Spydertrader's Jack Hershey Futures Trading Journal

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FWIW I took STR/SQU off my screen months ago, I never found any use for it based on how I see the market. Just because the tool is there doesnt necessarily mean you have to use it, but to each his own.
 
bi9,

I would ask what made you look at STR/SQU during this time period? If it was a "nice run up," I would think ES/YM/PRV would provide sufficiency. We are not at an RTL or LTL, but rather in the midst of a sweet, sweet traverse.

Though I too am curious why we would get SQU during this period.

edit: i have not compared your data though, as I am not at my PC.
 
Quote from Pr0crast:

bi9,

I would ask what made you look at STR/SQU during this time period?

For some reason, the fact that all I got was a SQU caught my eye. I was kind of surprised and made a note to review it.
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Though I too am curious why we would get SQU during this period.
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I am curious too. Hence the reason why I posted this.
 
Quote from Pr0crast:

bi9,

I would ask what made you look at STR/SQU during this time period? If it was a "nice run up," I would think ES/YM/PRV would provide sufficiency. We are not at an RTL or LTL, but rather in the midst of a sweet, sweet traverse.

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I would just mention this, the YM made a series of Volatility exapansions, doesn't that mean it is continuously at the LTL?
 
Quote from Steve Tvardek:

FWIW I took STR/SQU off my screen months ago, I never found any use for it based on how I see the market. Just because the tool is there doesnt necessarily mean you have to use it, but to each his own.
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Yes Steve, I have not relied on STR/SQU for a while because of what I perceived as it signaling the opposite direction of the next move. I used to check it when the YM is a trend lines. I regard this probably as user error on my part until proved otherwise.

But I record my desktop with all the tools so that they are all available for me to review anytime I want.
 
Quote from bi9foot:


I am curious too. Hence the reason why I posted this.
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There are a couple of internal issues with STR/SQU. This is one of the reasons why I am a staunch advocate of understanding the tools that you choose for data. If you carefully unravel what STR/SQU is, you will find that it is an arbitrage indicator. The underpinning of the futures arbitrage mechanism is the yield curve. For me, when I debriefed such areas that has been pointed out, I found that that the fair value varies slightly throughout the day. Some days virtually no variation while other days marginal to even extreme variations. On days like FOMC, the volatility spikes PRECISELY when the yield curve spikes due to FED RATE announcements which makes logical sense. The spike in the yield curve triggers the arbitrage programs to also spike as an attempt to profit from the imbalance as the yield curve moves. The math is a fair bit more complicated than PRV and requires bootstrapping of the yield curve along several cash/eurodollar/swaps datapoints. The shortcut is to simply reset your offset when necessary. My rule is to reset the STR/SQU offset whenever I see a flaw on STR/SQU. For me, a STR/SQU FLAW is when I see a STR > +3 sticking (ie. sustained for several seconds) without an ES UP TICK on a DOM CHART or a SQU < -3 sticking (ie. sustained for several seconds) without an ES DOWN TICK on a DOM CHART. I reset STR/SQU by adjusting the FAIR VALUE to NEUTRALIZE the current STR/SQU since it did not result in price CHANGING.

Regards,
MAK
 
Quote from makosgu:
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Thanks MAK for sharing your thoughts. I went through my Tick data from IQFeed for INDU, YM and ES and reconstructed the STR/SQU. Sure enough I find the flaw you are referring just 5 mins before the nice price run.

I will replay that period of time to see if STR/SQU made more sense with the new adjusted offset.
<img src="http://www.elitetrader.com/vb/attachment.php?s=&postid=1620722">
 

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