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Certainly so. IF you are “almost” bank. You buy the 2yBUND and go short 2Y UST = - 0,6 – 1.6 = -2.2 To cover the FX rate: You sell EUR and cash 0.5 overnight You buy USD and cash 2.0 overnight = +2.5 You don’t get 0.3, because of cost and slippage, but probably something above zero. As you...

Yes, as for today, this is the only practical alternative (sad to say, IB is a very good broker, IMHO). Does anyone know if Tradestation charge negative rates on a future account funded in EUR? Of course IB has all the right to choose to pass the cost of holding Eur to customers (even if...

You are perfectly right, any broker charges margin on local currency, and - except for day trading - if you are short the local currency you have to pay the daily interest (as the rollover in FX trading) on local currency. But, still, this doesn't help, still problems remain on idle cash you...

Hi Kotika, could you please elaborate on this matter? IB isn’t always cheap (BVME is quite expensive, for example) but as far as I know, you can trade the “big” DAX futures (over 300K Euro of value) with 2 Eur of commission, all inclusive (and that’s apply to all EUREX futures other than MINI...

Actually, it’s a bit worse than that. Just to put some hypothetical numbers, it’s more like one has 0.65 probab to win 0.3 and 0.35 probab to lose 0.7 You don’t expect a market maker working for you free of charge, do you? Nevertheless, there are some ways to approach the marker as a marker...

Hi BigShort, thanks for the feedback and for your contributions to this forum. I'm sure ORATS has the data, but I wonder "where" (that is ... in which package) As I access the sample data of the package you linked, I see the following fields (hope Matt doesn't feel hurt by reporting this)...

I really don't understand why people accept hearing the term "trading options " and "income" in the same phrase. Selling option is not an "income" strategy (oh boy, as if there were one....), it is a way to express a view about some factors embedded in its price (yes, you know.... expressed by...

Hi, I've looked into this link, I found a lot of volatility data (as the name implied) but no "historical option data" Do you know any reliable source of historical daily settlement prices of US options? PS I know "settlement price" is not a traded price, but it's what I'm looking for my...

If I get it right, "Sig" buys short dated treasuries in US dollars for totally another purpose, he's not bothered by negative interest rates. Short term treasuries in EUR offer negative yield too, so that's not an answer. I've never found an easy turnaround, every solution has risks...

Thanks Jack, they were useful indeed. Very good support (and I'm not a customer yet) and problem solved. :)

Hello everybody, I just downloaded Multichart 8.0 64 bit for the 30 day trial. I have a problem in connecting the “ Tradestation 2000i Global server” with Multichart QuoteManager. Actually, QuoteManager can see GS and send the massage “connection is OK”, but when I’m trying...

Option trading was second as pubblication date (2010) but it's just an introductory book. Not bad, not outstanding, there is some overlap with Sinclair's previous book. Volatility trading was first published (2008), and it's for math-inclined people, It is worth-reading, but I don't recall...

Well, to the best of my understanding and starting with this link I've already cited in my previous post.. http://epchan.com/downloads/cointegration.pdf Stock A and Stock C are said to be cointegrated because and when one can build a “derivative” of their historical price series...

It surely is, but it is just one of the methods available, and certainly not the easiest starting point for the average person. Take a look at these (the second link is more undestandable than the first, isn't it?): http://en.wikipedia.org/wiki/Johansen_test...

I disagree. Johnny's results just prove he's able - with a ton of good subjective judgement - to extract some good trades from a ton of potential candidates popped up by a data mining software. They don't prove correlation is a good proxy of cointegration... I'm not a quant, but they...

Neither do I.... because I don't see the subject on what we should debate: I haven't seen any academic paper or research stating that the ratio of two correlated series is stationary and - as a consequence - is mean reverting; but if someone have one's, please let me know... I'm glad to learn...

You are right, cointegration is difficult to understand and apply, while correlation is a built -in funtion in excel and a lot of other software. But, question remains: why are people assuming that two correlated series are also cointegrated?

Pair trading is all about finding cointegration within price series, not correlation. Here's a layman explanation of the difference: http://epchan.blogspot.com/2006/11/cointegration-is-not-same-as.html Amusing enough, we are at page 162 of the thread (very interesing thread...

This is the new home of Gummy's stuff: http://financialwebring.org/gummystuff/gummy_stuff.htm

Hi everybody, great thread, really interesting. Unfortunately, Pair Trade Finder is not a "couple hundred dollars" software any more, so I'd like to ask some questions (as I've had some problems with the trial installation): a) is it able to read a Metastock formatted database, or it is...