That is blatantly false. There are a few highly accurate leading indicators. One paramount leading indicator is the PREMIUM. If you are trading the ES, you need to know about this. There remains three Premium feeds. The SP prem, ES prem and Nasdaq prem. An excellent article on reading the Prem is found at http://ezinearticles.com/?expert=Rod_Kuusinen Leading doesn't necessarily mean leading by days but it can. It could also mean leading by hours or even minutes. On 5/6/09 the PREM hit a new low at 13:24 pm forecasting the spoos would go lower than 913.75. They did at 14:05 almost 30 minutes ahead of the market. On 5/6/09 the PREM hit another low at 14:57 forecasting the spoos would go lower than 912.50 and would do so the next day on 5/7/09 They did at 9:26 AM the following morning, giving the ES trader a huge reason to short the gap up which provided a potential 12 point profit on just that LEADING information alone. So dear traders, Yes there are leading indicators!!
Although I don't use it. It is probably useful. Personally though I wouldn't consider the spread between cash and futures an "indicator" in the traditional sense that most think in terms of, such as RSI, Stocks, MACD and the like. But that's just me.
Cutten, I assume sentiment is more usefull por intraday plays, is that correct? Also, when you say "Price", do you take into consideration S/R, figures, trend lines and other classical TA components?
Do the opposite of what MarketSurfer says to do. It's the best indicator ever. Money in the bank nearly every time.
Ahhh, but every tick bar represents a single point on the chart. You cannot measure tick bar length, unless you are measuring the spread at the time of the tick.
Another incredible example of how well the premium can predict where the market is heading is from 5/5/09 at 14:27 cst. The spoos were at 897.00. The SP Premium hit a huge low of -4.78, predicting the spoos would go lower than 897. Although the spoos rallied up to 904.50 at 18:27, by 21:13 they had tanked to 891. At no time since then has the premium gone lower. On 5/8/09 at 14:35 the spoos were back to 898. I dare say that in the coming week of May 11, 2009 you will see the ES break below 897 once again. Unrelated to the premium is another highly accurate leading indicator. While my timing could be off, as a matter of FACT you will see 894.25 in the days ahead. Why? GAPS! Gaps are leading indicators. If you were not tracking what happened on the last 25 tick bar prior to 2:01 AM cst on 5/6/09 you wouldn't know this. But something very predictive occurred, forecasting a return to 894.25. And for other reasons, its gonna get much worse!
$prem doesn't work well anymore. In the late 90's when things were priced in fractions, it was useful. Now, it really just shows what has already happened. There are real ways to detect program trading that the NYSE sells, but it costs a lot more than most bootstrap traders can afford. http://www.nyxdata.com/page/701