The charting problem with futures contracts

Discussion in 'Index Futures' started by skippy, Jun 20, 2007.

  1. skippy


    Obviously, the continuous contracts are designed for bigger-picture charting, among other things, but I'm under the impression that such synthetic constructs take second place, for this purpose, to the charts of the cash indexes.

    So here's my question. Is it better to derive support/resistance levels, etc., from, say, the SPX, and then extrapolate these levels to the ES, than to work strictly from a continuous contract chart?

    If so, how does one determine the precise price equivalecies? I'm sure there's a better method than "ye old eyeball" and I'm sure I should know what it is, but I don't, hence the question.

    And, one last question. If one is looking for trade volume information -- which one gets with the continuous contract, with all its shortcomings, but does not with the cash index -- might one be well served using the SPYs?

    If so, again, how does one determine these price equivalencies? Is there a formula of some kind?

    Thanks in advance for anyone's help here...
  2. skippy


    Thanks. As for volume info, which SPX lacks...could one use SPYs instead?
  3. 1. Find your reason to trade on the SPX and execute in the futures [especially with longer term trendlines and S/R], and/or

    2. Chart the futures contract itself while it is the active... That is, now you should be tracking the SEP 07. However its support and resistance are relatively accurate for only the most recent few/several days, as the longer view is distorted by premium decay.

    3. While volume may be a valuable input for individual stocks, I stopped tracking it for market indices years ago. Suggest you do the same.
  4. skippy


    Oy. this is fascinating, once again exposing my seemingly bottomless well of ignorance. Ok...

    1) Pardon my French but, shit, premium decay. I forgot all about that, having relegated it to the nether world of options

    2) Are you saying you established long-term (and medium term, for that matter) support/resistance on the cash, then transfer (via the above-mentioned prem reconcilation) to the futures?

    3) You don't think volume matters where the futs are concerned?

    Thanks for your help with this.
  5. I too sometimes find it hard to test systems with the continuos contracts. eSignal and trade station give off different numbers on the YM. Perhaps I will use the DIA.