question formulating 5 day number line , lets say for for symbol NG: If you are looking to position risk/ trade 60 days out, when formulating number line are you using prompt month contract or using whatever contract is trading 60 days or so out ? Maybe August contract ? The last five days were all "0" number lines, except on day 4 this week dates of 05/01/2014 reads a "-2" ? Thanks
I don't know if I'd be using a 5 day for a trade that is 60 days out inthe futures. I guess it depends on which months, but you might not get the movement in the forward curve that you're expecting in the cash month.
I score number lines based on the most actively traded month. In the case of NG, that is typically the front month until volume shifts, in GC it is often not the front month. As for number line scores, it really all depends on the OR and A values you use. I've experimented with a few, perhaps you might like to try 10 minute, 20 minute, 30 minute and 45 minute ORs, and A values ranging from 10% - 25% of the 20 day ATR. If you don't want to expend the time scoring, at least plot the lines for a few days and see the difference that would make to how you would score it. It should be clear then that the score anyone comes up with is more a function of these choices than anything else. What to do then? I study for the various symbols how long it takes for things to settle after the open, and move beyond the A value. That to me is the decisive move, and what I want to score. A day trader might just settle for a 5 minute OR.
Thanks. I am using 45 min O.R will look at ATR suggestion as well I think I definite need to take time and score and get to know the 4-5 symbols using NG CL GC ES ..maybe ER
Anyone have thoughts on when to reset and start-over the rolling number lines? Each month? Each year? When the line began will effect what the current value is, even though the last 5 or 30 days scores are the same.
The number line rolls on the 5th or 30th or whatever sum you want ? So on the six day if you use 5 day rolling you eliminate the oldest and input latest to get new 5 day..
LOL, I don't know what I was thinking when I posted that. I've been through the entire thread, amassing pages of notes over the past week, so make my first post to the thread and it's a brain-fart question.
It wasn't that dumb of a question. There are times when its necessary to start a fresh new number line.