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There is nothing to backtest here. There is no hypothesis. My HFT arb quant stuff is a structural edge (I know it works). My point is for all of the guys trying to trade indexes. You need to start watching the bond market because they are the ones that are doing the buying and selling...

HFT arb is cash and carry and reverse cash and carry. To track this you have to spread the front month CME/ECBOT quotes and NYSE ETF share prices against their CBOE cash index tickers. I use IB EXCEL API to do the analysis.

An edge is a separate thing. I use technology to track HFT activity in real-time. That's my edge. In developing this technology I was 'hunting the whale' so to speak and it lead me directly to the bond market. To the point where I can reverse the aim of the thing and trade bonds with it...

I have analyzed the CME, CBOE, ECBOT, NASDAQ, NYSE data. The bond market is driving the price action in the indexes. HFT is being used to provide liquidity for this trade. This means that if you are trading ES then you are essentially just trading the front leg of a ES/ZB, or ES/UB spread...

Apparently my edge is actually better suited to ultra bond futures, which is quite a surprise to me! (very short term/medium term/day trader) So, just a couple questions to some of the more experienced guys please. 1) What instruments are highly correlated to UB futures? I'd imagine there...

You must be a terrible trader with this level of awareness. Options traders are playing the vol, position traders are considering liquidating/reducing exposure, or taking advantage of a break in the action to get long. There are resting orders all over the board that could go off if the...

Simple. You get a software that can chart the spread. Then you do all of your analysis on that because it is the market now. Put ES and the spread on the same chart. It tells you what you need to know to trade ES all day long. (there is some other stuff I'm keeping secret, for now).

Actually, read it again. I said I don't use TA (here's where you say something about tail risk).

I love the fact that most of the trading is robots and algorithms. It's like playing a video game where the opponent is stupid bots. It's is easy to outsmart AI and take advantage of them. But, nobody is talking about it cuz it's a big secret. Here is a clue. It's estimated that up to...

I already answered your apple chart question. Globex was buying every dip and the institutions were liquidating stock (aggressively). They were selling into the bid all day. The news hit at the perfect time. There were 3 waves of buying on globex and the news hit right at the point of...

I just finished getting the IB API to feed data into Excel and didn't even really need to learn VBA. I have two realtime charts in Excel now. Not only do I have an awesome system that charts spreads, functions of spreads, volatility adjusted functions of spreads, and can chart/analyse/process...

Here's a chart of a spread that uses technical and fundamental analysis. This is the large cap small cap spread, Dow VS Russell. Momentum and crossovers make the selloff obvious. Does this one count? It's a chart of the ES PREM. This one is strongly predictive of price action and...

As for the US contracts, it seems like the FAANG+ is the only one with any kind of volume and it's only like ~2500 contract per day. ICE has expensive fees and it would seem like they don't have anything comparable for US index exposure. Seems hard to justify the costs unless you want to...

Hey guys. Wondering if any of you guys have some info on trading these products. Ever since the ICE started charging pro rates to everybody I kind of just wrote them off. However, that was then and this is now. Having made some serious progress with quantitative trading and especially...

Regulatory framework is already in place for a futures contract. AFAIK, an FCM has to register as a swaps dealer and this is no small matter. Maybe someone with more industry knowledge could explain why the perpetual futures are not catching on. Also, this sounds quite dubious. This...

This is funny as hell. You know that the AAPL chart is heavily arbitraged against the futures contract on GLOBEX. This means that your little argument that the AAPL chart is "randomly constructed" applies to the index as well (pretty obvious). Actually, the index value is completely...

No. Technically, you want to 'risk adjust' each position, so that they are balanced. A common industry measure of risk would be historical volatility (trailing volatility/rolling volatility/average volatility). So, you would 'dollar volatility adjust' the position sizing. This is called a...

Many types to trades have to be automated because the competition is so fierce. For example, many types of sector and index spreads, rates spreads, commodities spreads and almost all arbitrage, whether it be stat arb or pure arb like a forward vs spot trade require computer execution. You...

Kathy Lien is legit one of the best FX analyst I have ever read (but I'm no expert). I got her book a long time ago and read it for a while. She worked at banks and stuff so she knows all the traditional stuff and all of the counter theories and fringe theories. She is like an encyclopedia of...

Traders have always known that they must beat their opponent, which up until recent history has been investors/traders and market forces. If you don't start to study the robots and algorithmic trading then they will beat you, simply because you don't know who you are trading against, and...