Search results

The pair of MNQ/MYM (or NQ/MY) is the best pair to trade. The NASDAQ 100 INDEX and the Dow Jones Index are highly correlated in 99% of the time. Even if you bet on the wrong side, as long as you control your leverage to low number (<4), you will never blow up your account and have the chance to...

The issue that blew up the Long Term Capital Management is the high leverage. They leveraged up to about 50x to make the tiny arbitrage profit bigger. Same as Bear Sterm. I do agree with you about who can use this strategy. I'm not always long NQ and short YM. You have to know the trend of the...

To answer some questions here: 1. Why using futures instead of options for spread trading? The answer: liquidity. Options have poor liquidity when the prices have moved away from the strike prices. The bid/ask spread can easily eat out your potential profits. By the way, option traders...

Monday, May 4: MNQ up 1% while MYM down 0.1%. The portfolio made 2x(1%+0.1%)=2.2%. Jealous? haha Positions for Tuesday, May 5: Long: 50% in MNQ, 50% in M2K Short: 100% in MYM Even though market trend is not necessary, I would like to say that: Market is very likely to go up tomorrow, May 5...

Sometimes I do. If you have ever read my other posts, you will know that I also have market trend predictions. So during the day, I also add some long or short positions depending on the trend. Or if the spread moves in the opposite direction significantly. For example on April 28, NQ dropped...

Just ignore the noise. Scalpers can't understand the beauty of the spread trading. They are satisfying with a few points while we are talking about a few percentage.

So: last week, the spread strategy gained 4.1%, while the S&P 500 Index was down 1.3% this week, the spread strategy gained 0.31%, while the S&P 500 Index was down 0.21% again. Two weeks' performance: 4.41% vs -1.51%. Really good!

Friday, May 1st: Followings are this week's performance: Monday: 0 Tuesday: -1.58% Wednesday: 0.01% Thursday: 1.16% Friday: 0.72% Week's gain: 0.31% The market is becoming more volatile now. The S&P 500 Index was up as much as 3.6% through Wednesday, but ended the week down 0.21%. Positions...

Still 100% long MNQ, 50% short MYM, 50% short M2K for Friday, May 1st.

Still 100% long MNQ, 50% short MYM, 50% short M2K for April 30.

Tuesday, April 28: Bad day: MNQ is down while M2K and MYM are up. Still 100% long MNQ, 50% short MYM, 50% short M2K for April 29.

Any cross will get margin offset. The leverage is only 2x on one side, so the margin is always not an issue.

For Tuesday, April 28: 100% Long in MNQ, 50% short in MYM, 50% short in M2K.

Friday, April 24: MNQ is up 1.95%, MYM is up 1.35%, so the spread trading makes 2x(1.95%-1.35%)=1.2%. Nice and safe profit. So this week's profit is 3%-0.1%+1.2%=4.1%. There is no position for next Monday. Holding cash again. Market is likely to drop in next two days.

That's right.

Positions for Friday, April 24: 100% long in MNQ (NASDAQ 100), 100% short in MYM (Dow Jones).

There is no position for Thursday, April 23. Still holding cash.

Tuesday, April 21: Market record the biggest drop in 3 weeks as the oil slum deepen. MNQ dropped 3%, M2K fell 2%, MYM was down 2.45%. Today's return is 2x(-3%*0.5-2%*0.5-(-2.45%))=-0.1% The portfolio is only down 0.1% today while S&P 500 fell 3%. See, this is the beauty of the spread...

No, it's still same risk (actually less risk) as two legs.

Positions for Tuesday, April 21: 50% long in MNQ, 50% long in M2k (Russell 2000 micro e-mini) 100% short in MYM Adjusted positions to be dollar neutral.