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Archives for October 2022

Session Fib Grid Trend Power bias and Signal Age explained

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So what are these numbers and where do they come from?

AFT8 TrendOmeter Grid for the NinjaTrader desktop trading platform – multi session multi time frame technicals and trend correlations
  • Fib Grid is a map of the market price normalized as % computed at the session start – price moves within the grid, which is static all session 0% the open, F100% is projected high and -f100% low.
  • Trend Bias Power is an expression of current trend/force and is dynamic and calculated on each bar – price moves within the grid of bands during the bar – 0% the band 100% outer volatility bands
  • Signal Age – marks when the trend begun and if its valid or invalid aka a “black hole”

Trendometer runs in the NT8 market analyzer and is aimed for high spec low latency gaming desktop PCs and laptops as it will lag up NinjaTrader 8 and slow down data processing on the system – so AFT comes with lite workspaces to avoid this issue and users can also use the AWT trendOmter system which is lag free and is a far more sophisticated system for web, dekstop and mobile – AFT8 will link via an API to AWT to allow filtering and signals off AWT.

Alpha Web Trader – TrendOmeter provides a lag free aggregated instrument and multi timeframe vertical and horizontal view of the market
https://alphawebtrader.com/alphabias shows the trend bias power and the Signal age view in one screen

AWT Advanced Trendometer lagging free – will not slow down the PC or NinjaTrader. https://alphawebtrader.com/trendometer Trendo here is showing 13 time frames using Trend Bias Power – these timeframes are actually aggregations of related instruments and other timeframes combined from around 25 time series and different measurement studies. – it is a pivot of the Alphabias view : https://alphawebtrader.com/alphabias
AWT aggregates instruments such as SPY,VOO, IVV into 1 stream and aggregates the technicals for Trendo and AB so it would use the parent instrument eg SPY as the display. ES, SP, MES for example AWT also uses its own data stream and analytics engine so its roughly equivalent to what you can see in AFT but never exact. AWT is showing us breadth… and depth. based on correlations

Trend Bias power and Signal Aged provide a 2d view of trend – the signal age shows trend start and when the trend is invalid as a black hole

Trend bias Power % In the chart of the 720min with USAR indicator – we can see the mid band is 0% the upper band 1 is +100% the lower band 1 is -100% price moves from the mid band out – so we can normalize price as a % The bands are volatility intervals from the band- so it moves and adapts with the market price cycles of range. TSI / TA comes from this. Trend bias Power is similar to the Fib Grid in some parts based on volatility and the relation of price within – but it is calculated and moves with the market on each bar – the Trend Bias Power % – band could be any number of technical studies – some examples typically for Moving Averages we use 20, 21, 34, 55 SMA, EMA, WMA with a 1 ATR band to define the 100% above and below -100%- USAR we use 1ATR. 1.25, 1.5 and 2.0 with a 1ATR volatility band to define the 100% zone. AFT8 focus is USAR, Keltner wave and MA Bands in the AFT8 indicators. Our measurements TA% and TSI comes from Trend Bias Power.
Signal Age measures when the trend started and how old it is. SA% comes from this etc.
A black hole is where the signal for example is short when the trend first begun – but if the trend is contra trend signal direction and it is losing – then it is an invalid trend and marked as a black hole. It could mean the system is transitioning and reversing or in a pullback. So we can focus on the confluence of winning valid trends and ignore or wait for the black holes to go green or red – a mixed view would be green black and red – a significant trend direction would be all one color.

Session fib Grid is a map of the monthly, weekly or daily sessions with price normalized as a % – calculated at the start of each session and fixed.

Fib Grid is a map of the market price normalizes as % computed at the session start – price moves within the grid.. Fib Grid the 0% stays static where as the Trend Bias the 0% moves as the anchor point typically some kind of band average moves with price. SFG uses the daily, weekly, monthly typical ranges usually above and below but it can use different. So 0 is the open +100 is the projected high and -100 is the projected low… other fib numbers are put in as intervals and no trade zone and the rest is just statistical.

Trend Bias power/ Signal Age and Session Fib Grid combined they give a good view of the session price position and the trend flow etc. so now we can move away from the old stuck in the mud classical lagging systems… and start to build have a 3d view + especially with other related instruments and order/speed and so on. Get started 100% free until you decide with AFT Trading System

Fed 2022 and the bear market

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S&P500 just tested above the 50% retrace from the covid low to high – next stop 3450 zone and 3200 below

The central point of both the US system and the equity market is the CPI
The 3 elements that interest the Fed to intervene are – they should be (Bernanke’s teaching at Princeton) – currently there are dinosaurs with “80s methods –
1 – the short-term money supply
– M3 but refers to Q2 and therefore old data
– the total avg weekly earnings – BLS Employment Report – This data shows at sept 22 that on an overall level the total week-earnings is Y / Y slightly negative in real terms, but at the individual level the loss of purchasing power is of 3.4%
2 – Consumption – BEA Personal Income – see the attached tables and it emerges that consumption in real terms Aug 22 is negative Y / Y and YTD both using the PCE and the CPI as deflator – sheet 2
3 – the CPI and this is what we focus on today

View the Economic Analysis: https://algotradingsystems.s3.amazonaws.com/docs/V+studies.xls

One of the elements alerting on new pushes or brakes on the CPI is the analysis of the CPI 3 months annualized – elaboration of the BLS CPI report Tab 3 – sheet 3 – It is evident that it is a much faster sensor than the Y / Y – demonstration –
– 3mths indicated strong and increasing pressures on the CPI on Feb 21, while Y / Y detects it in May – sheet 3 line 72 and line 123
Let’s see the situation 2022 to date – 3mths – line 123 and following
– the maximum inflationary push 21-22 occurs at June 22 +12.26 annualized and then collapses at the end of Q3 sept 22 to 0.67
– This indicates that at the US system level the price system, TODAY, has been frozen, with sectors still showing strong increases and other strong contractions

Sept 22 – Q3 22 – column E shows the weight on the CPI of the various sectors
– overall situation of frozen prices –
1 – Sectors that create a strong boost to CPI growth
a – Food – weight 13.635% – + 10.92annualized
all sectors of Food at home away from home
b – Energy services – Electricity – due to the high prices of inventories of production fuel
2 – all items less food & energy – weight 78.12%
still high at 5.11 annualized but trending down from June 7.43
This figure is strongly conditioned by the shelter – line 152 – weight 32.47% on the CPI – which remains high and growing Rent and Equivalent Rent (Mortgages) due to the increase in Fed rates
2 – Sector that offset the increases – Energy weight 8.24% – the decline in the CL of the “bad” Saudi

FOOD
The strong push is due to two factors
1 – domestic and international agricultural production below demand – It is bad economic planning that cannot be resolved in the short term and cannot be resolved with interest rates
2 – A high-cost US production that has significant consequences on manufacturers’ inventories
3 – The fortune of Import prices – BLS Release – Food Feeds and Beverage – 3mths prices annualized sept 22 -9.14 June 22 -1.90 march 22 +21.16 – Y / Y sept 22 + 3.43% June 22 + 8.70% march 22 + 13.62% – It is evident that at the import level there is a strong slowdown in prices – The boost in Food is created in particular by Vegetables + 20% 3mths annualized + 15.50% Y / Y – lack of production
Prices are expected to drop with Southern Hemisphere harvests – December 22 April 23

SHELTER
It is the Fed’s own policy that creates the inflationary push

Conclusion
The 3 elements that should guide the Fed’s monetary policy suggest – CAUTION
– a consumer with a loss of real purchasing power
– a negative consumption in real terms either using the PCE or the CPI as a deflator
– an inflationary pressure created by the Food due to a lack of domestic production – The increase in production in the agricultural sector is possible but it takes time and investments – the prices of the sector do not respond to interest rates – The growing inflationary pressure created by the shelter – 34% of the CPI – the same Fed policy creates it

The Fed have already decided rate hike 0.50 / 0.75 Nov 22 – The risk is that they will make the same mistakes of Wolker in the 80s that brought the country and the market into recession.

Due to the forecast of November, and Xmas period is very likely the bottom will be set before March 2023 and we can expect some type of v bounce or large volatile frothy rallies to continue.

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