The dividend/divisor stuff does not vary during the day. The divisor only changes if components of the dow are swapped out (ie. SUN for MSFT). The dividend changes on the days dividends are paid out or reported for any of the components. When doing an RT fairvalue, what is important is to determine the two closest market points on the ZERO COUPON YIELD CURVE. Rollover is 31 days away so the points between the 1M LIBOR and the 3M LIBOR are the points to interpolate between as an example. I'm still refining to fine the actual yield curve points that indexarb uses since somehow, where they get there data is relatively spot for EOD. I presume that using the equivalent INTRADAY would be even better. It is work in progress since I still wind up with some differences...
Question for Grob/Hershey...
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The dividend/divisor stuff does not vary during the day. The divisor only changes if components of the dow are swapped out (ie. SUN for MSFT). The dividend changes on the days dividends are paid out or reported for any of the components. When doing an RT fairvalue, what is important is to determine the two closest market points on the ZERO COUPON YIELD CURVE. Rollover is 31 days away so the points between the 1M LIBOR and the 3M LIBOR are the points to interpolate between as an example. I'm still refining to fine the actual yield curve points that indexarb uses since somehow, where they get there data is relatively spot for EOD. I presume that using the equivalent INTRADAY would be even better. It is work in progress since I still wind up with some differences...
It should be straight forward. Be sure to adjust the spread increment as I write this post of the top of my head. I am not sure as to why one would want to monitor ESvsSPX except to use as trailing stop type of hard boundary since SPX would always be trailing. In any event, it should be straight forward...
MAK
There were various other comments about Maria and her impacting INFO and how some folks had non-anticipatory "reactions" to some EXTREME issues. I have been out of the US markets the last 2 days due to the other business I juggle. If you're a beginner, there is plenty to feast on in just the EXTREME arena alone. There also seems to be some other nags with just plain sitting on hands when wanting to be in and doing something. It is a nagging problem since the precursor for getting in is knowing what is going on. Knowing that you don't know what is going on and sidelining is acting directly in accordance with your game plan. Perhaps it is better for some folks to just TAPE OUT FAST/SLOW/MEDIUM/etc...
CIRCLE FOMC MAY 10... DAN, you will see the same thing happening again and this time you should be acting instead of reacting.
Personally, when I run my IF1/IF2 on these fast bars, I go over to the spread sheet and highlight the BID/ASK pair that I get filled on and use those points for my IF1/IF2 reference points. It is a personal preference and not a right/wrong thing. However, my reasons should be evident with the cardinal rule of ANTI-DRAWDOWN.
If you are also looking at the YM/INDU FUTURES/CASH STR.SQU, you can data gather the strength of the direction by analyzing the magnitude of the offset. I recognize how some of you are uncomfortable with the FUTURES/CASH STR.SQU and as a result, I am hauling to determine the explicit yield curve that the smart money folks are directly monitoring. Evidently, this RT yield curve underpins a vast myriad of different instruments and as usual, there is a very broad level benefit to monitoring it in RT for reasons beyond this isolated instrument. In any event, the magnitude of the FUTURES/CASH offset is one of the greatest ES momentum indicators I know of. When you see the ES swiftly translating, you will see the FUTURES/CASH at relatively larger offsets. I will presume that this is just stuff folks have not picked up on yet. It may be one of the downsides to not developing one's own tool. DEBRIEFING should be covering these bases. But then again, I have thoroughly thought through many of these items and hence they have long been default knowns for me.
Additionally, some folks have issues with bars going against them etc... Presuming they are extreme, it may be of interest to debrief yourself on how many times a bar does a XO of your B/A entry pair over the course of the 5M interval. There is a limit to how many times this can happen within a 5M increment. If it helps, debrief a couple dozen sets of extreme bars so that you can get calibrated and work out the XO frequency distribution, after how many attempts you should call a wash and exit the bar... See if this tells you anything. I have to start refraining from recommendations since I see that I already have heavily biased this thread which isn't even mine to begin with...
The ACC.DIST is just about ready to go but it's not entirely clear if this would make any sense to anybody since it is an ultra fine measure and is best used with a DOM chart... It appears, I have already killed enough of everyone's CPU processing capacity...
Maybe I should rethink of a better layout for it...
Regards,
MAK
CIRCLE FOMC MAY 10... DAN, you will see the same thing happening again and this time you should be acting instead of reacting.
Personally, when I run my IF1/IF2 on these fast bars, I go over to the spread sheet and highlight the BID/ASK pair that I get filled on and use those points for my IF1/IF2 reference points. It is a personal preference and not a right/wrong thing. However, my reasons should be evident with the cardinal rule of ANTI-DRAWDOWN.
If you are also looking at the YM/INDU FUTURES/CASH STR.SQU, you can data gather the strength of the direction by analyzing the magnitude of the offset. I recognize how some of you are uncomfortable with the FUTURES/CASH STR.SQU and as a result, I am hauling to determine the explicit yield curve that the smart money folks are directly monitoring. Evidently, this RT yield curve underpins a vast myriad of different instruments and as usual, there is a very broad level benefit to monitoring it in RT for reasons beyond this isolated instrument. In any event, the magnitude of the FUTURES/CASH offset is one of the greatest ES momentum indicators I know of. When you see the ES swiftly translating, you will see the FUTURES/CASH at relatively larger offsets. I will presume that this is just stuff folks have not picked up on yet. It may be one of the downsides to not developing one's own tool. DEBRIEFING should be covering these bases. But then again, I have thoroughly thought through many of these items and hence they have long been default knowns for me.
Additionally, some folks have issues with bars going against them etc... Presuming they are extreme, it may be of interest to debrief yourself on how many times a bar does a XO of your B/A entry pair over the course of the 5M interval. There is a limit to how many times this can happen within a 5M increment. If it helps, debrief a couple dozen sets of extreme bars so that you can get calibrated and work out the XO frequency distribution, after how many attempts you should call a wash and exit the bar... See if this tells you anything. I have to start refraining from recommendations since I see that I already have heavily biased this thread which isn't even mine to begin with...
The ACC.DIST is just about ready to go but it's not entirely clear if this would make any sense to anybody since it is an ultra fine measure and is best used with a DOM chart... It appears, I have already killed enough of everyone's CPU processing capacity...
Maybe I should rethink of a better layout for it...
Regards,
MAK
XO = crossover
Or, take your pick: Hugs and Kisses, ...
http://www.acronymfinder.com/af-query.asp?Acronym=xo&string=exact
Or, take your pick: Hugs and Kisses, ...
http://www.acronymfinder.com/af-query.asp?Acronym=xo&string=exact
Hi - I have followed JH's posts here, and elsewhere, for some time (off & on), and have been lurking on this thread since it started.
One thing that I've never understood (piece of the jigsaw I've missed) is IF1/IF2. I associate it with protective action in a SCT trade, but that's as much as I can say.
If someone could post a brief explanation of the term I'd be very grateful.
Thanks,
1c
One thing that I've never understood (piece of the jigsaw I've missed) is IF1/IF2. I associate it with protective action in a SCT trade, but that's as much as I can say.
If someone could post a brief explanation of the term I'd be very grateful.
Thanks,
1c
Check Jack's posts on Forums âºâº Technically Speaking âºâº Technical Analysis âºâº Sexy Idea...
Thanks for the help - the if1/2 rules are3 now clear to me.
I have reread the thread you linked to cn and will do so again.
APA - In one of his posts JH says that APA consists of reversing if the price goes against your entry, within the duration of the entry bar, then go back to IF1/2 - i.e. do not apply APA consequetively. This seems clear, but in another post he suggests going to a lower fractal in association with APA.
If anyone can clarify this for me it would - again - be appreciated.
Thanks,
1c
I have reread the thread you linked to cn and will do so again.
APA - In one of his posts JH says that APA consists of reversing if the price goes against your entry, within the duration of the entry bar, then go back to IF1/2 - i.e. do not apply APA consequetively. This seems clear, but in another post he suggests going to a lower fractal in association with APA.
If anyone can clarify this for me it would - again - be appreciated.
Thanks,
1c
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