Momentum Indicators

Methodology

The system analyzes Nasdaq (NQ) and S&P500 (ES) intraday futures data for each trading session, which includes pre-market and post-market hours, to generate the following:

  • Bullish and Bearish Futures Units — a cumulative number of the bullish and bearish futures units based on the 1 minute, 5 minutes and 30 minutes NQ and ES candles
  • Bullish to Bearish Ratio — the daily oscillator which is calculated by dividing bullish cumulative units by the bearish cumulative units
  • Momentum indicator — the 11 eMA of the Bullish to Bearish Ratio

Example:

ES, Bullish and Bearish Futures Units, based on 30min data

This indicator shows periods of relative ‘calm’ as well the periods of unusual intraday volatility. Readings of over +200/-200 signify elevated volatility.

ES, Bullish and Bearish Futures Units Ratio, based on 30min data

This indicator shows the ratio of the cumulative bullish and bearish units for each trading session. When indicator is below zero, it means that the momentum is bearish; when above zero – bullish.

ES, Momentum Indicator, based on 30min data

The Momentum Indicator is calculated as the 11d eMA of the Bullish to Bearish Units Ratio. During the bearish markets (e.g., 2022 bear market), the traders want to consider going short when this indicator reaches extreme overbought condition. During the bullish markets (e.g., 2021), the traders want to consider long when this indicator reaches extreme oversold condition.

ES Momentum Indicator, 2022

ES Momentum Indicator, 2021