Lead contract switch

Kicking: ”Why do you have to adjust supports and resistance? The value of both contract is the same at expiration, right? If there was support at 1530, isn't 1530 going to be resistance next month, assuming we keep going lower?

Do you guys watch more the cash or the futures to pinpoint the major S/R on the long term charts? I can't find any good continuous chart so I just look at the cash one year for long term supports.”

Take a look at both contracts. You’ll find fibs or any type of retracement ratios or any important S/R are relative to each contract. I watch both the cash and the futures, especially during the roll and shortly thereafter. I would recommend keeping track of all the major indices. IMHO, knowing what is happening in them is critical to understanding the signals of the vehicle you are trading.

There are multiple ways to compute continuous contracts. Some traders prefer adjusted and some don’t. Some like to roll on expiration some like to roll on most active. I find the cash works very well during the transition.
 
I see. Thanks so much.
I am not sure how continuous charts are built and thought the only way to do it was just adding at expiration the new contract data to the serie of expired contracts. But don't you come up with different S/R levels depending on the method used? This is a bit confusing.
 
Kicking,

for a great explanation of all this read "Getting Started in Technical Anaylsis" by Jack Schwager (same guy who did the Wizards series). He writes in a clear way and provides examples.
 
There are a couple of ways to construct continuous futures contract charts, each has advantages and disadvantages, gaining something while giving something else up. Because each method has serious flaws and I'm a day trader anyway, I prefer to simply deal with the current contract, and use the cash indices themselves as the long-term point of reference. I also think tymjr is right on ----- the most accurate possible way of handling rollover is simply to use the cash index as a constant frame of reference, determine S/R levels and Fibs from that, and then add those numbers to the fair value of each day's premium for the front month contract.
 
Originally posted by armaniman
The semi-official rollover for index futures is the 9th day of the delivery month. When that falls on a weekend, as it will this September, the pit traders in SP and ND generally begin rollover on the Thursday preceding the weekend, and complete the rollover on Friday.
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are you sure? the last three rollover dates (for NQ) were: 20001207, 20010308, and 20010607. by looking at these i deducted that the rollover happens on expiry date minus 8 calendar days (ie on thursday of the previous week).

your algorithm would have put the march rollover on friday 20010309. more importantly, the next expiry-8 date is 20010913, which is off by a week from your 20010906 date.

anyhow, thanks for the info -- i'll keep my eyes open on 20010906.

- jaan
 
I perused this book the other day at BN, it's much much better than Murphy's book that I have. The whole section on failed patterns and real life chart analysis and the discussion about reversing position are really an eye opener for beginning traders. I went with Murphy's book thinking it was more comprehensive, Schwager's was only a "getting started" and seemed to be less about stocks turned out it is an outstanding book. Maybe I should get his 800 page book on TA of the Futures now. Allright thanks all for your explanations.
 
Jaan ---- You may well be correct. The math makes sense. The last four rollovers have all been on Thursdays, on the 7th and 8th day of the month, which is as far back as my direct experience goes. I used the figure of the 9th day of the month because it is the standard default option on most programs that calculate continuous index futures contracts. There will be ample warning however ----- Lewis Borsellino will give a day or two advance notice of exact rollover date in his posts at http://www.tradingmarkets.com and http://www.teachtrade.com
 
Well the front futures did not roll from Sept to Dec on Thursday and Friday. Anyone have more info on when this will occur.
 
As far as I know they will roll over on the 3rd friday of the contract month(sept 24th)
Contact Lind Waldock or Jack Carl futures.They have a calendar
book with their new account packages.Remember to watch the volume in both months
 
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