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© Copyright 2003-2004 by Commodity Systems Inc. (CSI). All rights are reserved.
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The CSI Team - At your service:
Andy, Betty, Bob, Debbie, Denise, Fran, Heather, Jason, Jeanean, Jose, Josh, Kathy, Ken, Kurt, Linda, Mike, Nassrin, Patti, Ron, Rosie, Rudi, Sabrina, Sean, Steven and Terry.
Topics discussed in this month's journal:
Should CSI Add Real-Time Analysis Services?
Valuable Indexes Now Available
Should CSI Add Real-Time Analysis Services?
This month's newsletter is prepared with the intent of canvassing your reaction to a proposed expansion of CSI's data services. We are contemplating taking our data delivery system to a finer level, adding to our end-of-day Unfair Advantage(R) hallmark the ability to execute timely analysis options through the CSI host computer. This new service would generate trading signals based upon trader-selected algorithms using intraday market data.
Ideally, our new system would accommodate customers who might wish to access general-use trading tools, such as market movement progress and the like, and also service analysts who would upload proprietary programs into our computer system for either exclusive use by the submitter or general use by all. We suggest real-time products that trigger signals to enter or exit the market on stops, objectives, or by virtue of specific situations. We would assist in the development of such products for operational purposes and certify that they will not produce computer faults that might slow our system here in Florida.
We are evaluating approaches that will support various trading methods over an extensive period into the past. CSI's daily data resources reach back to the mid 20th century and we are investigating intraday historical data for a shorter time period. All systems and approaches can therefore be certified for use based upon trading and econometric data provided.
We anticipate that this new service would be competitively priced, and could even be an economical alternative to the "free" data provided in conjunction with various brokerage services or analysis systems. Such an arrangement would leave you free to hire a broker without an apparent conflict of interest. We believe that CSI might be able to provide these services at a fraction of the overall expense you may now be paying, when the full costs are considered.
Please consider this a heads-up announcement to our customers who might wish to join us in this potential project. It will not come as a complete surprise to many of you, as this move is being considered at the urging of CSI customers wanting to extricate themselves from firms that seem to enjoy a monopoly on intraday analysis. Our hope is to provide a needed service and allow you to save some serious capital in the process. We are excited about the prospect of serving our customers in this way.
If you believe you might like to partake in this finer level of analytical support, we would like to hear from you. We are quickly entering into a proving period where we will investigate the feasibility of launching expanded analytical services, but we will need substantial positive feedback before making the expensive commitment to move forward. We are also open to the receipt of contributed analysis techniques that might be added to our inventory of technical analysis methods for general or exclusive use.
Valuable Indexes Now Available
New treasurers are lurking in the CSI database for those who make the effort to find them. Those of you who regularly peruse the CSI factsheets may have already noticed new "Cash/Forward/Fundamental" series with CSI numbers 10000 to 10115 on the "IndIndex" exchange. Obviously, there is no "IndIndex" exchange, so that's your first tip-off that these are derived series developed by CSI. These are, in fact, indexes based on sectors and industries, and they're available exclusively from CSI.
CSI has provided Industry and Sector classifications for approximately 7,500 stocks for several years now, and we recently created these new indexes to track those industries and sectors. For example, the index listed as CSI #10000, "II-All Classified Stocks Sector," tracks all the stocks that are classified in any of these industries and sectors, and #10115, "II-Utilities: Water Utilities," tracks the water utility stocks.
Each index is derived from the base 10 logarithm of an equity curve minus 6. The equity curve uses the hypothetical assumption of starting with $100 million. Therefore, the index starts with a value of 2. The money is then invested (in simulation) with an equal dollar investment in every stock in the industry or sector, excluding stocks that are priced less than $1. The simulation repeats every day with the account being redistributed to keep an equal dollar value in every stock in the industry or sector.
It might be accurate to say that stocks within a given index or sector that fall in price on a day-to-day basis are effectively purchased with dollars captured from revenue received through the dollar receipts from the sale of stocks that rise in price. Commissions, slippage and other costs not withstanding, sector performance derived through such an exercise should help one compare one sector with others. All sectors are evaluated under a like set of rules and conditions, without too much weight applied to the relative value of the various other stocks within a sector. The effect of this formulation is that very well performing stocks within a sector will not necessarily overwhelm the overall movement of the index.
These indexes are designed to uncover the underlying ebb and flow of the industry, as opposed to mirroring the industry's biggest player. For example, where most tech indexes tend to be led around by Microsoft (the result of typical moving-average based calculations) these Technology indexes aren't. All of these indices emphasize the smaller issues by assuming that you would put just as much money in XYZ Hole-in-the-Wall stock and you would in Microsoft.
Although these series are classified as "commodities" in the CSI database, we are modifying our system so that stock customers will also be able to receive them. Starting with Unfair Advantage (UA) version 2.8.1, all CSI daily update subscribers receiving either commodities or stocks through UA will be able to access these indexes. We hope you'll give them a try. Additionally, comparative charts and tables for these indices are available in the Industry and Sector study in the online Newspaper at http://www.csidata.com/cgi-bin/newspaperwrap.pl?file=marketreport/index.html&fmt=main.
The CSI Technology Sector index (top) vs Microsoft stock activity (lower chart). Although there are some similarities, they are clearly not mirror images of each other. Each CSI index strives to emphasize smaller issues in the given sector or industry.
Each month in this column the CSI Technical Support Staff addresses topics of interest to many subscribers in a question-and-answer format. This month they discuss several data issues including the Globex daily time span, a conversion factor change for CBT 5-Year Swaps, data update times, London Metal Exchange data availability and interpretation of Commitments of Traders data. Also covered are Unfair Advantage topics such as maintaining the current version and accessing the expanding list of technical indicators.
Q. Currency futures are traded on Globex continuously during the week except for a one-hour interval each afternoon. In your database you quote open, high, low and close prices, but I am concerned with the jump that sometimes occurs in your data between the close one day and the open the next. Please explain this jump in price.
A. For the combined session data, the open is the Globex open, and the close is the official exchange settlement price, which is determined at the end of the pit session. This means that the Globex session is open for two hours after the settlement price is determined at 2 p.m. Central Time. This is not an ideal arrangement, as it can result in the jumps you mention. It is, however, the way the CME has devised to handle quotations. Combined-session futures from CSI have always had the settlement as the close price, and will continue to do so. We are in the process of developing an additional data set that will represent Globex-Only trading and will put the last trade value into the close field. We expect to have this available by late summer or fall. Check this Journal for updates.
Q. There seems to be a problem with my CBOT 5-Year Swap Futures contracts (CSI#726 and #727). The quotes are slightly off from what I'm expecting. Why and what should I do about this?
A. These markets recently changed their tick size from 1/32nd to one-half of one 32nd (1/64th). This forced CSI to change their conversion factors from -3 to -4. UA customers can perform a database refresh on these two markets to reload the data with the new conversion factor. QuickTrieve customers will have to re-download any history they have for these items and change the conversion factor to -4. We regret any inconvenience this causes, but there was no other way to properly account for this tick size change by the CBOT.
Q. What time is current-day data available for downloading?
A. The CSI Data Release Schedule reflects the phased release of data as markets close around the world. Please visit our website at www.csidata.com and click "Posting Status" under "Customer Support" to view the full schedule, including the current status of all markets.
Q. Data from the London Metal Exchange has recently been missing from my updates of World Futures Markets. What's going on?
A. As announced in the April 2004 CSI Technical Journal, the London Metals Exchange raised their "royalty" fees, forcing us to pass on a $3.00 per month surcharge to help cover these expenses. Prepaid subscribers may not see the increase until their annual renewal, but all World Market subscribers who want to continue accessing LME data were asked to notify CSI immediately to avoid service interruption. This allowed us to limit redistribution and corresponding royalty fees to just those subscribers who have an active interest in the LME markets. We apologize to any customer who missed our announcement and experienced unexpected LME service interruption. If you want LME data and the feed is still incomplete, please contact the CSI Technical Support Staff immediately to arrange for replacement data. CSI now delivers all LME data after 7 p.m. to minimize royalty fees.
Q. I notice different codes for CSI's Commitments of Traders data series. What do the different codes represent?
A. As you'll see in the online factsheets, Commitments of Traders data series are available in two forms for each of the 63 included commodities. They are represented by arbitrary symbols. The symbol for the Briese COT Index series is the ampersand character (&) such that LC& reflects the Briese COT percentage Index data for Live Cattle. These are based upon a proprietary calculation developed by Steve Briese of Bullish Review. They are derived from open interest assessments by the USDA. Over time these reports have increased in frequency from monthly to bi-weekly, and recently to weekly.
Commitments of Traders open interest data are represented by the percent character (%). Therefore, LC% represents Live Cattle COT open interest data provided by the USDA. The colored lines shown on the graphic display within UA represent the three % series for large traders, commercial traders, and small traders and are generally weekly readings in units of open interest for the past several years.
To reiterate, both series represent trader open interest in the three categories of Large Traders, Commercial Traders, and Small Traders. The Briese COT Index data (represented by the symbol &) has the quantities reduced to a percent of interest. Although it may seem counterintuitive, for our purposes, the "&" means percent and "%" means raw open interest data.
You may want to contact Steve Briese's Bullish Review about this, but in my view the most important reading is the Briese COT Index data for the Commercial category (identified with the & symbol). It seems that following the commercial interest tends to agree with general outcome of future market direction. Steve Briese offers a faxed weekly letter about his Bullish Review for a very reasonable price, and he can help with chart interpretations, etc. for all regulated commodities, inclusive of stock indices and more.
Steve Briese can be contacted at (888) 423-4950 or by e-mail at sales@insiderCapital.com. His website address is www.BullishReview.com.
Q. An associate mentioned that he loves the ever-expanding list of technical indicators offered by Unfair Advantage. I don't understand this. Although my study menu has changed, now asking me to drag studies to the chart, the list hasn't expanded from the original five. How can I get more studies?
A. We have been consistently adding new analytical tools to the UA study inventory, using mostly published material. To find the new studies, click the "Change Indicators on Chart" icon (it looks like a cog) or select "Study Toolbar" from the "Chart Tools" menu. The standard list of studies displays. As you noted, they are now added to the chart by simply dragging and dropping the study name over the bar chart. To expand the list, click the "Add Study" button at the bottom of the Study Toolbar, then click "Interpreted." As indicated in the resulting "Code Editor" window, if you right-click your mouse, a list of nearly 50 studies will display. Click on your choice, and it will be added to your Study Toolbar list for regular use. Simply drag and drop your new study on the bar chart and the study will display.
Q. I frequently read in the CSI Technical Journal about "new" features that are not available on my version of Unfair Advantage. How can I tell what version is being discussed and how can I stay up to date?
A. Unless otherwise specified (by mention of an upcoming version) the version discussed in the newsletter can be assumed to be the latest available on the CSI website. Version numbers can change often, sometimes with only subtle revisions involved. To find out the version number of your software, launch UA and click the Help menu. Select "About Unfair Advantage," where you'll see the version number prominently displayed. To check on available updates, go to the CSI website at www.csidata.com and then click "UA Updates" under "Customer Support." From there, you may read descriptions of upgrades and download them through the Internet.
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