there is no savings in entry risk by doing this the backwards way....the 1 tick spread and the high volume in the ES will also minmize the partial fill issues in the ES when trading hundreds of contracts....the only reason I see is to get separate equity runs....there is a much better management style than this for SUCCESSFUL traders. Michael B.
Did you forget about overnight gaps, economic reports, other times of limited liquidity for funds that are trading in larger size...I dont want to argue this strategy pro or con because everyone is entitled to their opinion, but I would also consider various factors that could influence the reason why people will trade long vs. short at different stages of a trend, etc...
Right! If you are long 10 in one account, and short 10 in another overnight when a report comes out, and the market locks limit up (or down) the next day, you will be EXACTLY where you would be if you were flat, except you will pay for additional comissions and carrying costs. It will neither benefit nor hurt you to be flat, except that you will have saved cost of carry and commissions, so you will be ahead by that much. As for limited liquidity, you are going to face that problem twice if you are both long and short at the same time. If it is a contract with limited liquidity, the slippage will be bad on both legs, and it will be even more expensive. Jessie
I can't remember the last lock on the ES.....This thread was about the ES wasn't it? Jesse, Your reason is valid and I stand corrected....this is the second reson why to do this stategy. Michael B.
Why? And what was the first reason? It seems silly to me to want to be long and short the same position (in two separate accounts or in the same account), for all the reasons stated (double slippage, double equity requirement and therefore half the performance, extra transactions and therefore commissions when rolling out, etc.). Your systems should have their own record-keeping exclusive from the account records. Why pay all that extra money just to avoid that? Having just one net stock position has an additional advantage in the scenario when system 1 is long and system 2 is flat and system 2 says sell. You get to sell the long position without waiting for an uptick. Also, can someone point out specifically what SEC regs concern themselves with preventing you from holding long and short positions in the same security in the same or different accounts? It used to happen fairly frequently some years ago when accidentally selling short while you held a long position, resulting in type 2/type 3 crosses that had to be manually journaled away to get you flat again.