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I also like the pair of QQQ (TQQQ, SQQQ)-IWM(TNA, TZA) given that I can trade the pair in the retirement accounts which don't allow short. There are also e-mini, micro e-mini futures for automatic day trading.

Well done! Most academic researchers also use daily pricing data even though some also include more data such as gold, interest rates, commodities, and FX pricing. However, my research shows that intraday data has much richer information, and therefore can improve the performance significantly...

Exactly! The Russell 2000 Index has become a value index with small size tilt. It's highly correlated with DIA in the last few years. The Dow Jones index is widely seemed as a proxy to the value, similar to IWD but with futures. Institutional investors tend to use e-mini futures to get quick...

I'm talking about the short-term performance. Value is still better in the long-term during a rising rates environment. We will see in next few days.

Time for growth to shine: rotating into growth ETFs such as IWF and QQQ. If hedge, using value and small size ETFs such as DIA and IWF.

I will answer the 3 questions to tell the story about market timing and style rotation: Question 1: can you predict the short-term direction of Apple share price It's very difficult if not impossible. If we write in a formula: d=f(x). There is only one variable, which has no boundaries and...

ok, it seems I haven't been here for a long time. First of all, how to pair e-mini futures? There are three pairs that make sense: 1. NASDAQ 100 e-mini (NQ or MNQ) vs Russell 2000 e-mini (RTY or M2K), ETFs QQQ vs IWM are also fine. This pair works best. NQ represents large and growth, while...

Some users have sent emails to ask about the future spread trading, or pairs trading with e-mini futures. I have spent the last 15 months in developing future spread trading strategies both in pairs day trading and longer horizons. Followings are some thoughts that should be useful...

Fully automatic trading

I can't believe the last time I visited this site was over one year ago! Time flies very fast. As I have assigned the bots to completely do the trading things (future spread trading, NQ day trading, and future pairs day trading), I can write some posts again from time to time.

The last positions lost 0.63% between the end of May 8 and the end of May 18 (3:00 PM EST). This is the end of the thread. Thanks for reading.

Happy Friday. Market finished higher to continue the momentum. Positions for next Monday, May 11: Long: 50% in M2K, 50% in MYM Short: 100% in MNQ

Ok, positions for the last day of the week, Friday, May 8: Cash. It seems today is the end of the bear rally.

If I'm long 2 MNQ and short 3 MYM, I have at least about $20K in the account. My models are already very profitable, so I don't need to use high leverage. (no more than 3 at maximum). Make sense? The drawdown is always based on the exposure of the long side, not net or long+short.

I have never worried about the margin as I don't use high leverage.

Bang bang, MNQ is up 0.3%, while MYM and M2K both fell 1%. Today's gain=2x(0.3%*0.5-1%*0.5+1%)=1.3%. ES dropped about 0.9%. No positions for Thursday, May 7. Holding cash. Oh boys, the portfolio is already up 4.35% this week.

The max loss in modelling going back to 1998 is 9.8% in one month (no leverage). The max loss in trading since 2018 is 1.9% in a day (no leverage). Max drawdown is 2.4% (lost 1.2% in each of two consecutive days).

very likely has been verified. haha

No positions change for Wednesday, May 6. Today MNQ up 1.44%, M2K up 0.85% MYM up 0.72% Portfolio's gain=2x(1.44%x0.5+0.85%x0.5-0.72%)=0.85% safe profit (actually the gain was much more right after the market open)