Rolling & TA

[DionysusToast]

All

ES 09-12 is currently 1449.25
ES 12-12 is currently 1442.75

Tomorrow - more than likely, the majority will be on the 12-12 contract.

How will you make up for that difference in your trading?

1450.75 is the high but if you roll over, the high will be 7 points lower.

How do you account for this in your analysis?
How do you account for this in your rationale for taking a trade?

For instance, if you see your analysis as identifying major points that people previously bought/sold (and will do again) - should you use the 09-12 values because those are the actual prices they bought & sold ?

OR would people remember the adjusted prices they bought & sold somehow?

Do you use the 12-12 contract to identify prior points of support & resistance even though they weren't the places where people bought & sold?

 

[natureboy]

oh. oh. rollover

 

[chinabean]

A continuation chart is your friend

p.s. I use active contiuation charts in CQG as opposed to standard continuation charts. For info on how to construct these google will be your 2nd friend. Don't forget as well that there is generally an underlying product that can be utilised as well, particularly if we're taking stocks as well as their related indices.

 

[DionysusToast]

No-one rolls then?

 

[natureboy]

not i

 

[scose-no-doubt]

12/12 prices all day. Non arb innit.

I've always wondered how this works for the spread bet pricing though...

 

[chinabean]

erm i answered your question!!

 

[chinabean]

ok i felt guilty for not expanding on how to properly use contiuation charts. I use CQG so not sure what charting package you're using will call continuation charts or their 2 basic forms. For support and resistance purely, you will get a better (more accurate) read if you simply use the existing highs and lows etc and apply to the new contract. Hence in your example, the high of 1450.5 (higher than that now eh) will be your level for the new contract.

I generally do not use support and resistance so much but I do look at trends, therefore, I use active continuation charts, I think they are known as adjusted continuation charts. CQG's is a bit more sophisticated and so adjusts the chart as the volume starts to roll or something along those lines. Anyway, the basic form of an adjusted continuation chart is when you have your final SP of the expiring contract, you adjust up/down all prices by the gap between the 2 contracts to give you a smoothed price series.

Hope that helps.

 

[DionysusToast]

I use continuous contracts on I/RT too - that's not my point though...

When you roll - all the points of support & resistance move.

So - what is the rationale for those price points still being support & resistance?

 

[rawrschach]

I don't have a rationale but from experience the S/R from whichever contract was active in the past stay relevant. I tried trading using prices from non cont charts and consistently lost.

I don't look at what the contract was doing prior to the week or so before it becomes the 'main' contract.

 

[chinabean]

sorry just re-read my post, I missed out the most vital bit of it.....oops! so a simple continuation chart will use the existing support and resistance lines. The rationale being those are the prices that traded. Hence, when a future hits an all-time high, that is not an adjusted all-time high, it is basis the actual real level that was previously reached.

Adjusted continuation charts will give you inaccurate support and resistance lines. But accurate trendlines, MAs etc.

Hope that makes it a bit clearer.