Trading Techniques  |  OCT 2006

Trading In Restrictive Intraday Price Ranges by A. Trongone, Ph.D., CFP, CTA

Stocks & Commodities V. 24:10 (34-36): Trading In Restrictive Intraday Price Ranges by Anthony Trongone, Ph.D., CFP, CTA When the commodity markets are moving in a narrow price range, are there any trading opportunities? Discover how you can find them and take immediate action in the e-mini NASDAQ 100. The commodities markets are notorious for their price fluctuations. Still, there are occasions when they appear directionless. But after experiencing two hours of relatively narrow price movements, does it offer us a (profitable) trading opportunity? Let’s take a look, confining our analysis to trading the e-mini NASDAQ 100 (NQs) between 8:30 am to 4:15 pm. During the 156 trading days I examined, there were 96 trading opportunities, of which 61 were profitable and 29 not, leaving us with six ties. After breaking the 8:30 am–4:15 pm trading day into 15-minute segments, I started by looking at the price difference between the opening and the closing prices within each 15-minute bar. A relatively narrow price movement occurs when the bars stay within a twopoint range (opening – closing price is within 2.00 index points). On the NQs, this restriction amounts to a monetary change less than $40, whereas the October 18, 2005–May 26, 2006, average difference was $36.60 (1.81 points).

by Anthony Trongone, Ph.D., CFP, CTA