Day Types

Watch the market enough, and you understand that certain days have different characteristics that other days. Some days the market starts going in 1 direction and it just doesn’t look back. Other days the market seems like it just can’t move one direction or the other. Out of this was born the Day Type classification structure in Market Profiling and Volume Profiling. The idea is to try to understand from previous days what we can expect moving forward, as well as trying to determine as early as possible what type of day we are currently having and hopefully, as a result, profit from.

To classify a day, you will need to understand a volume profile as well as the initial balance. You can read about these in these 2 articles:

Volume Profiling Basics

The Initial Balance

Now that you understand those, here are the day type classifications:

Normal Day

Despite its name, normal days are not all that common. A normal day occurs when the market moves with conviction in one direction at the market open, usually due to news being released. After the move, the market loses conviction and moves mostly sideways or retraces back slightly for the rest of the day. Basically, the major players step in and do their trading early and fast.

The characteristics of a Normal day are:

  • A wide initial balance range
  • Both the IB High and the IB Low are not broken

Normal Day ES

Normal Variation Day

A Normal Variation day is far more common than a Normal Day. In a Normal Variation day, the beginning is normal, with traders stepping in later in the day and moving the market in 1 direction. This is often due to some sort of news being released during the trading day.

The characteristics of a Normal Variation day are:

  • A normal initial balance range
  • Either the IB High or the IB Low are broken at some point in the day, but not both.

Normal Variation Day ES

Trend Day

A Trend day usually occurs when the market perceives a major change in value. As a result, the market immediately starts moving in direction and continues in that direction for the rest of the day with only minor pullbacks. The market closes at or close to the extreme of the direction it was moving in.

The characteristics of a Trend day are:

  • A wide day range
  • Little to no counter trend
  • Closes at the day’s range extreme (Within 25% of the day’s range)

Trend Day ES

Double Distribution Trend Day

A Double Distribution Trend Day is a fairly uncommon day type. It consists of a day that starts off sideways, forming a narrow initial balance. However traders enter the market aggressively and drives the market in one direction with little to no counter trading. The market then continues sideways once it reaches what it considers value.

The characteristics of a Double Distribution Trend Day are:

  • A narrow initial balance
  • A wide day range
  • Closes at the day’s range extreme (Within 25% of the day’s range)

Double Distribution Trend Day ES

Non-trend Day

A Non-trend day is a directionless day. The day starts off sluggish with a narrow IB and the rest of the day is more of the same, with neither the IB High or the IB Low being broken (Or at least, broken only very slightly). This is the type of day you find on holidays, or days when the market is waiting for news or some event.

The characteristics of a Non-trend day are:

  • A narrow initial balance
  • Both the IB High and IB Low are not broken
  • A narrow day range

Non-trend Day ES

Neutral Day

A Neutral day occurs when both sellers and buyers are very active. As both sellers and buyers are very active, you get strong moves both up and down, breaking both the IB High and the IB Low. Usually the market closes in the middle of the range.

The characteristics of a Neutral day are:

  • A normal initial balance range
  • Both the IB High and IB Low are broken
  • The market closes in the middle of the range (Within the IB)

Neutral Day ES

Neutral Extreme Day

A Neutral Extreme Day is exactly the same as a Neutral Day, except that the market closes to one extreme. This generally means that the traders in the direction of the close have won, and therefore we can look for a continuation move in the next couple of days.

The characteristics of a Neutral Extreme Day are:

  • A normal initial balance range
  • Both the IB High and IB Low are broken
  • The market closes to an extreme (Outside the IB)

Neutral Extreme Day ES

Research

Here some research articles I have done on Day Type:

Future Research

Here is a list of research I plan to do in the future, but haven’t yet done:

  • Initial Balance Range Average by Day Type for the ES

Other Articles and Research

  • Nothing yet
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One response to “Day Types

  1. Pingback: Day Type Statistics for the ES (S&P 500 E-mini Futures Contract) | @ShaneBrewer·

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