I clicked on this link and nothing came up:confused: Is there another link?
Finally, a splash of intelligence on this site. Thank you very much for your effort, Brandonf. Please keep on posting. I'm reading. Cheers,
We typically get in when the spread on the adjusted values is bigger than 2 standard deviations calculated on 30 days sliding window with the mean...
The liquidate within 30 min after you exceeded the margin
Yes, that is about right. Mind you though (no pawn intended) that we only make 0.5 point on average a day per two contracts. Not a lot, but we...
Thank you. That is what I thought. So, buying an adjusted value of es and selling a symmetrically adjusted value of er2 could be considered as...
Would you be so kind and post your definition of "arbitrage" please. May be I'm using the wrong term here.
Before you downgrade my comment as just "funny" look at the following chart that has es and er2 adjusted by the value of their contracts, implied...
If you balance the contract value precisely it becomes the arbitrage. The trick it is to find the mutually acceptable contract size that makes...
Actually, I have an arbitrage system that uses this spread. You can make around 0.5 point a day fairly reliably. :)
My underlying principles are always simple. But building a real-life trading robot is a very complex exercise. The actual trading and money...
Noble, of course, apologize for the error.
My philosophy always has been: "KISS". The simplest systems work the best.
No, I'm using 12:00 EST
Also, if you use 12:00 price instead of open you'll get better results. (You do need to optimize those Entry numbers though)
Do some creative adjustments (like trailing stop, averaging etc) and you'll get some pretty good results. We use similar method in one of our funds.
Actually, believe it or not, the system has merit. We tested something like this a couple of years ago and got fairly good results back then. Its...
Marvelous! Now that I had a chance to think about it, it makes a lot of sense! Thank you for your contribution, very nice!
This is very good! I like this, good thinking!
activating/Deactivating any system is a system on its own. Example: Switching between a trending system (MA, LinReg, MACD, etc) and counter trent...
Separate names with a comma.