The ACD Method
- Thread starter sbrowne126
- Start date
More 4's today in the Sectors than usual.
Weekly A Ups: OIH, XLE, XLU
A number of weekly A Downs due to gaps (with many of those making daily A Ups).
SLX however earned its weekly A Down.
Weekly A Ups: OIH, XLE, XLU
A number of weekly A Downs due to gaps (with many of those making daily A Ups).
SLX however earned its weekly A Down.
There were 16 A Ups today and of those the following also had 52 weeks highs: CRK, CWEI, GAS, KNX, PEG, PES, RNR. (KO and MCD also had monthly A Ups today.)
But, there were 102 monthly A Downs and the monthly is at -1070 and 30 day at -980. Glancing back over time these are really high negative numbers.
But, there were 102 monthly A Downs and the monthly is at -1070 and 30 day at -980. Glancing back over time these are really high negative numbers.
Robert, you are doing interesting research. As you look at the history of your data, do the high numbers act as a reinforcement of the current trend or does it indicate a lopsided situation where a contrarian position becomes preferable?
Thanks, John
Number lines were muted today.
TLT has had strong number lines since the first of the year. The 30 day has been plus 10 since 3/21/14. I keep waiting for it to crap out but the numbers stay strong.
XLU has had good numbers, for it, since the first of the year. Also low Mav Volatility numbers.
XLV has been weak since early March and continues in that direction. It had a failed weekly A up today and made a monthly A down on the 8th.
XLY has also been weak and made a failed weekly A up today.
TLT has had strong number lines since the first of the year. The 30 day has been plus 10 since 3/21/14. I keep waiting for it to crap out but the numbers stay strong.
XLU has had good numbers, for it, since the first of the year. Also low Mav Volatility numbers.
XLV has been weak since early March and continues in that direction. It had a failed weekly A up today and made a monthly A down on the 8th.
XLY has also been weak and made a failed weekly A up today.
Mav, can you take a look look at this qn
----------------------------------------------------------
- Assume product is Heating Oil or anything energy related for this discussion: seasonal demand, volatile.
- Expect average price to rise over next 4 years (til 2018). Although may want to cover any time
- Let's confine this to futures strats only, no options
- Calendar 12 mth Strips are to reduce seasonal volatility & isolated adverse events
- Calendar years are in backwardation (2015 12 mth strip avg price > 2016 avg price > 2017 avg price...)
Options:
1/ Buy calendar 2018 12 mth strip
Volume is non existent for outrights this far out
2/ Buy calendars 2015, 2016, 2017, 2018
Volume non existent for back years, wide bid-ask
3/ Buy calendar 2018 12 mth strip, Sell calendar 2015 12 mth strip
Replicate with 12 calendar spreads
4/ Buy select 4 mths: Mar/Jun/Sep/Dec 2018
Abbreviated variation to 12 mth calendar strip
5/ Buy select 4 months: Mar/Jun/Sep/Dec 2018, Sell Mar/Jun/Sep/Dec 2015
Abbreviated variation
Replicate with 4 calendar spreads
6/ Buy nearby calendar 12 mth strip (May 14 to April 15)...keep on rolling nearby mth forward
Before expiry, Sell Apr 14/Buy May 15 (sell calendar spread) and so on...keep on doing it if price is rising...
etc..
Thoughts on how you would do it & why?
----------------------------------------------------------
- Assume product is Heating Oil or anything energy related for this discussion: seasonal demand, volatile.
- Expect average price to rise over next 4 years (til 2018). Although may want to cover any time
- Let's confine this to futures strats only, no options
- Calendar 12 mth Strips are to reduce seasonal volatility & isolated adverse events
- Calendar years are in backwardation (2015 12 mth strip avg price > 2016 avg price > 2017 avg price...)
Options:
1/ Buy calendar 2018 12 mth strip
Volume is non existent for outrights this far out
2/ Buy calendars 2015, 2016, 2017, 2018
Volume non existent for back years, wide bid-ask
3/ Buy calendar 2018 12 mth strip, Sell calendar 2015 12 mth strip
Replicate with 12 calendar spreads
4/ Buy select 4 mths: Mar/Jun/Sep/Dec 2018
Abbreviated variation to 12 mth calendar strip
5/ Buy select 4 months: Mar/Jun/Sep/Dec 2018, Sell Mar/Jun/Sep/Dec 2015
Abbreviated variation
Replicate with 4 calendar spreads
6/ Buy nearby calendar 12 mth strip (May 14 to April 15)...keep on rolling nearby mth forward
Before expiry, Sell Apr 14/Buy May 15 (sell calendar spread) and so on...keep on doing it if price is rising...
etc..
Thoughts on how you would do it & why?
Probably none of the above. Calender strips are not really directional trades that far out. And in fact, if they become directional, it might be the other way. Second, I don't even know how one begins to try to ascertain a bullish view long term like that in anything energy related. Here is my suggestion and this is with very limited knowledge of what you are trying to do or express here. If you believe that any energy market is going to explode higher due to some shortage situation, my best advice is to buy premium. I know you said to leave options out of this, but we really can't here. Any extended move higher is going to increase vol across the board. I would just put a bid out there for some long term calender options whether it be in the futures or the ETFs. It may take a few days to get a fill but you'll get one.
