# A volume indicator for long term stock index futures



## AMR (2 June 2008)

The daytraders of the stock index futures are rolling it in right now with the huge volatility and intra-day ranges, however this won't last. With that view in mind I'm developing a trend following long term futures strategy. There are a few indicators I'm struggling to place however.

1. A replacement for a stock volume indicator. OBV and Accumulation/distribution are very commonly used for shares. They don't seem to produce any divergences from the few indices I've flicked through. Do they actually work for indices?

If not, does anyone have any experience setting up a "Composite OBV" indicator like Brett Steenbarger's "Money Flow" indicator? Any software with this indicator?

2. New High/New Low indicators. Are there any websites that produce this indicator for non-US indices such as the DAX and the ASX200/SPI?

3. Will a futures provider automatically roll your contract over to the next one, or will you have to do it manually? If so, is there a quick process to minimise slippage?

cheers
AMR


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## Trembling Hand (4 June 2008)

AMR said:


> The daytraders of the stock index futures are rolling it in right now with the huge volatility and intra-day ranges,




Not true its a zero sum game.


AMR said:


> however this won't last. With that view in mind I'm developing a trend following long term futures strategy.




Why not?


AMR said:


> 1. A replacement for a stock volume indicator. OBV and Accumulation/distribution are very commonly used for shares. They don't seem to produce any divergences from the few indices I've flicked through. Do they actually work for indices?



 Do they really work for Stocks? And if so then they will/should work for Futures.


AMR said:


> If not, does anyone have any experience setting up a "Composite OBV" indicator like Brett Steenbarger's "Money Flow" indicator? Any software with this indicator?



Do it yourself with what ever data you can get.


AMR said:


> 2. New High/New Low indicators. Are there any websites that produce this indicator for non-US indices such as the DAX and the ASX200/SPI?




Same. I run a query on EOD data I have to get these figures.



AMR said:


> 3. Will a futures provider automatically roll your contract over to the next one, or will you have to do it manually? If so, is there a quick process to minimise slippage?




NO & yes depends on broker and instrument. Rollover price is set by the market can be anything at any time.


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## rub92me (12 June 2008)

AMR said:


> The daytraders of the stock index futures are rolling it in right now with the huge volatility and intra-day ranges, however this won't last. With that view in mind I'm developing a trend following long term futures strategy. There are a few indicators I'm struggling to place however.
> 
> 1. A replacement for a stock volume indicator. OBV and Accumulation/distribution are very commonly used for shares. They don't seem to produce any divergences from the few indices I've flicked through. Do they actually work for indices?
> 
> ...



On 1) and 2) Like Trembling Hand I've created the indicators I want to use (like Bullish %, Volume patterns and New High/New Low) in Amibroker using the composite functions based on the EOD data of the constituents of the index I want to trade.


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