Forecasting Futures Movement by In Gyu Koh and Sung Soon Lee
A Daytrading Method Second To None
Forecasting Futures Movement
Is it possible to chase two rabbits at once? This intraday
technique combines direction of price movement and timing
of your entries and exits.
IN trading, two variables to consider are direction of price
movement and the timing of your entries and exits.
Most of the time you canít catch them both at the same
time ó itís usually one or the other. In this article we show you how you can. We will discuss when and in which
direction futures prices will move during an intraday period.
Empirically, we have found that when the 90-minute
historical volatility goes below the 80% level of the 180-
minute historical volatility, price tends to change drastically.
At that point, the price is apt to increase if the 75-minute
moving average of implied volatility is higher than the 165-
minute moving average.
Historical volatility (HV) is a powerful barometer of the
drastic change of the underlying asset. If the value of HV is
below normal, rapid changes can happen within a minute.
However, historical volatility by itself does not tell us anything
about the direction of the underlying assetís movement.
Though many indicators claim to show direction and timing,
they are not sufficient by themselves. This is because one
indicator provides only one clue. You need at least two
indicators to provide two independent clues. Here we will
show you how you can get information for two clues using
two indicators ó historical volatility (HV) and implied