Tracking MOC vs SPY (also potential Long Signal)First off, MOC and MOC Imbalances are two things I am still in the process of learning and understanding better, so I am not claiming to be an expert on the topic. Please chime in if I have wrote anything incorrect or if you have something valuable to contribute!
A Market-On-Close (or "MOC") order is an order sent to trigger near the market close. We see this pretty routinely trigger 10 minutes before the closing bell, and it often produces some fireworks with sudden, spiky moves in one direction or the other. There is often an imbalance in one direction-- Buy, or Sell-- which can sometimes seem random, but when smoothed can help show flows into the market or out.
I took a little bit of time to just color the periods on SPY in the last year or so for the 4 scenarios of the 20 day moving average of MOC imbalance. They are as follows-
DARK RED MOC is Below 0 and Increasing in that direction --> Sell Imbalance
LIGHT RED MOC is Below 0 and Decreasing/Reversing
LIGHT GREEN MOC is Above 0 and Increasing in that direction --> Buy Imbalance
DARK GREEN MOC is Above 0 and Decreasing/Reversing
I think you could generally say these phases of the MOC Imbalance correlate with SPY. The two phases of Light Red and Light Green (moving from a Sell Imbalance to Buy Imbalance) have generally shown to be good old fashioned bull fun. Dark green often is a profit taking phase. Dark red is usually when its too late or just the start of the descent.
Here are crude measurements of the light red and light green phases, their gains and length of time-
+4.39% in 44 days
+7.27% in 50 days
+4.22% in 30 days
+4.50% in 24 days
+4.55% in 45 days
+25.00% in 31 days
+15% in 24 days
Presently, so far: +4.15% in 15 days
The times I did not include, which are obviously the recent outlier, is from February to early March. If you had a good chart of the 20sma MOC in front of you like I do, you could see there were a couple times when it looked like the MOC had reached its bottom and was going to start reversing and heading towards a Buy Imbalance, only to get rejected and keep selling. The actual confirmed bottom never happened until March 20th, so you could say that was the true start of this light red colored area, but I felt it was relevant to still color those as if it was a real-time scenario. It also helps show how that crash really manifested itself, with a lot of traders/investors thinking the end of February is just a dip or buying opportunity, to manifest into a rug pull.
Myself and others have been thinking this week and last that a melt-up is on its way, and the MOC turning above 0 today to a Buying Imbalance could be a great bit of data to possibly confirm this.
Where do you find MOC Reports? I only started looking at them recently from Market Chameleon so unfortunately I do not have any great resources to point people towards other than Market Chameleon. I hear that its publicly disseminated information, though.
Here's their -free- daily report- marketchameleon.com
They also have a more aggregated report, which is what I used, but that is behind a pay wall.
