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Maybe the trolls have managed to timemark your posts against an S&P chart.

The baskets and the spread combinations featuring multiple legs will exhibit better mean reversion tendencies than the simple pairs from my experience to date - unless you are dealing with a super high correlator match ( closely aligned or akin to an arbitrage ).

Swan and FT are basically correct if you are a US citizen - there is no tax advantage to having an offshore account unless you are interested in purposeful tax evasion. Seriously. And there is no way you are going to be able to move it into the US without paying taxes and interest/penalities...

Better thought experiment: Name one pit where the traded volume and meaningful order flow is superior than its' electronic analog. In other words; "what noise"?

So, it's not just us trolls who are stunned and confused.

Well, because I specifically used the term "her". All of the Bloomberg female sales reps I have seen are smoking hot, and it would be quite a show for the OP to ask an attractive woman to produce the Euribor / OIS spread page. At least in my dull world.

I find it fascinating that there exists trading groups whose business model has devolved into liquidity rebates as the primary source of income. Not really trading, and a simple exchange legislative / policy change can destroy their world.

Zen, let me apologize for attacking your sensibilities. Allow me to rephrase the point: Which one of those "top ten places to live" on the list would you agree are actually SOCIALIST as described in the thread's title ? P.S., I'm half German.

The electronic firms do not get an exemption from the message-to-fill ratio policy on the CME according to published policy that I am aware of; anyone know different on a definitive basis ?

Find a Bloomberg sales rep and ask her how her biggest clients in Manhattan and Greenwich trade the rates.

That list of 'great places' is dominated by money. Hoarded gold from exterminated Jews, vice proceeds, old inherited VAT-free wealth, blood diamonds, you name it. Unfuckingbelievably naive post.

Not sexy enough, not robotic enough, not automated enough, not Jack Hershey malarial coma delerious enough. Too bad, because MP just plain flat out works. Always has.

Speaking of 'freeloaders', are you about done sleeping in tents and defecating on sidewalks with your 'Occupy' tissy-fit ?

Yep, the potential number of combinations are exponential - you are literally building your own markets. You can tune the volatility and market behavior characteristics of the spread differential by adding legs or by filtering and selecting each component leg according to its' statistical...

Well, checking out your blog "trades", they are all in the currencies at least during the month of November... and yet you are making S&P 500 calls here, and what's more there is this extreme bipolar psychosis perpetuated by issuing diametrically opposed biases the same calendar day both here...

Tour, We have profit targets and stop-loss levels we set at the time of trade entry. If the model flips back over before the stop-loss is reached, that mechanism will get us flat as well - it is an and/or proposition. My apologies, but propriety would keep me from further discussion on...

Shan, you are right to pursue this strategy. Keep up the investigative work. Baskets will likely model smoother than simple pairs, but the tradeoff is increased execution slippage and complexity. There is money in it, because it is going to be much more consistent than taking directional...

Google the name "Paul Rotter" Note that he is no longer doing what he once did. But don't let me discourage you any further, it sounds like you're game to get flipped and bled out by the bots in short order. Easy money. Go for it.

Well, since the term "local" ( as we know it here in Chicago as it pertains to an independent floor market maker ) implies extinction and a craft no longer viable, maybe the premise... that is, the ability to buy bids and sell offers on a consistent and profitable basis, is perhaps flawed.

I cannot think of a worse strategy to employ the past few years. Why make things so hard on yourself... enjoy pain ?