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IMHO, I think it is suicide to do so
Although textbooks will tell u that one figure is more important than
another in that its impact on market is greater, this is not always true.
What Carroll mentioned is true. I remember there were years when any damn
figure was important and subsequently there were times when figures didn't
seem to matter anymore. Actually, the crucial thing here isn't with which
figures are more important than another. Rather, it really depends on the
market participants' point of view and the importance that they place on
such numbers. Correct me if I am wrong, but I think the last great period of
time when markets experienced great volatility coincided with the era when
the Japanese accounts were the talks of the town. The account size of these
Japs were such unbelievable and they could go on buying or selling like
there were no tomorrows, or that a lower or higher non-farm or whatever
other figures implied that the US economy were either going to be reduced to
shabbles or elevated to the heavens. The best part of it all, they all
seemed to do the same thing at the same time and they believed in muscling
and cornering the market with sizes. Their activities resulted in extreme
volatilies and created huge imbalances in all fundamentalists' concept of
fair value and demand/supply curve. These fundamentalists were all fleeced
and their lost-covering actions subsequently when they could take the heat
no more resulted in even greater action. In short, the whole thing just
snowballed. This only stregthens the wisdom of staying with the trend and
for crying out loud please flush out all ideas of fair-value trading and
those economic D/S curves unless your accounts are as huge as theirs. Of
course, things and prices will always regress to an equilibrium, but none of
us knows how long and how much pain we would have to endure before that
happens, or even if we would see be around financially to witness the
pullback. For us small fries, we are only a small part of the market, but
for these Japs in those days, THEY BECAME AND WERE THE MARKET. Come to think
about it now, I believe they were subscribing more or less to the train of
thoughts of Dan.
Unfortunately, Dan, the Japs seem to have matured and evolved to a more
intelligent level of gameplay now. Probably they are paying less attention
to the figures as well now; u just don't get to see such swings very
frequently nowadays. The forces of the bulls and the bears are pretty much
in equilibrium nowadays, resulting in less volatile situations.
Okay, I can sense myself detracting from Dan's questions... so here are my
humble answers...
Answer to 1)
As explained partially above, there really are no fixed rules as to which
numbers have the greatest impact. Their levels of impact change with the
times and the amount of importance current market participants place on
them. Actually, after following the numbers for a period of time, u beging
to get a feel of it. A good example that comes to my mind now is a component
of a particular number that is rumoured to be Greenspan's speedometer on the
economy. And because of the widely published news, everybody on planet earth
starts paying attention to it. If Greenspan's attention were to fall on
laggards like leading indicators or even the weekly chainstore sales, trust
to see every media and martket watcher giving all its worth on their
releases.
After justifying my case that no one data is all-mighty at all times, now
let's get to the most crucial part, IMHO. Most importantly, I have come to
realise over the years that it is not the actual release of whichever
important numbers that the market is targeting. Rather, it is the difference
between the consensus and the actual thing and also the difference between
the past data and current consensus that make the difference and it is these
differentials that makes the world goes round... or upside down in our case.
This is because the market has already priced and aligned itself to the
average consensus with these being reflected in prices. Also, if the past
data and current consensus aren't too far apart or fundamentally
"stretched", then it will be easier for participants to accept them and
adjust accordingly. On the other hand, a difference that is too huge between
past and consensus and when there is much confusion or uncertainty in the
fundamentals to support this will generally result in a very tense situation
with huge imbalances and potential chaos; this thing could go either way
after its announcement. An actual announcement that is too far away from
consensus will also shake the market to its very foundation because all
conclusion of fair-value prices reached upon basing on the consensus will be
blown apart. The market will be very desperate then to search for a new
fair-value within a very short time span and this is also the very recipe
for chaos.
Answer to 2)
Can't remember off-hand.
Answer to 3)
They are the fastest guns in town and are most reliable. All of these
financial news broadcasters always try to beat the others in terms of speedy
delivery of news and all of them have teams of reporters on site where one
will listen and interpret while another will call the backoffice to feed
them with the details. They will have news reporters live on air standing by
for these and also the quickest fingers that money can buy standing by at
their pcs and hitting the news out on the wires asap the moment it comes in.
These are exciting moments. Thus, trust them to do their best to cut down on
the lag, although sometimes in so doing they kinda came to ridiculously
wrong conclusions from these data or Fed speeches that whipsaw the markets.
If u are caught on the wrong side of things because of their erroneous
broadcast, u feel like strangling the guy who is interpreting these on site.
It is him who kinda determines what will hit the wires. I had seen times
when Reuters or some others would broadcast and come to wrong conclusions or
misunderstanding the data or the speeches, causing the market to swing one
direction with traders taking new positions and taking out numerous stops
along the way, and only to be in another shock when probably Bloomberg or
some other newsfeed or probably the culprit itself changing or retracting
its earlier statements. The above mentioned batch of traders will be
battered with stops being taken out on the other side of the market. There
are also countless moments when the data points to one thing and the market
thus went on a rampage only to listen to the fed or analysts pointing out
that certain components of the data are telling otherwise. U wouldn't want
to be in such roller-coaster rides.
Answer to 5) <No number 4 question>
>From the details painted above, I leave u to draw your own conclusions.
Please take into accounts that there may be leaks and the fact that floor
traders are way faster than u. Don't even dream of shooting mkt orders in
such times.
rgds
tsi
----- Original Message -----
From: "carrslem" <carrslem@xxxxxxx>
To: "Dan Middleton" <danmiddleton80@xxxxxxxxxxx>; "omega list"
<omega-list@xxxxxxxxxx>
Sent: Friday, February 08, 2002 06:18
Subject: Re: Economic Numbers and Daytrading
> I am not an economist, but one precaution you should observe is this:
there
> are always NUMEROUS economic and other data and indicators coming out, far
> too many for many people to be continuously cognizant of all of them. But
> various events and circumstances raise the public's consciousness of
certain
> of them and the ones which are "highlighted" change from time to time. In
> other words, the ones which were the hot-buttons a year ago quite likely
are
> not the hot-buttons of today. Yesterday employment figures, today
interest
> rates, tomorrow - who knows?
>
> Regards,
> Carroll Slemaker
>
>
> ----- Original Message -----
> From: "Dan Middleton" <danmiddleton80@xxxxxxxxxxx>
> To: "omega list" <omega-list@xxxxxxxxxx>
> Sent: Wednesday, February 06, 2002 12:04 PM
> Subject: Economic Numbers and Daytrading
>
>
> > I want to backtest a very short term intraday system that buys/sells ind
ex
> > futures immediately as economic reports are released.
> > The basic premise (I haven't backtested it yet) is that high probability
> > trades may be entered as long as there is some significant discrepancy
> > between expected and actual numbers (as the expected number would
already
> be
> > discounted).
> >
> > However I am no economist (I am much more at home with technical
analysis
> > than fundamental stuff).
> >
> > So I have a few questions, and I apologise if they seem a little naive
to
> > many on this list but we all have to start somewhere:
> >
> > 1. Which economic numbers (such as Fed Interest Rate Decisions, non
farm
> > payroll etc. ) have the biggest and most immediate impact on index
> futures,
> > and without getting overly technical, why?
> >
> > 2. For these numbers, where might I get:-
> > a) a history of their values,dates and times (this question came up on
> this
> > list recently but the only response that I recall was to a subscription
> > service - maybe there are others?)
> > b). a history of forecasts corresponding to the values above (I want to
> > compare actual with expected numbers).
> >
> > 3. How do the TV stations (CNBC/Bloomberg) compare for their speed of
> > reporting these numbers with subscription newswires or other sources?
How
> > important is a split-second difference in speed of reporting to a
> daytrader
> > trying to profit from these announcements? I am using an electronic
> trading
> > platform and my fills are generally pretty good.
> >
> > 5.Bottom line question: Has anyone on this list benefited from an
> approach
> > similar to this?
> >
> > All answers, referrals and abuse welcome.
> >
> > Dan Middleton
> >
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