Is This A Mid-Month Rebalance?

Index Futures Net Changes and Settlements:

Foreign Markets, Fair Value and Volume:

• In Asia 10 out of 11 markets closed higher: Shanghai Comp +1.36%, Hang Seng +2.02%, Nikkei +0.96%
• In Europe 7 out of 13 markets are trading lower: CAC -0.07%, DAX -0.29%, FTSE -0.05%
• Fair Value: S&P +0.12, NASDAQ +9.60, Dow -31.97
• Total Volume: 1.19mil ESH & 110 SPH traded in the pit

Today’s Economic Calendar:

Today’s economic calendar includes PPI-FD 8:30 AM ET, Empire State Mfg Survey 8:30 AM ET, Redbook 8:55 AM ET, Neel Kashkari Speaks 11:30 AM ET, Robert Kaplan Speaks 1:00 PM ET, and Esther George Speaks 1:00 PM ET.

S&P 500 Futures: Down Overnight And Then Upside Grind

After dropping in the overnight session, the S&P 500 futures opened yesterday’s cash session at 2575.50, and traded down to an early low of day at 2570.75 in the first half hour. From there, through the rest of the morning it was all about steady buying, as the ES pushed up to 2588.00 just after 9:30, then after a 9.75 handle pullback, rallied up to 2588.25 for the morning high.

The midday saw a 5 handle pullback, before buyers printed a new high of day at 2589.75 heading into 1:00. After that, the ES began to pull back heading into the final hour, making a mid-afternoon low at 2589.75 and then rallied in the last hour to 2589.50 before selling off late in the day down to 2577.00. The benchmark futures contract went on to settle the day at 2580.75, down -14.25 handles, or -0.55%.

Daily HotSpots

HotSpots are times during the market trading session that for the past XX days have consistently moved in one direction or the other. These HotSpots are published each morning pre-market. The next day, a results post is also published and weekly a summary post.

CAUTION: This data is under development and provided only for research and teaching purposes

If you have questions about HotSpots you can contact us at info@mrtopstep.com.

Lookbacks:

The lookback period (number of days) is set at 21,13,11,8 and 5 days. A heat-map is generated for each of these lookback periods, the best trade from day is scored.
The period of time that has consistently produced the best results becomes the hotspot for that look back. There are also different look-back types like Taylor and Taylor Plus.
Taylor cycles are usually 3-day cycles. A Taylor-5 look-back would use the last 5 trading days skipping back by 3 trading days. Taylor Plus uses calendar days so weekends and none
trading days are counted as part of the skip count. If a lookback period falls on a none trading day, it is not used so a TaylorPlus will continue skipping back until 5 trading days are found for the heatmap calculation.

Get all of todays HotSpots here

SIGN UP HERE TO GET THE FULL MRTOPSTEP OPENING PRINT!

As always, please use protective buy and sell stops when trading futures and options.

_{Disclaimer: Trading Futures, Options on Futures, and retail off-exchange foreign currency transactions involves substantial risk of loss and is not suitable for all investors. You should carefully consider whether trading is suitable for you in light of your circumstances, knowledge, and financial resources. Any decision to purchase or sell as a result of the opinions expressed in the forum will be the full responsibility of the person(s) authorizing such transaction(s). BE ADVISED TO ALWAYS USE PROTECTIVE STOP LOSSES AND ALLOW FOR SLIPPAGE TO MANAGE YOUR TRADE(S) AS AN INVESTOR COULD LOSE ALL OR MORE THAN THEIR INITIAL INVESTMENT. PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS.}