AGAIG SPY OVERNIGHT TRADING INDICATOR
This is a new indicator whose purpose is to place trades on the SPY two days out (2 DTE) near the end of current trading day. The object of the trade is to close it the next day for a profit and not let it run the last day.
As the indicator is currently set the “SPY ENTRY WINDOW OPEN” shows on the chart at 3:40 p.m. when one of three choices will show at 3:50 p.m.: “BUY CALL INDICATED”, “BUY PUT INDICATED”, or “NO TRADE INDICATED.” We are placing trades (if any) close to the end of the trading day. Window entry time closes at 4:15 p.m. (all of the times can be personally set in the “Added studies and strategies” dropdown by clicking on the wheel at end of indicator.
This indicator Works correctly on ANY chart aggregation (5-min, 1-min, Daily, etc.) because all inputs are explicitly pulled from the DAILY period using period-adjusted price functions (e.g. close(period = AggregationPeriod.DAY)), with historical offsets [1], [2]... correctly referencing prior CALENDAR DAYS regardless of the chart's own bar size.
These types of trades are only normally placed from a Daily Chart, however many of us use different time frames and would like the information to show on our SPY chart regardless of time frame being utilized. There is a trade-off for using any time frame as follows:
- ATR uses a Simple Moving Average of daily True Range (not Wilders), computed via an explicit fold over day offsets - this avoids the recursive-recalculation distortion that Wilders/EMA would suffer from being re-evaluated on every intraday bar.
- Momentum filter uses SMA(8)/SMA(21) of daily closes instead of EMA(8)/EMA(21), for the same reason. These are directionally very similar to the original Wilders/EMA versions but are exact and stable regardless of chart timeframe.
In short you can add this study to your normal 5-min (or any time frame) chart. The labels and arrows reflect TODAY's still-forming daily bar in real time, so
they are most meaningful to act on during the 3:45-4:00 PM ET window (although they stay open until $:15 ET) and you can turn them off/on so that they only show during the last half hour of trading or not at all.
NOTE: “No-Trade” days are a real, intended outcome, not a failure of the system.
The Indicator Link: http://tos.mx/!CD4OhYiM
Here is the chart label look from yesterday at close:
I have also made an indicator for the QQQ and will post soon.
Some commentary on the above SPY Labels:
WHY DID IT LAND ON “NO TRADE”
SPY: Range 81% of Normal sits in the neutral zone (between your 70% contraction and 120% expansion thresholds), so this isn't a breakout day. Close was strong near the low (29%, under your 30% threshold) — that part looked bearish. But Body was only 20% of Range, well under the 50% confirmation minimum. So despite a legitimately weak close, the day didn't have enough follow-through in the actual candle body to confirm it — likely a lot of intraday chop/wick rather than a clean sell-off.
Feedback is always appreciated!
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