when people talk about ‘all gaps filling’ that’s really on indices. Individual tickers don’t have to abide by that.
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Manufacturing data leads to recession fears? We’ve gone from 10% to 30% chance of a 50 bps cut in September since yesterday. December has gone from less than 10% of 100 bps this year to 33%. Again just today. What’s the deal?
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A lot of the stats I post are more useful for determining what not to do. This one, on the other hand, seems like a very good, actionable stat that you could use to help make plays.
Gaps: a gap open above the call trigger (about 28% of the time for spy) improves your golden gate success rate to 74%.
A gap under the put trigger (19% of the time) increases gold gate success rate to 78%).
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Chance of gap fill on SPY by day, if gap opens above call trigger or below put trigger:
M: 43%
T: 48%
W: 56%
Th: 48%
F: 49%
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@drippy2hard
Historically Monday and Tuesday of thanksgiving week are typically week, and Wednesday is ultra bullish. But looking backward only gets you so far.
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@unusual_whales
@unusual_whales
you are comparing the year of year that came out in various months. She was comparing month over month numbers. Two different things.
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@drippy2hard
I’m a bit discouraged from taking what was a winning trade, holding too long and letting it be a loser. And then cutting a different losing and watching it run big later. Can’t seem to do the right thing.
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@drippy2hard
Still looks bullish to me. Still in uptrend. Moving averages sloping up at sitting on top of the moving averages. Looking weaker but it just bounced off the 50.
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@satymahajan
TSLA. Elon Musk responsible for one of the worst days of my life. Really I’m responsible but I can blame Elon
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I’m opening this up since some people have asked me for a way to show thanks for the golden gate strat and other ways I’ve helped them. I’m not asking for anything. My goal is to subscribe to data so I can provide more intra day data and testing.
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Independent confirmation of my analysis of Saty ATR levels. Thank you
@greggglobal
SATY LEVEL
SUCCESS RATES
last 10 years $SPX
OVER 23% BLUE LINE CALL TRIGGER SUCCESS RATES
38% = 76.5%
50% = 61.1%
62% = 48.4%
78% = 34.9%
100% = 22.5%
UNDER -23% YELLOW LINE PUT TRIGGER SUCCESS RATES
-38% = 78.9%
-50% = 62.8%
-62% = 50.9%
-78% = 39.2%
-100% = 28.2%
OVER
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@drippy2hard
I realized today what I was doing wrong trying to do swing plays you were suggesting is that I was just completely missing on the expected timeframe of the move. I was buying too short expiration calls and getting burned. I don’t know what turned on that lightbulb but it came on
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Non trading related funny story. In 2020, in an effort to avoid having to run to the store for a single item, I put all of my hygiene products on Amazon Subscribe and Save. Now, if you aren’t aware, when you order from Subscribe and Save, 1/5
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Having been vulnerable to this myself, I’d encourage anyone who has mentally struggled with trading to check yourself and give this a read. You might thank yourself later.
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@drippy2hard
Kinda rough one for me today. Up 1.5% on the day seems disappointing but I’m trying something I’ve heard of called ‘risk mitigation’. Not losing money feels like a victory after last week. Really trying to work on my mindset.
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@drippy2hard
Yeah. I did buy twice as many aapl contracts as I meant too. Went to place a higher limit order then cancel the lower one but the both got filled. And Tesla was a rippah and
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@satymahajan
I like that price is back to the previous level but oscillator is showing much more room now
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@satymahajan
I ran the stats on this once. I think it’s a less than 1%er to see both +1 and -1 atr.
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If you consider a gap to be above the prior days hig, or below previous low, then you get numbers that are more familiar. I’ll probably determine both going forward.
I’m doing a deep dive into gaps and chop. I’m finding some things that seems contradictory to prevailing theory. I’m considering a gap as the open is above or below previous close for this analysis.
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@drippy2hard
I gave this to the group on Sunday. The call I mentioned went from .45 when my alert triggered on Tuesday to 5.4 today
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@drippy2hard
I had a related question. Is the IV on those options always higher or does it happen as earnings get closer? Could you buy a call like a month out from earnings to benefit from the increase in IV leading up to earnings or does that not work since it’s always priced in?
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VIX tends to have more follow through to the upside, historically speaking. It reaches its plus 1 atr on the day 17% of the time but -1atr only 10% of the time. Half an atr move? 43% of the time to the upside but only 35% down.
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Commemorating 1 year from this post. Sorry
@drippy2hard
, I think I win this one🤣. (Apologies for light mode)
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Full statistics included here.
Think today might be choppy? Pay attention to if the open is between the call trigger and the put trigger. It reduces your odds of having larger moves. The overall chance of a move to +50% atr is 42%, but an open in the box lowers those odds to 33%
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I’m looking into doing some analysis on squeeze to see if I can tease anything out of it. It’s going to require me to manually calculate Bollinger Band and Keltner channels. Fair bit of work, hope to find a gem. Ideas about what to look into?
Recently I rewrote TTM_Squeeze from scratch to better understand the mechanics of how it works.
And now I've fallen into a rabbit hole of incredibly interesting ideas.
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@LuvURDemocracy
A lot of my analysis is around the Saty ATR levels indicator from
@satymahajan
. Check out the attached graphic. Essentially the call/put trigger is 23.6% of 1 ATR away from the previous days close.
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@XclusiveTrading
What is diamond? A discord thing? I’ve heard you mention it a few times, but I landed in the call thanks to
@drippy2hard
and am less familiar with what you have to offer, although after listening to you on the space call I would like to know more.
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Gaps above call trigger or below put trigger fill that day less than half the time.
Gaps: a gap open above the call trigger (about 28% of the time for spy) improves your golden gate success rate to 74%.
A gap under the put trigger (19% of the time) increases gold gate success rate to 78%).
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If you are looking for mean reversion on a chart, what does that mean to you? What is your technical sign for a mean reversion?
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The average %change on SPY from previous close to current day close for the last year is 0.79%. This is slightly down from the 10 year average of 0.82% but a fair bit above the all time average of 0.71%. Hopes this helps with expectations.
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@84Trini
@Aheadwegoo
@drippy2hard
greetings my man. This is me a couple years ago. 16 years in February. Best of luck to you.
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The ratio of XLU/SPY closed at its lowest point ever today. Again. Before 2020, the low was set in March 2000 On the day SPY set an all time high that wouldn’t get taken for almost 8 years.
Will history repeat? I have no idea but it’s interesting.
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