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stretch calculation and 24 hour OHLC ER2


First of all thank you for all the info you make readily available.

I was wondering if using the 24 hour OHLC for calculating the "stretch" of the ER2 contract is distorting. I am used to adding and subtracting the stretch to the 930am RTH opening range (I use the high and low of first minute, although Toby Crabel mentions first 30 seconds) for use during RTH. Your thoughts / comments would be appreciated. For instance, in a 24 hour timeframe what time period would define the opening range?
It's a good question and a tough one to answer.

Generally I agree with you that the stretch presented for the ER2 is distorting because of the nature of the data that is being used. One of the problems with the ER2 and YM is an undefined concept of RTH.

We are working to rectify this with higher precision data but not 30 second or 5 minute openings as you might read elsewhere.

Unfortunately I don't believe that I have ever tested the stretch concept in a back tester so cannot comment beyond this.

Today's stretch in the ER2, is 3.1. This is telling us that the 10 day Simple Moving Average for the difference between the open and nearest high/low is 3.1 points. It is my opinion that the 3.1 points above and below the open can be used as general support/resistance areas for trading the ER2. I would only do this if that area was supported with a cluster of other support/resistance lines which would strengthen the probability of the success of the trade due to crowd theory/popularity.