Recent content by Fierze

Again, stooq.com has no 1-minute data, no data at all for ES or YM contracts, and the stocks with 5-minute data has only one week (!) of price data... unfortunately not very helpful for backtesting purposes :( If there is no 1-minute data at all available on the web, I guess I could get the...

Thanks. No 1-minute data at Stooq.com though... guess the cheapest way to get such data is to pay $29,95 at EODdata.com, but the site seems to be down for a significant time so no help there either. No one interested in just swaping the data files through e-mail? It's free and I am...

A few years ago, using Interactive Brokers, I accumulated ES and YM historical market data (1-minute bar resolution) for the years 2008-2010. I have merged and exported this data to text file using Ninja Trader's export function. Does anyone have this data for years 2010 to 2013? I would like...

There is not an actual "cost" (aside from two commissions) when rolling the contracts, but often a large difference in price level, eating away your profit potential. For example, if you buy one VIX future which expires at level 16,5, the next months future may at the same time be at 17,5, so...

From what I've heard, the VXX and VXZ are less correlated with the VIX index than the pure futures are. Hence, I would prefer trading the futures even though that means rolling the instruments at significant cost.

Well, my whole point of this thread is to try and find out what the biggest catch is, with either the big or small VIX contract. No luck so far... I do know that the small contract should be a worse trading instrument since the spreads are huge and volumes are crap, so I would personally just...

Thanks for your answers guys, but I think we got away from the original question; Does the cost of rolling over VIX futures (and the fact that they don't seem to move as much as the VIX index itself) eat away all chances of having a profitable trading strategy if you want to hold a position...

$50 per tick. I would never trade more than one contract at a time.

I will be interested in trading the VIX front month future upon seeing what I perceive as extreme levels in the VIX, indicating imminent mean reversion. However, I know there are some specific factors to recognize before doing this, for example contango/backwardation and the fact that the VIX...

David22: Thanks a lot for the helpful link! dandxg: I know very well about market internals and the properties of the $TICK index, but in this thread I want to learn more about how people use the A/D lines. I appreciate your advice, but next time try answering my questions instead.

Could we please try to get back to the topic of the thread? Since I use IB datafeed, I guess I will no longer be able to use QT without subscribing, correct? I have been using the free version of QT (yes, the one that "no one in their right mind" would use according to some who posted...

Hmmm... It still seems crazy to me that ONE company could completely turn the TRIN around 180 degrees in a matter of seconds. As far as I know, the TRIN takes all NYSE volume into account and there should be a lot of other high volume companies to balance out whatever happens with C(itigroup)!?

There has been some problems with IB's market internals lately. Earlier this week the TICK values were off and now, the TRIN seems pretty abnormal as well. The attached graph show the NYSE TRIN today. It starts out at 0.5 but suddenly spikes up to 2.0 and remains there. Surely this can not be...