I'm definitely not defending his record (and I'm not sure what his net long position is - 0% net long is usually benchmarked to LIBOR + 3-5 or...
To be fair to Vinik, a long-short fund shouldn't be benchmarked to the S&P 500 (which is 100% long). If he is only 50% net long, he should be...
Oh, there's many ways to go about it. I would match durations to isolate the inflation piece of it. So, five matched with fives, 30s with 30s, etc.
Long 10 year TIPS, Short 10 year Treasury Bonds
You've just described Bollinger Bands, one of the most-used technical indicators. They should be pre-loaded on your charting platform. Just throw...
Interactive Brokers (and a few others) offer Portfolio Margin, which gives you up to 4x leverage, as long as your portfolio meets the risk...
Yes, IB will sell your Lite orderflow to market makers such as Citadel (and will get paid for it). This is how they can offer free commissions....
If I put AAPL/2*SPY it will give me a ratio. If I put AAPL - 2*SPY it will subtract. [ATTACH]
You can chart spreads/ratios with any weightings you want on Tradingview. Just enter 2*SPY/AAPL in the box. It will NOT automatically pull in the...
If you want to pay a subscription fee to seasonalgo, you get a pretty extensive database of seasonal tendencies of pretty much any spread...
This is called "scale trading," and there is a small cottage industry of commodities traders that do this strategy on commodities that are trading...
SSFs were never liquid enough in the US. Some of HFTs arb ETFs with futures (e.g. SPY/ES) or baskets of stocks with sector ETFs. Both take...
Equity basis arb trading is still (barely) profitable in India, but profits are gone in US markets. Eventually, the HFTs will go to India (they...
The closest thing I've seen is Trading Technologies' ADL system. It is GUI-based, although it is only for futures trading....
The only practical things you can do is a) buy a call option for the same month; b) buy a future in a contract month that is not limit-up. Both...
I have heard others say good things about tradeideas. (I am not a daytrader, so I can't judge). www.trade-ideas.com
And I saw on your other thread about order execution. Portfolio123 has an API with Interactive Brokers which will automatically send orders based...
I don't know if Portfolio123 provides you the raw data, but you can code pretty much whatever you want on their platform to analyze it....
Look at Portfolio Visualizer. Go to "backtest portfolio" and put in your stocks. You can then look at annual returns (or monthly returns, etc.)...
It might work, but the math is against you, because you will have a max position for every stop-out, but many (most?) of your winners will be less...
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