Actually, it's pretty easy to avoid lunch. News is a little harder but doable. I've been working on a database of trading holidays and news releases so if I wanted to have a strategy that doesn't trade on trading holidays, options expiration, etc, and it wants to avoid trading X mins before/after a news event then we could. However the trick is which news events do you want to avoid? That can vary: last year the jobs reports were very impactful on the market but from Oct to April the market didn't seem to care so that is hard to backtest unless you know how to quantify sentiment.
This is great news!! For CL any high priority news as ranked by the Economic news indicator and oil and gas report. Of course special days.....such as tomorrow FOMC and options X should be considered also.
Just to give you an update... I was able to import the NT7 version of ReversalV6 into my NT7. However, I had to extract the CS file from the zip folder and then put that CS file into my indicator folder and then compile the indicator. I wasn't able to use the File - Utilities - Import Ninjascript function. Just an FYI as others may have this issue.
BTW... if anyone using NT7 whose chart looks like Jeff's can post an NT7 chart template in this thread, I would appreciate it. I'm having a hard time getting my chart to look like Jeff's chart for comparisons.
Also, currencies drive the price of oil since oil is priced in dollars, so if the dollar is tanking then so is oil. Has anybody done any correlation research between dollar index/currency pairs vs the price of oil? I've always wanted to build a dollar/oil tracking ratio and look for large deviations from their correlation and how to trade that, ie, if the dollar is strengthening and oil is not we should either short the dollar, buy oil, or both. I'm sure a bunch of hedgies are already doing this sort of statistical arbitrage.
Here's today's 6:00 - 11:30am session for CL and 6E side-by-side, can you tell me which is which? And which one leads which?
Last edited by shodson; June 22nd, 2010 at 06:40 PM.