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Harold
I certainly prefer to use the total volume of all open contracts - Murphy
and Schwager also seem to prefer it, for all the reasons you mention.
Personally I find volume a little frustrating in futures because of the time
delay, although I have found the Herick Payoff Index to be useful from time
to time. I haven't experimented with tick volume as I don't get intraday
data for futures, but I understand that's another way to go.
Re spliced/not spliced, just be aware of the natural biases of different
contrast over time. Thus for any financial contract where the main
difference between the forward price and spot is the time value of money,
the forward premium will be less the shorter the contract (obviously the
effect will be more marked when short tern interest rates are higher) and
therefore an aging contract will naturally show a steady decline in price
even if spot doesn't move. For contracts with backwardation or marked
seasonality the effects may be more complex. I find it helpful to keep track
of the cash or spot price as well (when there is one) for
support/resistance, since you avoid the distortions in the futures. FX
futures will of course be arbitraged to the rate differential plus/minus the
spot rate, but that's another ball of wax.
Happy Hunting
Andrew
-----Original Message-----
From: hcourtney@xxxxxxxxx [mailto:hcourtney@xxxxxxxxx]
Sent: Monday, May 17, 2004 4:30 PM
To: Metastockusers@xxxxxxxxxxxxxxx
Subject: [Metastockusers] Re: Reuters Futures Data and Downloader
Andrew,
Thanks for the reply. Actually I think I prefer the spliced and I don't do
any system testing. The longer term views and historic support/resistance
levels are important to my style of analysis. Most of the historic data that
I've seen on longterm charts on various sites seems to be spliced, and
basically it comes down to the fact that I want to see what most everyone
else sees.
I also like the idea of total vol in the specific contracts, since vol is
very important to my style of analysis and it's of course distorted in
futures. In fact I've been discussing this problem on some other boards. I
wrote:
>> As contracts switch over vol in the current one declines, no matter
what may be happening price-wise, while vol in the newer contract increases,
also regardless of price action. Since vol interpretation is always
relative, this presents a real problem. For instance, in its simplest
consideration, in a healthy uptrend we want to see expanding/high vol on the
rallies and contracting/low vol on the reactions. So the older contract may
show vol decreasing on the last wave which is a reaction while the new
contract shows it increasing on the same reaction. Argh! So how do you
futures traders deal w/this? <<
So Andrew, do you feel using total vol of all open contracts when viewing a
specific contract would be a solution to this problem? I believe this is how
some others (such as Dusant does in the Indian
markets) have gone about dealing w/this problem.
Thanks again,
Harold
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