So the charting capabilities out there are very limited. This is mostly due to the fact that this market is much more emotional and fundementally driven. But when I started trading west coast products I made a concious decision that I would try to blend in some new school with the old school. Since I am so mathmatically and technically driven it was only natural for me to come up with a way to not only chart west coast products in a form that I am use to and prefer. But to also develop a way for determine if it is overbought or oversold. So the first thing I had to do was collect the data, which I have done for LA CARBOB (gasoline). The first thing I wanted to see was a candle stick chart for flat price (see below):
Although the majority of trading on the west coast is done by way of EFP...there is some trading that happens on a fixed price basis. But on this same note...because the market is almost all traded in EFP's I wanted a chart that would allow me to determine if the diffs were overbought or oversold and below is what I came up with:
So far the model that I fit to the data seems to work well. I still have plenty of work to do...but I just thought I would share what I have been working on.
So you've created your own charts in Excel by aggregating data?
ReplyDeleteYes that is exactly what I have done. It was actually a lot of work to go back and get the data. As with Futures the Physical spot market also rolls from month to month. So I had to go back into the editorial newsletters that we get to find those roll dates as I wanted my charts to be acurate. I went back about 48 months.
ReplyDeleteSo assuming your opponents have not gone to these lengths, you might have created an edge for yourself. Let me know if this turns in to something tangible where you're able to quantify it's value, that would be awesome.
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