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The CME gives a 70% margin credit (performance bond offset) on a position thats long/short pairs of indices. Long/short NQ against ES will give you a margin discount of approximately 70%, so the CME knows the indexes are correlated and provides a capital efficient way for you to lever the...

Not exactly low hanging fruit.

I do similar stuff like this guy (have a math degree). You can use a Recursive Median Filter (EMA of price medians). An adaptive moving average uses the efficiency ratio to reduce lag (Kaufman's). The standard for detrending is a Linear Regression moving average. You can also use the sum of...

Examples 100*ES - 20*NQ 10*YM - 150*RTY 20*NQ - 50*ES 50*ES - 5*YM

Can you answer this question, please?

Can your software chart the notional value of a contract? Can it chart the difference of contracts with multipliers?

In one of his interviews, he says that he wears those shirts to cover up his tattoos.

I invested a lot of time in learning from the pros. It helps me trade with a much lower MAE etc. In forex, the pros are watching futures VWAP, open interest, cross-currency basis, swap rates, yield differentials, reports, news, sentiment, inter-market spreads, etc ... It's not, at all, simple...

Highly likely to trade below the current VWAP.

Let's say I'm holding 100k in 6month t bills. The margin required is like $1000. Then let's say I buy 50k worth of SPY. I owe the full margin rate on the stock holdings right? (whatever the current margin rate is at IBKR).

T-bills higher yield and good collateral.

Total volume is relevant to VWAP, and immediate/near-term VWAP. You can combine volumes. Interestingly, my algo (the color coded price) sometimes agrees with volume buy sell ratios and sometimes not. Still though, the study is useful for my analysis. White is VWAP.

What about buying like 10,000 shares TMF. Triple leveraged, and the shares are less than $6 now. In 2-3 years these shares could be trading like > $9. What's the risk with this instrument on that kind of timeframe?

Wouldn't they save money on all that low latency infrastructure if they relocated to the NJ data centers? This kind of thing. https://www.bloomberg.com/news/features/2019-03-08/the-gazillion-dollar-standoff-over-two-high-frequency-trading-towers

ThinkorSwim can do it. Just write a script with a variable equal to the asset minus your fill price.

A portfolio consists of stocks and bonds. An interest rate future tracks the value of a bond.

Yeah.

You can use algorithms to create indexes of volatility, and beta is largely a function of this. So, yes, I agree. There is also the rates market to learn, the influence of VWAP execution by the prime brokers (algo), and futures spreads. https://www.cmegroup.com/clearing/margins.html#span=span2...

You need to define "yOffPct" before you can do anything like you are saying.

Patience is a virtue.