My indicator package picks up on seasonal price action. I have found that mean reversion as a primary trading strategy has not been successful over extended periods of time with the one notable exception being a highly correlated arbitrage (which is somewhat rare and perishable these days).
Bone, what are the most important markets you and your clients trade actually. I know you trade a lot of markets but which are the most important this year. Also, I read on you page you did well trading the Gas Oil crack spread, are you still trading as strong as you did years ago ? Thanks Greg
Energy and Interest Rates are the spaces where I have commercial and institutional experience. Starting in the early 2000's I wanted to branch out more, and develop a trading model that would work on any spread combination. I'm glad that I have developed that ability, as energy and the rates have been rather bland but at the moment I have on several ag/softs trades. All markets are cyclical in nature (including seasonal influences) and I think it's a strength to have portfolio versatility - in my opinion forcing trades is something to avoid.
A lot. Like millions - and you'd have to find a clearing firm that will back you. Big ask. When I did those products I had a $12M line of credit and cleared through an Investment Bank ( and I was spreading against Nat Gas Swaps so I had some margin offset credit ). In 2008 the liquidity (market participation) took a big big hit and I'm not sure how much it has recovered. Also, the OTC brokers will always be able to find you liquidity that will not appear on the TT screen. I used both TT and a voice turret system with direct lines to several OTC brokerages.
I'm pretty confident in saying that bal-day or next day capital clearing requirements would be very rich as compared to futures (maybe you would be better served to call PJM ISO directly?). And you are competing against very well informed counterparties. I've seen bal day in August go from under $150 to $1,000 / MW-hr. when I was active in those markets. And ERCOT is even worse. You are going to have to have the financial resources to make your counterparty whole same day. Any Risk Manager is going to ask for the world no doubt...
Yes definitely, I understand. I have traded this and been profitable which is why I ask. I would feel more comfortable trading it than other futures at this point. Would PJM have the capital requirements or someone like ICE? Would it be in the millions or is a few $100k enough?