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Went long on this one too a few days ago but in the red so far...

Out @ 0.07.

Indeed, still working on my system as it is still experimental at the moment. I'll get there :-).

Out @ -5.8 (might re-enter again lower if it drops).

Precisely.

I did some quick analysis on this and this is not really profitable anymore so I dropped it. There are plenty of papers out there on this subject.

Depending on the holding period of the fund if it is short term they trade spot and do tom-next swaps every day if long term then they trade spot and roll forward to imm dates (3 months, etc...)

Thanks. Do you know what's VSR and DVE by any chance?

Out of curiosity, what do you look at (if you can say)?

Something like that I guess.

I've noticed that, statistically, after a sharp move, prices will revert after the peak volume. This applies mainly to LH.

It's based on my main indicator for the trade direction and a volume forecast which shows that we should have hit the peak volume for this contract. I'll stop/exit if I don't see a reaction on these levels within the next few days.

Went long Lean Hogs Z7-G8. Short pressure is finished and we are on a low, the spread should recover before expiration:

My timing on LH was really off... Went long SBH8-K8 this morning at -0.11:

What about Quantopian? You can't download data but at least you can test ideas in Python.

I stopped @ -3.5, watching for the next short signal.

I have a signal which gives me which side to trade based on some analysis, then I trade based on technicals. So at the moment, my signal gives me short on Lean Hogs. Z7-G8 had a leg down: While G8-J8 didn't move: PS: There was a typo on my previous post, I meant short G8-J8.

Lean Hog butterfly (Z7-G8-J8) - Long around -1.6. Or as an alternative short on G8-J8 as I believe it will catch up Z7-G8 (I am short on Z7-G8 @ -3.8).

I think this is probably due to Taylor being considered as Chair which would be bad news for the long end. I am long Z9-Z0 but will stop out if he is selected. Would keep if anyone else is.

More liquidity on Eurodollar for sure but it's been so quiet lately... At least I get a bit of movement on commos. Yes, spreads and flies and very rarely outrights.