I just meant that on the back of the curve these moves are huge and even with small leverage the PnL is serious. Of course there are (many) reasons to hold spread positions. I'm not talking about longer term really, I'm talking about a potential causal relationship between the BoB spread and execution algo's running in the equity index basis. This is a picture of my (proprietary) process derived from the index basis vs the BoB spread. I'd say this is pretty strong evidence of a relationship...
[QUOTE = ". Sigma, message: 4997609, membre: 514564"] [USER = 10535] @bone [/ USER] merci pour vos connaissances! Je jure que j'étudie vos messages comme un étudiant diplômé [/ QUOTE] Ça me rassure aussi. J'ai créer un algorithmique spread trading basé sur un modèle intelligent . Et il se trouve que je gagne beaucoup d'argent en démo. Alors je suis vérifier si ça pourrait marcher en reel Après avoir lu tous les forums je suis à moitié rassuré.