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Starting to think you're a troll at this point. You could just be a moron though. If you want to delude yourself into thinking you've won some kind of argument here, be my guest. Your ramblings don't change the obvious fact that persistent contango means the fund will continue to underperform...

What is it about this thread that brings out all the people lacking in reading comprehension skills? if the futures curve remains constant, that means the near price has converged to the original far price by expiry. Then your "within contract" PnL is equivalent to the difference.

I honestly have no idea what your point is. Do you dispute that contango creates unexpected losses for naive retail investors who try to buy the dip in USO? That's what this thread is about. That was a reply to me. The "he" here is referring to you. Maybe slow down and read the posts a little...

What part of "the futures curve remains constant" did you not understand?

This sounds like word games. I don't think most people would agree that "spot performance" includes storage costs. If this is some kind of industry standard definition, provide a citation. Regardless, the author's point about there being a drag on returns of the fund compared to a simple...

Just imagine what happens if the futures curve remains constant for a few months. e.g. near month = 30, far month = 35. Every time you roll you are realizing a loss of $5.

The point is that the total return will underperform spot while oil is in contango. The author is absolutely correct in this.

This doesn't justify their weirdo equity margins. The fact that they still as we speak offer more leverage on crude than on AAPL, MSFT tells me everything I need to know about the competence of their risk department.

their comms are higher than IB..

Anecdotally, I have traded hundreds of thousands of MOO orders, seen, maybe.. a few dozen that did not fill, but I have never once seen a partial fill. The implication is that you might be able to achieve a partial by breaking up your own order into multiple smaller MOOs, since it seems the...

Here's the answer: You can't. Indexes aren't real and can't be traded. Make your strategy on an actual financial instrument instead.

OK. Well I hope you still made a healthy net profit overall (unclear from your posts). Btw it's really not that hard to stay inside IB's limits. You can query the margin requirements for all the stocks you trade using the API at the start of the day using "what-if" orders, and requirements...

this is like elementary school math, how does someone who trades options need help with this :confused:

I'm confused. Are you saying that: A) you have been getting autoliquidated so many times that you lost 100k from slippage and/or being unhedged B) you had to reduce leverage to avoid being autoliquidated, and this caused you to earn 100k less than you could have made with 3:1 leverage The way...

BTW one reason why this may not have been done yet is that API copyright is currently a legal grey area. People will be rightly afraid of being sued by IB if they did this. There is a case between google and oracle that is going to the supreme court soon that may set a precedent for API...

By API code translated, I assume you mean they could provide an API server that speaks in the IB protocol? That would be difficult but possible upto a certain level of compatibility. Without the source code to IB's systems, there will almost certainly be small differences that break some...

OK. I don't completely get it but I certainly wish you the best of luck that all your years of effort are about to pay off soon! Personally my approach is to trade any ideas I have ASAP by incrementally incorporating them in my live system, because the market gets a bit more efficient every...

Congrats on the second smaller strategy. I think almost anything would print money during march, but hopefully it keeps going well as time goes on! As for your ultimate strategy.. What does your research process look like? I hope you don't mean you have just been looking at charts for 12 years...

Margin levels have dropped about 20% since I wrote the OP. Still at absurd levels, but at least not going up anymore (for now..). We are almost exactly 1 month after some of the biggest days in March, so I am guessing there is some kind of 1 month window and those days are dropping out now...

12 years is a very long time. Are you saying that all this time you have been running your original system without modifications while researching your new strategy? Why don't you incrementally incorporate parts of your best ideas into your live system so that they start making money for you...