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In looking at SP futures swing high/lows vis-a-vis the OEX cash index, I
have found the "lead" of the futures to the OEX cash to be 1-4 minutes only.
That is, a swing high/low in the SP futures GENERALLY (not always) leads an
OEX cash swing high/low by 1-4 minutes.
This "lead" is relatively clear when looking at 1 minute bars. One can
still see the lead a bit with 2 minute bars. But, IMO, it is not really
discernable at anything greater than 2 minute bars.
I don't see how this relationship is tradeable by itself, but I DO think it
is tradeable. It must be coupled, however, with other confirming
indicators...
Steven Buss
Walnut Creek, CA
sbuss@xxxxxxxxxxx
-----Original Message-----
From: Ron Augustine <RonAug@xxxxxxxx>
To: TomKochik@xxxxxxx <TomKochik@xxxxxxx>; omega-list@xxxxxxxxxx
<omega-list@xxxxxxxxxx>
Date: Monday, June 15, 1998 8:51 PM
Subject: Re: S&P 500 Cash Index .......
>
>Depends what you mean by "closely related". Every three months, when the
>new front-month contract becomes the major focus, the Premium jumps by over
>12 points. As the Quarter continues, the Futures Premium diminishes until
>it meets the Cash Index upon expiration of the contract-- same as an Option
>Premium decays over time.
>
>There are many instances throughout a trading day where the premium expands
>and contracts in relation to the Cash Index. There are times when it dips
>below the cash price. If you've been "getting extremely good results" on a
>regular basis, you've found the Holy Grail that has eluded traders for
>decades-- but don't hold your breath-- I'm sure there are many here that
>would take issue with whatever you claim to have discovered.
>
>If you want to start a discussion on how well your techniques work and what
>pitfalls you might encounter, you would need to specify exactly what time
>frames you're monitoring (i.e. 5-minute, 15-minute, hourly, daily, etc.)
and
>what analysis techniques or indicators you're using to Enter and Exit your
>trading positions.
>___________________________________
>At 11:10 PM 6/15/98 EDT, you wrote:
>>Hello All,
>>
>>I am just trying to test and evaluate a method to take a position in S&P
>>Futures on a Day Trading Basis ONLY based on comparing the chart of the
S&P
>>Future and its cash equivalent. I ve noticed besides they are very closely
>>related following the rule to either
>
>>buy or sell short when the "probable major" reverse trend has started,
then I
>>am just waiting for the S&P Index to follow that turn of the Future Index
and
>>then I would trigger the order. By doing this for the last couple of weeks
I
>>ve benn getting extremely good results !!
>>
>>Please any comments ?? Ideas ??
>>
>>Thank You very much
>>
>>Thomas...
>>
>>
>>
>
>
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