Holding a trade for months seems like a long time to me. But I suppose if you're trading in size, then you need an ultra-stationary spread that...
Good stuff. I do like your basket trade example, though my preference would be to select equities that show relative weakness to the broad-based...
Bone, while equities offer spread opportunities as your example demonstrates, would you agree that the best spreads exploit the term structure of...
Martin, your ten-year chart inspires a question: What is your average hold time for an ED fly?
Bone, thanks as always for your posts on spread trading. Also grateful to ET sponsors like yourself who pay the bills around here. Across the...
Thinking out loud ... This accomplishes the first step of qualifying the pair. You have two logically related markets (commodity/supplier market)...
Greatly appreciate the insights from the pros contributing to this thread. Also respect the proprietary nature of detailed solutions. Of course,...
If spreads have a propensity to trend, this prompts the question: Are some trend identification techniques better suited to spreads vs. outrights?...
If HFT's are simply trading arb situations, then they are just along for the ride of an inevitable arb convergence that would occur with or...
Can you provide a competitive analysis which indicates the capabilities and features of your software product that differentiates it from other...
The knock I've heard in the past about Java relates to its memory management (aka, garbage collection). The JVM will release memory based on an...
+1 Your weighting of the stocks in the pair should match how you chart it when conducting your analysis. Typically, weighting schemes are by...
If you're holding these commodity ETF's longer than intraday, make sure you understand the consequences of contango and roll yield.
I can empathize with any new options trader trying to figure this out. Here are some points to help: - Keep in mind that the option premium...
There are really two time factors for a cointegration test. The first time frame is simply the length of historical data used for the test. For...
When you use the term "volatility", are you referring to the option premium (implied volatility), or are you referring to movement of the...
To summarize the author's view, straddles are bad news. When you buy em, stock movement usually does not overcome the double theta bleed. And...
Suggest you read page 187 of Natenberg's book, <i>Option Volatility and Pricing</i>.
It's unfortunate that the training/education side of trading has so many bad players. Understandably, it triggers a reflex that makes you...
Murray, thanks for your comprehensive reply. For others following this thread, Murray describes "predictive correlation" in chapter 8 of his...
Separate names with a comma.