Unfortunately HFT's have really distorted the volume landscape. Also since the retail investor left the market, it makes it even harder to judge what's going on inside the opening range. Honestly I think a better tell on volume is the period between 9:00 and 10:00 central time. It seems if a move is going to happen, it's going to happen AFTER the OR and that is where you want to see volume. If the volume is lower then average after the OR is established, it's probably going to be a chop fest.
ChaosN, this seems to be the book that gets recommended the most for pair trading: http://www.amazon.com/Pairs-Trading...0672/ref=sr_1_1?ie=UTF8&qid=1330580446&sr=8-1 I can't help you on the programming front.
agreed...great thread always finding bits of info to think over...mav with regards to the numberline ....what is the main difference between rolling and resetting?
The purpose of the monthly number line is to be able to make a side by side comparison of the monthly A levels relative to the monthly number line. The 5 day rolling is used more for short term momentum. See in the past I found it difficult to catch market turns when the number line got up to plus 25 or something crazy. Even Fisher himself didn't have a way to determine when a product was getting weak. All he said in his book is if you have a large number and suddenly it starts dropping rapidly, get out! Well, I didn't know how exactly to "quantify" dropping rapidly. So to me, the 5 day rolling solves that problem. Another way to think of it, the longer term number line is good for identifying the trend and the 5 day is good for entries and exists.
Thanks. I have another question for you or anyone else who cares to chime in. Can anyone recommend ways to identify the best leading stocks to keep tabs on? Just wondering if there's something I'm not thinking of, or any good sites I could utilize. Or if it's better to stick with sector ETF's/bonds/currencies and not follow individual stocks please say so. FYI my objective is index trading, and currently I keep tabs on a number of sector specific ETF's as well as what I consider to be leading stocks (such as AAPL of late).
here is my little tip for today. If you have think or swim which is part of TD Ameritrade you can eyeball scan the mkt very quickly, enclosed is a pick of the sp100, you can see in 2 seconds that GS is up big today. I am generally platform agnostic but this is a good tool to see quickly the relative strength of an index, good trading.