I didn't trade while I was in Japan because my mobile phone wasn't receiving the text messages I needed to log in to my trading account. When I got back to Australia I dithered about getting back in for a couple of days, missing a nice rally. Then this morning I decided to make the plunge (on the long side) and 2 hours later I was stopped out. Apparently there is negative news on US tariffs on trade with China.
After the cash market closes at 4pm New York time, the stock index futures trade for another hour before closing for one hour. The futures closing price can, therefore, be quite different to the index closing price. This was the case today where the futures plunged around 30 points in the last ten minutes of the futures trading session. Using the index data for the 4pm close, my model said to stay long. However, if we had knocked 30 NASDAQ points off to reflect the futures closing price, it would have switched to short. So, I think I need to get historical futures data and re-estimate my model with these. I should be able to get these from Quandl. An additional advantage of using futures prices is that I can do the analysis one hour later - currently from 7am Australian Eastern time rather than 6am Australian Eastern time. The futures market then shuts for an hour and reopens at 6pm New York time or 8am Australian time.
However, on Saturday morning the futures market closes at Friday 5pm New York time and then doesn't reopen till Monday morning at 8am in Australia. So, I will need to do the analysis with index closing data before 7am on Saturdays unless I want to get stuck in possibly the wrong direction over the weekend.
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