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I don't trade the stat-arb HF convergence model by intention and design. I try to take advantage with the road less traveled and a little longer timeframe bias. HF can't trade many of these spreads effectively because of their divergence. Just because an automation strategy like stat arb...

After a PM, I'm going to list what I refer to as some useful texts with an important forwarding acknowledgement. First off, let me get this out of the way: The 'Holy Grail' is that there is no 'Holy Grail'. Thanks for stating the obvious? But there is some important subtext here: One can...

And all OTC derivatives contracts should be regulated but his because they're vital to Berkshire Hathaway and besides they're already on the books so they shouldn't be margined like everybody else's should oh and another thing, do as he says and not as he does because he owns a chunk of GS and...

If I were starting out fresh, I would spend much more time on effective and practical tools for the statistical analysis of data time series, and much less time on conventional charting technical analysis (sorry, Murphy). Doesn't have to start out as anything more than you learning to download...

Garch: I do model an ETF spread that behaves like the weighted Platinum vs. Gold futures spread: PPLT vs ( GLD * 1.5 ) Both are NYSEarca, and be sure to lead your execution with PPLT as it only trades about 40K per day. I don't like the gold vs. silver spread for a number of technical...

There is no 'sure thing' - just better risk/reward skews. With properly modeled spreads, you are trading the differential (price differences) between two or more instruments. You hedge out directional risk and the profit/loss comes from divergence or convergence of the spread differential...

These are not calendar spreads - they are futures contracts versus futures contracts. You get about 80% SPAN margin offset, and nearly all of my clients are in and out of them the same day. Quite frankly, I've got clients trading these quite effectively using IB or Advantage Futures non-member...

Anaconda: Judging by a quick scan of your posts - you appear to be quite long on sarcasm and devoid of any meaningful content regarding trading. Aside from high frequency cynicism, do you care to add something regarding metals spreads?

I do have some openings coming up from Oct/Nov 2009 clients who are done with their contracts. I could rotate in a couple of 'newbies'. I have three ET members who recently joined up who are experienced equity pairs and stat arb types - one is a phD who was on Morgan Stanley's desk long...

You're better off studying rolled commercial longs vs. rolled commercial shorts. The backwardation and contango get so pronounced and trends so hard because commercials prefer to hedge with strips, and those strips are either rolled monthly with the front cal or delivered. To that end, mean...

You know somebody from the floor, and that makes you an oracle? Me too. The Nymex floor means nothing to me - just ask Mark Fischer how the screen is going for him. I have seen very few Nymex floor traders make a successful transition to the screen. Did you know that a floor local on Nymex...

The RBOB Crack Spread has a 20 day ATR of 60 tics. We risk 10 tics to make 20 with that kind of range. Risk $90 to make $180 on less than $5 for commissions and exchange fees full round turn (retail rates non-member) all-in on an exchange-supported implied spread. I used to trade...

RedSun, my experience has been quite to the contrary. Energy spreads are the best risk/reward out there for a modestly capitalized independent trader. I have some newbies clearing over $10K per month NET trading the RBOB Crack spread alone. And they are paying non-member "retail" rates...

Salient Point: If you have faded a big move, and you get instant love, then fantastic - the market agrees with you. If you are taking heat and starting to print some bars in there (tic - toc, time is passing by) then the market accepts that price as legit and you'd better cover - or if you...

Well, there's a bigger issue here in the sense that traders who become clients of mine just don't want to be handed the fish - they are paying to be taught how to fish. Some case points: A client of mine from Australia is one of the biggest 90 Day Bill traders on the SFE. He is now moving...

WRB: It gets even better. Wants to become a client. So much for 'old crop, new crop' or 'ethanol distillation demands on the 2011 grain crop'? Honestly, you are going to see most fundamentals like seasonality or weather on a chart - how you may ask? Price is price. Price reveals all...

Comex vs. Comex, Comex vs. LME, LME vs. LME metals spreads with very good statistical correlations and very good industrial fundamental relationships. LME or Comex Gold vs. Platinum LME High Grade Aluminum 3-month vs. LME 3-month Copper or Comex Copper LME 3-month Zinc vs. LME 3-month...

Size being traded at those prices, and market participants not letting that price retreat back to the previous trading range prices. "New Value Area" I think they call it. To me, it's all about time. The more time a price spends at a new level, the more the market accepts it as "Fair Value".

Ahhh yes, the vertical histogram. MP and Point & Figure are super tools - I was taught by Pete Steidelmeyer and Robin Mesch, who of course apply the methods to the extreme. The bottom line: if you spend any "reasonable" amount of time at a new price level, the market accepts that price and...

I don't care if a person calls it TA or T and A or statistical time series analysis - the fact of the matter is that a trader requires some sort of historical reference point for which to make a simple decision: buy or sell. A simple moving average cross applied to 30 minute bars is actually...