User Guide: Price Action Alerts

  • 20 Jun 2019
  • By CME Group

Price Action Alerts from CME Group, powered by RedSky, is a real-time tool that compares the current market for a futures product to historical activity, analyzing events such as large price moves or swings in technical indicators.  It then analyzes data from when the same event occurred in the previous 12 months to calculate the probability of subsequent price movements, providing insights on what could potentially happen in the following hours or days after the event takes place.

Types of Market Events

Alerts are triggered when the following types of market events take place for a product:  

  1. Crossing a Moving Average - Triggered when the price has moved above or below the 20, 50 or 200-day exponential moving average for the first time within a trading day.
  2. Standard Deviation Cross Over – Triggered when the price has moved 1 standard deviation above or below its 5-day moving average
  3. Percentage of Settlement Price - Triggered when the price of a product has moved 1 to 5% up or down from the previous day’s settlement price.
  4. Extreme Price Moves - Triggered when there is a substantial price move above or below the previous day’s settlement price. 
    1. For Equities, Ag, Metals, Energy: At least 5% above or below the previous day’s settlement price; subsequent moves will be triggered in 1.0% increments.
    2. For Interest Rates and FX: At least 2% above or below the previous day’s settlement price; subsequent moves will be triggered in 0.5% increments

Clicking on the alert shows all the occurrences of that event over the last 12 months and the price action that followed after the event took place, initially featuring the time sequence that has shown the most consistent results over a 10-year period. Note that because the back-testing finds the most consistent result over the past 10 years, the time period it lands on may show a percentage of future direction that is a lower percentage vs. the 12-month percentage for a different period.In the case of Extreme Price Moves which can be considered rare, all occurrences since 2008 are shown rather than the last 12 months.   (For more information see “Consistency of Future Price Direction” in “Methodology for Price Action Alerts”.)

Previous Occurrences and Selections

The example below, for “Swiss Franc M20 trades above its 200-day moving average” shows you how this works.

Once you click on an alert, it shows you the occurrences of the event over previous time periods.

  1. Most Consistent Results. As previously mentionedthe analysis initially indicates the time horizon that has historically shown the most consistent results over the past 10 years after the event has taken place. In this example, the most consistent results have been shown 5 hours after Swiss Franc has traded above its 200-day moving average. Note: in the case of Extreme Price Moves, which can be considered rare, the analysis will indicate that the occurrence reflects an outsized movement in the market.
  2. Price Increase and Decrease. Shows what has historically happened to the price of the product over the past 12 months during the time horizon with the most consistent results (over the past 10 years). In this example, 57 % of the time the price has increased and 43% of the time the price has declined over the past 12 months. It also indicates the average and maximum price increase/decline.
  3. Hourly or Daily Buttons:  These two buttons allow you to toggle between Hourly and Daily to view the historical results during various time horizons after the event occurred in the past—one to five days, or one to five hours. The button defaults to the time horizon associated with the most consistent results over the 10 years of back-testing—in this example, Hourly—but you are able to switch to Daily to view the data under other time periods.
  4. Change Summary. This box displays the price movement after the event has taken place over the last 12 months.  For each time period it indicates the average price change, the number of the times the price increased and the average and max increase, and the number of times the price decreased and the average and max decrease. The time period with the most consistent results is automatically highlightedin this case 5 Hours Later. 
  5. Occurrences in the Last 12 Months: All past occurrences of the event are detailed in this section, indicating what happened to the price in the time period after the event took place. Again, the time period with the most consistent resultsin this case 5 Hours Later—is automatically highlighted.  Note: in the case of Extreme Price Moves, which can be considered rare, occurrences since 2008 are shown; if there have been no occurrences since 2008, nothing will be displayed.

Subscribing to Alerts

You may subscribe to receive Price Action Alerts by either email or push notifications on your mobile device when an event is triggered. There are two ways that you can subscribe:

  • The “Set Alert” button allows you to select the products you are interested in and your preference for notification—email or push notifications. You will only receive an alert when a statistically significant market event for your selected products is triggered. Once you have set your initial alerts, the “Set Alerts” button will change to  “Modify Alerts” to allow you to make changes to your notifications.
  • On the website, clicking on the “Profile” icon () at the top right corner of the screen takes you to your personal “My Profile” that allows you select “Price Action Alerts” and then sign up notifications.

Price action alerts

About CME Group

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