Search results

I do not like to hold spreads to within 3 months of expiry - the front to second month roll starts to take over in terms of delta directionality and the spec order flows start to take over the commercial order flows.

Let me give you a client example. I met with a client last week who held a mid curve 1-2-1 Euribor butterfly from April 01, 2016 until July 25, 2016. As I recall, his net on the trade was about +$900. I think his initial spread margin to carry the trade was like $400. His max drawdown might...

Things can get chippy when you are paying a mortgage, insurance(s), school tuition, summer camp, vacations, 401K contributions, Christmas, kids college fund, vehicles, your wife's stupidly ridiculous spending habits, your own whimsical spending habits, booze and quality weed, and oh shit the...

I sent out webinars today to clients. One had some really solid trade entry set-ups, and the other had a discussion about making the transition from an existing job to live trading full time as a sole source of income. I shared some of my observations about what I had seen work with both my...

Here one can see the considerable difference between the recent daily trading ranges for Sept 16 GE (Orange Bars) versus Sept 18 GE (Blue Bars). There's solid open interest and workable daily volume well out on the forward curve...

Sure, that's true if you are day trading for a tic or two. But that's not really the case if you are swing trading a bit further out in the curve. I have a client who I met with on Thursday who has taken 3 GE trades since last fall - his average holding time was ~ 3 months, and his average...

Well, you really don't want to have delta directionality with flat price future. You might as well just buy or sell a GE futures contract and dispense with the complexity and execution expense of a spread IMO. In GE, we use alot of butterflies and condors to make plays on forward curve...

My concern about most of these charting packages being mentioned is twofold: 1. Can they perform a study-on-a-study, and 2. Do these charting packages have exchange supported implied spreads ? The exchange spreads are vital, because otherwise for intramarket spreads any synthetic expression...

I think that's a smart play in that your downside is limited. If you don't like it, you can cancel it.

If you would like the least expensive route that has some level of robust capability, you might look at eSignal with delayed US and European futures data. Should cost you about $100 per month and of course it goes month-to-month. Ask for a free trial. CQG is considerably better than eSignal -...

I have not seen a technical or statistical study yet that in my mind at least (engineering absolutes) would qualify as a legitimate predictive indicator. May I suggest to the OP that he explore using a moving average system that utilizes multiple time frames ? ;)

Ernie Chan reiterated in his blog and his book what he thought was a very wise saying: "You're not going to backtest your way into being a trader". While I could not begin to countenance Mr. Chan's Algo chops, it seems to be one of those sayings that holds up over time.

Ernie Chan reiterated in his blog and his book what he thought was a very wise saying: "You're not going to backtest your way into being a trader".

I've had clients have trouble with Ninja and spread expressions as well, which was pretty disappointing to them because they really liked the Ninja platform. You will need to be able to construct and chart inter commodity spreads, and intra commodity spreads. Also, your charting platform...

CQG, eSignal, for sure. And likely several others.

Ummm, for the exact same reason that he tolerates left wing extremism in a forum specifically designed for opinionated members who wish to opine on societal issues. No further explanation needed or required.

Expect to play a modest commissions premium (like about 10 percent or so) over "normal" retail rates for the courtesy of holding a position overnight. It is understandable in the sense that the FCM back office has to mark and margin the position as compared to a day trader who opens and closes...

This is essentially why the vast majority of floor traders had great difficulty transitioning to the screen. As a floor trader, you are told that your job is to "buy bids, sell offers, and make markets". When I was on the floor, I would indeed bid and offer to the floor brokers. I insisted...

My understanding is that Paul Rotter no longer trades this way, and hasn't for several years.

Convergence vs Divergence is analogous to choosing which product(s) / expiries within your spread combination to buy or sell. That simple. How are each of those spread components behaving towards each other on a relative value basis ? For example, (this is entirely a fictional example) let's...