art, its unbelievable this kind of thing happens. nice free markets. amazingly, if this happened elsewhere it would be considered fraud (ie in accounting, corporate america, etc). maybe its cheaper to just fake the prices than having to actually do the work of buying the S&Ps to get them there. as always, nice work + keep up the posts!
art, i enjoy your work -> quick question -> how do you handle contract rollovers in your calulations? thanks.
Here are my futures biases for tomorrow, November 2. A "1" means bullish bias. A "-1" means bearish bias. The total is the sum of biases. A positive sum will be long (L) bias. A negative sum will be a short (S) bias. A sum of zero will be a neutral (0) bias.
empee wrote thank you empee. someday maybe i'll thoroughly comprehend this whole scam. i'll surely pass on the knowledge, (and then probably offer my services to the top think tanks in govennment and science )
jonnysharp wrote good question. if i'm in an inter-day trade that has stops triggering off recent prices, i just move the stops the same number of points up or down as the difference of the two months. as for how i actually get out of the trades--sometimes more gracefully than others. i'll allow myself to stay in a previous month two or three days longer than normal if there's a reasonable chance that flip or stop points will get hit. (thereby either cleaning the slate, or enabling me to flip into the new month). barring such opportunities, i "deftly" try to get flat first and then enter the new side--hopefully quickly without giving up more than a tick or two. it used to be easier when trade station had a spread function.
Art For the T-Bonds in backtesting what date did you roll from sep05 to dec05 and how much was the adjusted amount? Were all the prior contracts also adjusted? Good thread Thanks Bnun
bunun 12 wrote i'm sorry bnun, i didn't keep a record. whenever i do flip, i flip the whole field since all the biases are relative to one another. there are no absolute signals, such as "if the bonds get above 13000." so on the day the dec became active (usually the end of the previous month for bonds--august in this case), i just turned the whole fiield into dec. within a trade station window.
Here are my futures biases for November 3. A "1" means bullish bias. A "-1" means bearish bias. The total is the sum of biases. A positive sum will be long (L) bias. A negative sum will be a short (S) bias. A sum of zero will be a neutral (0) bias.
Here are my futures biases for November 4. A "1" means bullish bias. A "-1" means bearish bias. The total is the sum of biases. A positive sum will be long (L) bias. A negative sum will be a short (S) bias. A sum of zero will be a neutral (0) bias.