The MrTopStep Imbalance Meter in action

Here’s how the MIM worked on 25 June 2013, when the market rallied all day and then plunged from 3:30 Our data predicts the 3:45PM NYSE imbalance announcement.  There is a jump at 3.45 each day that correlates to the direction of the market from 3.45-4pm.  This correlation is most powerful on Fridays, options expirations, end of month, end of quarter, and rebalancing.

That’s what the MIM does. It signals the orders yet to be filled and the imbalance between buy orders and sells.

When the indicator is neutral- 50/50 ish, the 5bps jump from 3.44-3.45 may exist but will be hard to catch unless doing high-frequency trading.  So most traders don’t take a directional bet.  On days like the one on this chart, where the market looks to be going higher, the 80% sell we saw on the MIM, that grew to 93% sell, says clearly:
1) don’t buy and
2) go short.

In the end, the market went back to the day’s opening price and gave traders a great shorting opportunity. The MIM is not a red-light-green-light “system” that trades for you. It is a tool for sophisticated stock and index traders to get an edge and then use it wisely to profit.

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