|
PureBytes Links
Trading Reference Links
|
On intraday charts, what I do is use combined emini volume for a few days
around the rollover period.
data1= continuous contract
data2=old
data3=new
Combine vol of data2/data3 for the rollover period. Otherwise volume signals
get lost.
This would probably work with daily as well, though I haven't used it.
Perhaps with custom futures something creative could be done with this too -
i.e. front month, second contract back, etc.
It would be nice if there were a way to use composite futures on daily,
though I know of no easy way to do this in TS.
----- Original Message -----
From: "Chris Evans" <paratradesystems@xxxxxxx>
To: "Omega List" <omega-list@xxxxxxxxxx>
Sent: Wednesday, November 07, 2007 11:41 AM
Subject: Volume Question
I have not used volume as an indicator in the past so excuse me for this
rather uniformed question:
When you use volume on say the S&P 500 contract there are huge rises in it
as you pass through roll dates - how do you normalize for that so you see
only volume that is not related to the roll?
CE
|