Analytics,  VolFix

ES JUN 23 statistical data / key levels / patterns


This week and next week, large traders will start locking in their positions on the June S&P500 index futures contract.
Having gathered statistical data for the contract, I did some research to identify trading patterns and set the right values for filters and alerts.
In this article I will share some useful information with you.

To understand the chart on slide 1 – a little clarification of what data is displayed, so that you can navigate and use the information for your research.

The chart is a daily timeframe 12.03-02.06.2023. The chart itself displays Market Profile clusters. Each bar displays data from 08:30 to 15:15 – when the US stock exchanges and banks are active. This allows one to examine the trading activity of participants during the main and most liquid trading session of the S&P500 Index.

Cluster Profile in addition to market activity, displays opening/closing and value zone, which is set by TPO SIZE% – 30.

Vertical Histogram : Delta / Delta% / Total Volume / OpenInterest

Horizontal Histogram : Total Volume Price / Delta / TPO size% – 30

On the lower bar graph you should have seen large numbers 3-4-5 in green and red. You may have guessed right away what information they indicate, but just in case. Pay attention to how many days in a row one side or the other holds price control. The number – it’s how many days in a row, and the colour indicates which group held the imbalance.

The first attack lasted 4 days on the buyers’ side (because the account is taken from the 13th).
The trend was set from the first days. as soon as the turnover of transactions reached the average.
Sellers held control for the longest time – 5 days in a row.

From this information, it is worth noting that during the formation of reversal patterns – buyers retain control on average 4 days in a row Delta Aggressor – mostly shock trading sessions come to the indicator imbalance +/- 20000 contracts.

Such patterns are also accompanied by an increase in trading volume relative to the average of 1300000 if the current contract average is calculated.

The data for 58 trading sessions are used to calculate the average values. You can see it by checking the table below. Sort the table by total volume.
If you want to do your own research, you may download the data from this link.

Pattern “COBRA” – I have been observing this pattern for several years. It is easy enough to identify, but in this configuration and further outcome, it is most often found on the S&P500 index.

Look carefully at the slide #1 where trading sessions marked with a rectangle.
There are 4 consecutive buy trades, 2 of which have high open/close ratios relative to Range H/L. This part of the model already signals what to expect next.
You may then notice that the price drops to actually the bottom price of the pattern’s start in 2 or 3 sessions. In case you missed the opportunity to make profit on this sale, there is still an opportunity to join the local uptrend, which usually begins after the resetting of stop orders in this pattern is completed.

Another pattern [….] – I have marked it on the chart, but left its name open, though I have been trading this pattern for a long time, but I have not given it a name yet. I think we can do it together. Leave your variants in comments to this article

author :: Mikhail Lemah2023


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