Joined Dec 1, 2015
135 Blog Posts

Face-Off: Crazy Works Both Ways $SPX $SPY

Reminder: The S&P500 was 1934 last Thursday.

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Today makes 3 straight trading days of chaos. One of the indicators I like to watch is the Average True Range (ATR). It’s simply a measure of how much a market is moving, from top to bottom, on an intraday level.

Anything over 1% is unusual. Right now it’s at almost exactly 2%. As you can see from a 6 month chart, it doesn’t mean we’ve bottomed but it’s a start. Bull markets trade in smaller ranges.


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Video with more thoughts up shortly. Be cool out there…

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  1. boyaj

    Hi Jeff, thanks for posting this. Quick question, what are you comparing the over 1% move to in your ATR? Are you saying that any move higher than 1% from the previous day is unusual? Thanks for clearing this up.

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    • JeffMacke

      ATR is the 14 day average of actual trades made during a day (so it takes out gap opens). A bull market is more predictable… so smaller trading ranges. A chaotic state is unsustainable (and usually bearish).

      Today has been higher by more than 1% and now we just went red. That reflects a ton of uncertainty. I don’t want to make too much of this one indicator bc it tends to be a coincident indicator. Meaning the range will move lower in synch with stocks recovering. I use the ATR as a double-check indicator.

      Just trying to give folks as many tools as possible.

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    • boyaj

      That makes sense; always important to be able to tell a story, not just say what you see. As usual, I appreciate the response and insight.

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