Russell Rebalance

[lwlee]

Got caught a little off guard by the huge volume at the end of day. Didn't realize it was yearly rebalance. Gotta make sure I mark it on my calendar. 14pt drop in the space of minutes.

Rebalance of Russell index to bring volume surge at quarter-end

 

[austinp]

I've seen every such session since the ER2 in 2004. Don't mistake one instance for a repeated pattern every year. Many of them are one total spider-doji whipsaw bar that's untradeable.

Seen price before go both ways 10pts in fractions of a second... any orders placed would have slipped badly in and/or out combined. If one wants to gamble for some high-adrenaline thrills that have nothing to do with methodical performance, it's a yearly event to the casino. But outlier sessions like that have nothing to do with sustained, predictable results.

 

[lwlee]

Thanks, I don't recall what happened in prior years. About 5-10 minutes before the close, the downward move started building. The huge volume at the close probably accounted for like 9-10points.

I tried to catch a falling knife when it hit the day's low and seemed to be consolidating but then the volume really came in. I had a one point stoploss so didn't get hurt too much but that plunge was nasty. TWS got really bogged down when I tried to go long at close to the bottom so I couldn't catch any of the free money. I could tell something was up when none of the other indices really were plunging.

 

[stock777]

really smart that you only tried to go long at the bottom and not above the bottom

wish i was that smart

 

[lwlee]

Like I said, the other indices weren't budging, just the TF. Anything above 967 was a good long. Absolute low touched 964. But yeah, if you are a novice, I wouldn't go near that type of volatility.

 

[stock777]

wtf are you saying? the ES wasnt budging?

 

[austinp]

Quote from lwlee:

Like I said, the other indices weren't budging, just the TF. Anything above 967 was a good long. Absolute low touched 964. But yeah, if you are a novice, I wouldn't go near that type of volatility.

Some years are more volatile than others, and some single 1-min bars are computer-algo insanity.

The intraday charts setup the way I use them confirmed sell signals ahead of the break. But signal confirms via any approach cannot forecast pending follow-thru. It just so happened that this time around, price action broke sharply downward in favor before the whip-rips began. Next time there could be a same signal confirm from anyone's approach mere seconds before the algos rip wild.

Because the index rebalance only happens once annually, it is nothing more than a lone-instance event unless you compile results from ten year's or so similar trades. But no one makes a living from the results of ten single sessions thru a decade's time. Which makes the annual rebalance event a lone-outlier gamble and nothing else

 

[lwlee]

You are right. It's not something you can make a career trading. That said, about 5-10 minutes before close, it was moving lower. Dark cloud forming. Premonition of the move to come. Holding short with tight stop just to see if you can get anything would have been a good play.

Going long around the 964-966 range was just too hard, at least with IB. For some reason my whole system seemed to bog down.

Quote from austinp:

Some years are more volatile than others, and some single 1-min bars are computer-algo insanity.

The intraday charts setup the way I use them confirmed sell signals ahead of the break. But signal confirms via any approach cannot forecast pending follow-thru. It just so happened that this time around, price action broke sharply downward in favor before the whip-rips began. Next time there could be a same signal confirm from anyone's approach mere seconds before the algos rip wild.

Because the index rebalance only happens once annually, it is nothing more than a lone-instance event unless you compile results from ten year's or so similar trades. But no one makes a living from the results of ten single sessions thru a decade's time. Which makes the annual rebalance event a lone-outlier gamble and nothing else

 

[lwlee]

Dude, when I say that it wasn't budging, I'm talking about when TF had hit the intraday low and seemed to be consolidating. Next thing you know, bam, a huge volume dump sent the TF reeling down to 964. At that POINT, the other indices were barely budging. That next leg down was immediately bought, bringing the TF back to around 971-972.

Quote from stock777:

wtf are you saying? the ES wasnt budging?

 

[stock777]

clearly you are clueless as evidenced by the charts themselves.

is there anyone on et that isn't a disaster?