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Strategies & Market Trends : Daytrading stocks and futures

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To: okavango who wrote (1183)	12/21/2006 9:11:47 AM
From: Rarebird	Read Replies (3) of 5884

>>Buy $VLE futures and sell equal $amt of S&P futures on today's close. Close the trade 9 Jan, or closest to it. Profitable in last 21 of 23 yrs, w/ last yr most profitable ever. No directional bias, just small-cap outperformance. You could probably replace $VLE w/ $RUT futures<< You can use the March 2007 S@P 500 e-mini and the March 2007 Russell 2K e-mini spread as a Bull/Bear Market indicator. It consists of one contract long the S@P 500 e-mini and one contract short the Russell 2k e-mini. A rise in price in the spread corresponds to weakness in the broad market, usually a time when the whole market declines. And, in reverse, a decline in the price of the spread corresponds to a rally in the market. On Monday, for instance, the spread rose sharply as the broad market was far weaker than the blue chips. Tuesday's sideways pattern saw a recovery in the broad market. On Wednesday, a role reversal occurred. This role reversal had the Russell 2000 outperforming the blue chips. The only thing that's clear is that there is no real, lasting market leadership now and that the pattern in the Russell -- a contracting triangle -- certainly still fits the personality of this market: indecisive and trendless. Since the long side (of the spread) has a point value of $50 and the short side a point value of $100, you have to use contract values (if you want) to chart the spread (I just intuit the spread in my mind) and cannot use a simple point difference between the sides as most charting programs do. The Russell 2K may have found some support on Tuesday. The recent weakness in the Russell 2000 could very well be investors selling to take losses in losing stocks in order to offset winners they have taken profits on. This is typically done at this time of year and will temporarily depress the small stocks. The January Effect comes about because investors buy stocks which had been depressed by tax selling in December. Are you not playing the January effect here too?

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