Index Futures Net Changes and Settlements:
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| Contract | Settlement | Net Change | +/-% |
| S&P 500 (ESH19:CME) | 2595.00 | +1.00 | +0.03% |
| DowJones (YMH19:CBT) | 23,950 | -3 | -0.01% |
| Nasdaq 100 (NQH19:CME) | 6612.75 | -12.50 | -0.18% |
| Russell 2000 (RTYH19:CME) | 1447.70 | +1.10 | +0.07% |
Foreign Markets, Fair Value and Volume:
- In Asia 10 out of 11 markets closed lower: Shanghai Comp -0.71%, Hang Seng -1.38%, Nikkei +0.97%
- In Europe 13 out of 13 markets are trading lower: CAC -0.67%, DAX -0.49%, FTSE -0.82%
- Fair Value: S&P +0.28, NASDAQ +10.25, Dow -30.13
- Total Volume: 1.19mil ESH & 683 SPH traded in the pit
Today’s Economic Calendar:
Today’s economic calendar includes a 3-Month Bill Auction and a 6-Month Bill Auction at 11:30 AM ET.
S&P 500 Futures: ES Up 6 Days In A Row
After drifting lower in the overnight session, the S&P 500 futures opened Friday’s cash hours at 2583.75, made an early high of 2585.50, and then sold off in the first hour to what would be the low of day at 2577.00. From there, the futures rallied to the mid-morning high of 2584.25, then after trading down to a higher mid morning low of 2577.50, the ES pushed up to to a late morning high at 2596.00.
The midday saw a drift lower, making an afternoon lower at 2585.50 heading into 1:00, and then the ES rallied making a new high into the close at 2596.75. The benchmark futures contract went on to print 2596.25 on the 3:00 close, before settling the day at 2595.00, up a single handle.
In the end, it was one of the slowest trading sessions in over 2 1/2 months. Part of this had to do with the big rally over the last week and a half, and the other part is that people are still on holiday. In terms of the ES’s overall tone, it still feels higher. In terms of the days overall trade, only 1.19 million ES traded, which is just about a 50% drop in volume.
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.
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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.
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