Futures spread trading

Discussion in 'Educational Resources' started by Lucias, Jul 11, 2011.

  1. What they (R & M) said. Or - more effort upfront but easier testing and ritzier charting down the line - look at R and its packages.
     
    #81     Jul 14, 2011
  2. Ratio chart.

    Two legs.

    1 min / point.

    Green bid / ask Red [net].

    Presumes the b/a spread will be paid on the narrow side only.

    No comment on the other lines.
     
    #82     Jul 14, 2011
  3. Here's one of mine (a trade that worked that I have recently taken off)
     
    #83     Jul 14, 2011
  4. bone

    bone

    Rationalize and Martin:



    [​IMG]
     
    #84     Jul 14, 2011
  5. Trader13

    Trader13

    Martin, your ten-year chart inspires a question: What is your average hold time for an ED fly?
     
    #85     Jul 14, 2011
  6. Could be interesting. Do some points include those mentioned earlier?

    1) high leverage
    2) short liquidity strategies

    ...short liquidity, meaning providing? I'm under the impression most MR RV positions provide rather than take.
     
    #86     Jul 14, 2011
  7. Trader13

    Trader13

    Bone, while equities offer spread opportunities as your example demonstrates, would you agree that the best spreads exploit the term structure of the forward price curve of futures (calendar spreads), including intra-month spreads in treasuries (not calendars, but still a term structure trade in the yield curve)?
     
    #87     Jul 14, 2011
  8. bone

    bone

    Trader, I think you work with what you have or what you can get access to given your present capitalization and clearing arrangements.

    If you only have access to equity shares, then of course that is what you have to work with for now. Stay within market sectors for the leg names, keep the market caps as close as practical, and don't trade the strategy during earnings season.

    I think that futures spreads - both intra and inter-commodity flavors; model and trend and behave considerably better than equity pairs. Equity baskets, however, can be tuned and tweaked to behave pretty well.

    I have worked with a Bright Pairs Trader in the past, and IMO the conventional equity pairs CFD trade is garbage and completely irrelevant these days.

    I start my clients out at day one with a 'starter list' of 71 futures spread combos, by their third month they might be using a couple hundred. I personally monitor about 400 futures spread combinations. The purpose behind having such a large pool of trade candidates is to diversify your exposure and of course to have the inherent advantage of being as selective as you'd like. I posted a screenshot of my scanner earlier in the thread.
     
    #88     Jul 14, 2011
  9. Something about correlation not being causation .. informational change .. distributions redistributing .. & cascading forced liquidation positive feedback divergence?
     
    #89     Jul 14, 2011
  10. Trader13

    Trader13

    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 index, going long the index and short the shares. This positions any single-stock event risk working in my favor.
     
    #90     Jul 14, 2011