The high SP premium at 9:04 cst was predictive of a return to the price associated with the high of that bar. 1478.25 That fact was good reason to go long on the pull back until the spoos return to 1478.25 which they did at 13:40 cst.
Is there any reason why one can't simply subtract the price of the cash from the price of the futures on a one minute bar (or a one second bar, I suppose) and, presto, there's your prem? What am I missing here? Thanks....
The points you make are highly interesting - however, I can't read your charts unfortunately - too much compressed. Would you please repat 1 or 2 examples with less data in order to see the HIs or LOs of the PREMs? Thanks for caring. Charly