Depends upon what you want to do: for intraday trading/backtesting the non-adjusted contract is ok. As long as you do not analyze gaps in your system, use MAs spanning several days etc.
Problems arise when you want to test/analyze position trading. You would have to include a rollover of your contracts when you hold positions over the last trading day of a contract. I'm not aware of a software which does this automatically.
Another problem arises from the use of Volume Profiles. Though contracts start to trade long before they become the front month the volume traded is very thin so as not to allow to apply volume profiles. That's why I use the back-adjusted contract. Prices are adjusted to the new contract and the volume traded at (old) levels is used to analyze the new contract.
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If there's a pullback during the next few days, what is a key support line, around 143,70?
Regarding the stocks, I detected that an "inverse wedge" has developed in the ESTX50 during this month. Since 5th of Feb. FESX has had higher highs AND lower lows - and especially yesterday, it had them both at the same day - very unusual.
Last Feb-March was a same pattern which eventually ended into a break-down.
If yesterday brought about some new uncertainty, then the "inverse wedge" could be complete and a break-down is about to happen. Huh?
Above average volume but below average range. An up day.
Market started to move up on very high volume immediately after the open - for half an hour. Then dropped to make its LoD of 144.43 at 09:30 CET. From here it rose, but stayed within the range of the first 30 minutes and traded sideways till 17:00 CET when it broke out of the range to the up side. HoD of 145.13 made at 19:30. Then dropping till the close.
Today's HoD is new high of the year.
The 5-day volume profiles still show support levels only.
Six levels of Support
• 143.50 (PoC)
The daily chart shows that the market poked its nose into the gap made at the very start of the year.
The daily volume profile shows a two-node profile: one around the PoC of 144.65 and one around 144.97, made after cash market close. Without this one it would be a balanced profile.
Stock markets made new lows intraday, but finished the day slightly in the green. The US reports have been positive and stock markets look like they have found a bottom. Though the Fiscal Cliff is coming nearer.
The 5-volume profile and the composite profiles show a range of thinly traded volume between 143.78 and 144.47.
Next level up is 145.55, just shy of the next unbroken PoC of 145.69.
Treasuries and Bunds dropped after the solid 5-Yr Note auction at 19:00 CET (=13:00 EST). The drop in the bund was on high volume, that is high volume for this time of day. This up- and down swing after cash market close looks a bit strange. Else I would have said that the follow-through buying during the first half hour showed that buying has been exhausted.
Assuming the recovery in the stock markets continues I see a good chance for a pullback tomorrow. How far? Maybe well into this thinly traded area mentioned above.
If the worries in the stock markets (and especially in Europe) continue then the bund will continue to rise. Closing that gap from year's start and making new highs will then be no problem.
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The first 15' of the future session shows some reactive Sellers that may form a selling tail.
On the daily graph, 144.07, former top of January 24th and the upper hedge of the cloud (143.70) are intersting points would the market retrace, particularly the latter, being also close to the main 5 days profile node.
POC of the week is at 44.65 for the time being, with major volume at 144.73. The 144.65-73 area could attract the prices in the case of a retracement.
Last edited by MARS; February 27th, 2013 at 02:23 AM.
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