Spydertrader's Jack Hershey Futures Trading Journal

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Quote from Spydertrader:

Stretch / Squeeze

((YM07M -INDU) -'offset')

Several methods exist for calculating the 'offset' value. ..
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Can I use a 10 min period moving average as my offset? eg.

MA(CashPrice - FuturePrice, 10);
 
Quote from ericta:

Can I use a 10 min period moving average as my offset? eg.

MA(CashPrice - FuturePrice, 10);
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You calculate the offset by subtracting the the value of the cash Dow at its close from the value of the YM at the 15:58 bar close. The resulting value may have to be adjusted further in order to achieve a true "zeroing out" of the S/S.

There is more detailed information on this process in the Journal.
 
Quote from guavaman:

You calculate the offset by subtracting the the value of the cash Dow at its close from the value of the YM at the 15:58 bar close. The resulting value may have to be adjusted further in order to achieve a true "zeroing out" of the S/S.

There is more detailed information on this process in the Journal.
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Thank you quavaman.
 
I was just having my Sunday morning coffee and looking over some of Spyder's charts and saw what I thought was a perfect example to illustrate the difference between what a Price-Only trader might be thinking, versus a what Price & Gaussian Volume trader probably should be thinking during this particular sequence.

I'm referring to Spyder's 07-18-07 chart between 13:30 to 14:15. I don't know how to post a snippet, so I'll just give a link to the chart.

http://elitetrader.com/vb/attachment.php?postid=1536114


Price-Only:

The 13:55 bar brings price back above the green RTL. The next two black bars ride up the RTL and then form a DT. During the 14:10 bar, price broke out above the DT. At this point, Price-Only traders might be thinking, "Ok, price is back in the green up channel and is now breaking above the DT, time to go Long." That thought process would've led to a losing trade.

Price & Gaussian Volume:

The 13:45 & 13:50 red bars gave a trader two things, a FTT and R2R volume. The 14:00 & 14:05 black bars gave decreasing volume. These facts let the Price & G. Volume trader know in advance, not to be suckered into that breakout of the DT. What he probably should be thinking is "Ok, we've had a FTT, R2R volume and now we're having decreasing non-dom black volume. I'm now looking for my point 3 Down channel to go Short, and no way do I want to think right now, about going Long". This led to the correct course of action.
 
Quote from ericta:

does anyone still have the file?

Thanks
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Don't know what date that one is but I have one from 4/25/07.
PM me and I'll try to get it to you. It's 173 MB.
 
Quote from guavaman:

brutal...brutal...freakin brutal day. For me anyway :(

Also, can someone explain what the 11:35 bar was. Volume levels sure make it look like a flaw to moi.
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Gman, don't get stuck on making this a set of mechanical rules that must be followed to the nth degree. Volume for flaws is a guide.

Any way you slice it, the 11:35 bar is a trip back to the RTL. The "trip" occurred on decreasing volume, which is exactly what you need to see after the FTT.

Any behavior on your part, beyond accurate observation, will be painful and unproductive. I can categorically state this from experience:) Don't try and make it harder, more complicated, or more meaningful. It just is what it is, even if part of you would like it to be something else.
 
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