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People are the price action of a market. What is the sane thinking that is
the mean of a market? Well, I can tell you what its not. It's not the tail
end of a contract expiration. I would hate for my system to be at the
apparent mercy of a bunch of desperate rookies who are working for some
company as a hedge trader. That is precisely what you are doing if you use
a price series that is not perpetual blended. You are trading a false
cyclical, panic attack at the end of each contract. Then you are trying to
make some technical sense of this and apply a system to it. How wrong?
Come on if you want to find the true nature of a price series than you would
want to dismiss the radical non predictive, panic stricken rush to cover
hedge positions at the end of a commodity contract. Or would you? No if
you have a gambler trend following method that could capitalize on such
false volatility then fine. Just remember thought you may also be on the
opposite side of the trade one day and then there will be a pay back.
Mark Brown
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