Recent content by Traderesque

I made the change last night and so far it is looking much better - basically go long when my Zscore Calculation is +1 or higher and go short when it is -1 or lower. This switch seems to make sense (particularly the way I construct my spread). I will monitor this for another week and if...

For me it is quite easy to come up with Mean Reversion-type strategies and have a mental block towards trend following/momentum-type strategies. For example, one of my mean reversion strategies consistently loses money (thankfully still in SIM) and made me wonder should be taking the opposite...

For what you are looking for I would treat it as a binary classification problem: The two classes: 1: either "Buy to Exit" if your initial position was short or "Sell to Exit" if your initial position was long 0: Do nothing. From hereon I will just speak assuming your initial position was...

I’ve got a response from the Swedish Tax authority on my question above - apparently the netting of losses against profits depends on the asset classes - for equity indices, forex future, bond futures you can net 100% of the loss against the profits made in those respective asset classes. But...

If you have access to spreads - you can use calendar spreads to roll your positions very efficiently.

Thank you

Hello! I was wondering how taxation (presumably treated as a capital gain) is calculated in the following scenario when you engage in spread trading futures. I've read on PwC country guide for Sweden that "Losses from the sale of private real property, securities, etc. are generally only 50%...

I read this a few times but still a bit lost - https://quantitativebrokers.com/wp-content/uploads/2017/05/intercommodity.pdf. If there's anyone who trades ICS in live account - maybe they can shed some light on the exact workings,

Hello - just playing with Inter commodity spreads (TUT) in my TT Sim account - I understand the ICS prices are quoted as net change but what I don't understand is how does a trade take place when the price has not traded at that location in one of the legs. For ex: I bought the spread at -0.020...

No - there is no “ES” from the drop down to select in the first place. The closest I could find was “SP” - the explanation Canon Trading gave is correct (ie that exchange lists SP ($250 x index) instead of the ES ($50 x index). So I just need to substitute 5 in place of 1 in 1:5 (SP vs YM) and...

perfect - thank you for the clarification.

I'm trying to find the correct exchange recognised spread ratio for ES-YM to get maximum margin credit - so I went to https://www.cmegroup.com/clearing/margins/inters.html#exchange=CME&sector=EQUITY+INDEX&pageNumber=1 and in the drop down there is no "ES" - Just SP - is this the bigger version...