Referring to quote above on my Nov 16 post that I posted on this thread and Charts of Note thread: It turned into a beauty (as of course I expect them all too....hehe.) It did what AET CI did (that got posted a day earlier on the 15th for a trade examination) .....just took a week and a half longer than AET CI which by the way is still soaring. See today's chart movement as measured from the Nov 16 nomination for a trade, and the next one I posted after that referring to the threshold to cross as a recommendation when to close the trade. http://www.elitetrader.com/vb/showthread.php?s=&postid=3699350#post3699350
I have personally never found a great deal of actionable intelligence from the COT reports in terms of timing a market per se. Just my two cents. Here is the report link: http://www.cftc.gov/MarketReports/CommitmentsofTraders/HistoricalViewable/cot120412 What strikes me as interesting is the level of disparity in spread trades between the "heavy hitters" and the "retail type small speculators". In the E-Mini S&P ( ES ), look at the robust amount of spread trades reported by asset managers and institutions in comparison to the 'small speculator'. Speaks volumes. In the grains ( CBOT ), and in the Nymex natural gas and refined petroleum products, there is also a significant level of spread trades reported by the large traders and institutions. And again, that level of participation in spread trading is quite weak in the 'small speculator' segment. What is fascinating to me is that most smallish speculators do not realize that it is much, much cheaper to margin and carry a spread trade as compared to a flat price futures position. Not opinion - fact. You could typically carry several different one lot futures spread positions for the margin costs of one flat price futures contract. It is my guess that most speculators have no clue that they will get an 85 to 95% margin CREDIT from the exchange ( s ) for carrying a mini Russell versus a mini Dow position, or a mini S&P versus a mini NASDAQ, or a DJ Euro Stoxx 50 versus a CAC 40 spread position. And most Introducing Brokers who cater to the small spec crowd are ignorant of this, and when their customers ask they do not know how to correctly margin a spread position for their clients. And their risk systems are typically not set up for it. And some electronic trading platforms, ( like PATS J-Trader for example the last time I checked this past Summer ), do not correctly calculate the exchange's SPAN margin offsets and credits. Some silly platforms will treat each individual spread leg component as flat price directional risk. Which is stupid and incorrect.
bone..what u are saying are objective facts regarding margin costs ..but what u leave out is the directional futures trader has no model or feel for spreads as a trade. spreads are not intuitive..few look at them. u know that.
I agree with everything that you say. My point being, smallish speculators should be aware that spread trading is a viable strategy for those with very modest trading account capitalization. Spread trading is also a strategy for the risk-averse among us to consider. I am not saying that spread trading is risk free. Of course not. All I am saying is that the smaller trader is probably not aware of the strategy and that it would be worthwhile to consider it as a viable alternative if their present strategy is not meeting their objectives. The exchange webites all have some very good ( and free ) materials on spread trading available in their educational resources sections. The exchange white papers are, in my opinion, the best publicly available resources - and that includes the textbooks and video presentations that I have seen over the years.
yeah there is a really nice article on spreading the ES against the YM floating out there. I had a few winners and then got my ar5e handed to me on a platter. lolololol. looked at XTrader for 100 large a month, you get to see other spreaders in the DOM, autospreader functionality and custom chart. On the budget side I found Sierra Charts can be had for 16 large a month, use to plot custom spread ratio then free ninja to finesse an entry on the thinner YM and market hedge on ES. alright for bigger targets but shorter term autospreader functionality preferred. concur?
Taking small winners and big losers will do that every time, no matter what the strategy is quite frankly. If that has been successful for you, then by all means rock on. I personally would not recommend that approach for a client. Very, very few of my clients use an autospreader that I am aware of. Many positions are exchange supported spreads since they are freaking awesome. And they will typically go to market on each leg for a synthetic intermarket spread like YM vs. ES since we are trading for much longer timeframes and holding periods than you appear to be doing. We are cherry picking entries in many different market spaces, and my typical client might have 400 to 600 different spread combinations that they would monitor for an entry opportunity that they have alot of confidence in. Since spreads are so cheap to carry overnight, that's what we do. And we spread out our risk exposure. I don't particularly think it wise for my clients to go to war with the automated crowd.
yes agreed v. the automated, best to pick battles that can be won. now on the subject of strategy obv you look at coint/zscore all that jazz but do you look at fundamentals too to add in some confluence.
No, I do not look at fundamentals since I am teaching a trading system that has to benefit a number of clients - many of whom would not be able to correctly interpret how fundamental data will affect price. Hells Bells, I usually think that news will mean one thing to a market and typically the exact opposite happens - so I suck at that myself. Practically speaking, if we are active in everything from Soybeans to the Nikkei, I personally do not know of a realistic way to incorporate fundamental information into a trading system that would benefit a number of different clients with some varied backgrounds. So, I remain blindly committed to the notion that everything known about a tradeable instrument is distilled by the entire population of market participants and is reflected in that last price print.