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YMH2, (3, -1) formula, 1.618% Stretch, 3 Jan 2012


Hi,
3 January 2012, Basis intra-day trading YMH2 (March $5 Dow futures) with the (3, -1) formula strategy from the opening (huge gap up making unchanged an un-realistic level to trade from), +202 gap up opening + 1.618% Stretch = 12352 + 64 = 12416 (12415 = high),... i.e., (-1) of (3, -1). The (3) of (3, -1) was not achieved despite a sell off from the high to the settlement, 12324, ... 12416 - 40 - 40 = 12336 (12322 = low). Today was the narrowest range in five trading sessions, a 93 point range, which is less than half December's 196 point average daily range. I'm looking to fade the first move higher 4 January, and projecting a price target near 12252 - 12222. Rational: 12324 + Stretch or 12324 + 1.618% Stretch = trade to fade first price move - ( Stretch) - (Stretch) - (Stretch) = 12324 + 40 or 12324 + 64 less (40 x 3) ... (12252 - 12222 area). [Note: Basis the 3 January YMH2 (March $5 Dow futures) intra-day trading applications for the (3, -1) formula strategy, ... fading the open + 1.618% Stretch = 12352 + 64 = 12416 which is the (-1) of (3, -1). The (3) of (3, -1) formula measures lower ... 12416 - 40 - 40 - 40 = 12296 minimum low price target. As of 4 January maintenance, YMH2 last print was 12350 +12.

Bottom line, fading the open + 1.618% Stretch was one point above the high. That's within one tick, $5, of the high. Therefore, (-1) of (3, -1) was achieved basis the normal guidelines of my [YMH2, (3, -1) formula, Stretch strategies]. However, this the first trading day of the year was a very narrow range with a settlement two ticks above the low. The (3) of (3, -1) was not achieved, i.e., 12416 - 40 - 40 - 40 = 12296 (12322 = low). Nonetheless, shorting at the open + the Stretch = 12352 + 40 = 12392 produced a profit as of the 3 January settlement (13:15PDT), 12324. 12392 - 12324 = 68 points = $340 profit per contract = +68% basis $500 intra-day margin for the March e-mini $5 Dow futures (YMH2).
Namaste