E-mini Indicators: TICK, TIKI, VIX, TRIN, & PREM

Discussion in 'Index Futures' started by JT47319, Apr 13, 2003.

  1. JT47319


    Anyone use these possible indicators (and others) in trading the e-minis and how do you use them?

    The first four are more like sentiment readings as well as overbought/oversold areas. But does anyone try and play the spread between the spoos and cash fair value?
  2. Pabst


    How ironic. I was just asking someone on this board whether they use Tick. I hope some of you guys can give good examples of how these indicators are valid daytrading tools.
  3. Vishnu


    I've played around with the tick and ES a little bit. I've backtested the following with decent results:

    a. on the TICK 5 minute chart. Low of -600 or lower 3 bars in a row.

    b. Buy 1 tick below a 10 bar low

    c. close out the position if tick > 300 or market hits a 10 bar high

    I traded this for about a week with decent results (9 out of 10 successful trades) but it required too much attention to the quote screen and once I took into account commissions and slippage on the backtest the expected value wasn't as much as I would like it to be.
  4. trader25


    can someone please explain what the $PREM indicator/statistic represents and how people read/play it? Also, what's the difference between the $PREM and $EPREM? Thanks:)
  5. JT47319


    I believe $EPREM corresponds to the premium on the E-mini and $PREM is for its big brother. I don't have a complete understanding of index arbitrage either and would appreciate anyone elucidating this subject. But from my incomplete understanding, arbs will step in to buy/sell the futures/stocks when the futures get out of line with the underlying cash. Now, the actual mechanics and trigger system for entry/exit is where I'm a little fuzzy.
  6. I use 1 min $tick to indicate short term turning points in the ES. $tick is a leading indicator giving a 1-2 minute warning of an impending change of direction, however this change in direction is only short term.

    You have to be careful because when the $tick has a turn around; a trade in the ES might only be good for 1pt or it may go against you for 10pts. If having a high risk to reward ratio is important to you, then its not for you.:eek: :p :(
  7. fan27


    I've noticed that when two 5 minute bar TICKs in a row print above 1000 when the market is in somewhat of a trading range or approaching a previous high, a reversal is highly likely.

    TICK and TRIN are also decent as divergance tools. ie.. the market is making new lows but the TRIN is making a lower high ( the sell off is running out of steam...be wary of shorting).
  8. $VIX is an indicator published by the CBOE. It's an indicator used by many option traders.
  9. Is anyone able to compute and chart breadth indicators specific to indexes? (i.e. SP500/Naz100) Might be interesting to be able to use TICK, TRIN, A/D, UPVOL/DNVOL to ES/NQ?
  10. Yes; it just takes a lot of horsepower ...
    #10     Apr 15, 2003