Andy's Spread Trading Journal

4 x WN5 - WH5, risk $250, basis is seasonal, entry at 14 1/4 on 01/05. Will exit if the spread doesn't start to move up till Friday.

It's moving very slowly but the right way. Let's see if we get some move the next days!


3 x LCJ5 - LCQ5, basis is seasonal, entry at 7.42 on 01/07, risk $400

I was close to exit today but the spread moved up. Will move my stop to 7.81.
 
Quote from Jordan_Andy:

Hi H2O,

sorry I did not want to ignore your question:

"Andy, what kind of data do you use ? (And from who ?)
I assume you use continuous data for your spreads, what kind ? (backadjusted, ratioadjusted, perpetual)"

I use esignal at the moment. Real time for the CME and CBOT. These are the markets I am trading most of the time.

But for the spreads you do not need real time. Actually with EOD data you are fine!

Have a good day,

Andy
More...


Andy,

I know you can work with EOD data if you're trading spreads. What I don't understand is how you can work with eSignal. My guess is that you need continuous futures data for your spreads. Since esignal doesn't have other continuous data than just linked contracts, I don't see how you can work with this data.

Most EOD data gives you either back adjusted or ratio adjusted continuous data. This way you can truly test longer term data.

How do you work with eSignal ?
 
"I know you can work with EOD data if you're trading spreads. What I don't understand is how you can work with eSignal. My guess is that you need continuous futures data for your spreads. Since esignal doesn't have other continuous data than just linked contracts, I don't see how you can work with this data.

Most EOD data gives you either back adjusted or ratio adjusted continuous data. This way you can truly test longer term data.

How do you work with eSignal ?"

Hi H2O,

you do not need continous data for the spreads. I am looking at spreads in the for of EDH7 - EDH5. For my research regarding seasonality or correlation I use charts from a provider who offers charts back to 15 years and more.

Regards,

Andy
 
3 x LCJ5 - LCQ5, basis is seasonal, entry at 7.42 on 01/07, risk $400

I did get out of my LC spread above at 7.52

Profit 120 - commission 150 = -30

Hyp. Account at $19,596 (because I want to use the close for my entries/exits I adjusted the loss of the HU-HO spread to $323).
 
4 x WN5 - WH5, risk $250, basis is seasonal, entry at 14 1/4 on 01/05. Will exit if the spread doesn't start to move up till Friday.

I got out of my wheat spread today.

Exit at 14. Loss $50 + Commission makes a loss of $250.

Hypotetical account = $19,346

6 x EDH7 - EDH5, risk $200, basis is correlation, entry at -1.155 on 01/19. The spread moved up nicely the last 2 days. My mental stop is now at break even.
 
6 x EDH7 - EDH5, risk $200, basis is correlation, entry at -1.155 on 01/19. The spread moved up nicely the last 2 days. My mental stop is now at break even.

My stop at b/e got hit and I got out at -1,16. I got a loss of $150 + Commission = $450.

My hyp. account is now at $18,896.

I did enter the following spread:

6 x FCK5 - FCH5 at -1,67 on 01/21, risk $200. Basis seasonal and a RH. My stop is at -1,07 at the moment.
 
Quote from Jordan_Andy:

6 x EDH7 - EDH5, risk $200, basis is correlation, entry at -1.155 on 01/19. The spread moved up nicely the last 2 days. My mental stop is now at break even.

My stop at b/e got hit and I got out at -1,16. I got a loss of $150 + Commission = $450.

My hyp. account is now at $18,896.

I did enter the following spread:

6 x FCK5 - FCH5 at -1,67 on 01/21, risk $200. Basis seasonal and a RH. My stop is at -1,07 at the moment.
More...

Andy,

On your last trade,

1. Why didn't you enter at the breakout of the 1-2-3 pattern on Jan 18/19 ?
2. On Jan 21 I see the RH (top on 01/19), but why did you enter on that specific date ? I mean, the RH is not taken out until Jan 24/25. I thought the breakout of the RH signaled a possible entry ? This combined with the fact that I see an area of resistance/support at -1.10 (Yes, also the top of the RH) I would have waited for the actual breakout of the top of the RH.
3. You say your risk is $200,- I assume this is per contract?
4. Why did you place your stop at 16 ticks (or 0.4) from your entry? I see some support there in December 04, so that could be a reason.
5. IMO The best stop would be below the 1 point of the formation but since this is a full point (= 40 ticks = $500/ contract) perhaps this was to much risk for the trade ?
6. Where do you get your seasonal info (MCRI subscription ?)

Looking to get as much insight as possible here ....

Regards
 
Hi H2O,

please see comments below:

1. Why didn't you enter at the breakout of the 1-2-3 pattern on Jan 18/19 ?

I just wasn't sure about it.

2. On Jan 21 I see the RH (top on 01/19), but why did you enter on that specific date ? I mean, the RH is not taken out until Jan 24/25. I thought the breakout of the RH signaled a possible entry ? This combined with the fact that I see an area of resistance/support at -1.10 (Yes, also the top of the RH) I would have waited for the actual breakout of the top of the RH.

I am using something like a Trader Trick Entry for spreads.

3. You say your risk is $200,- I assume this is per contract?

yes

4. Why did you place your stop at 16 ticks (or 0.4) from your entry? I see some support there in December 04, so that could be a reason.

Because after the nice move up I moved my stop to b/e as mentioned.

5. IMO The best stop would be below the 1 point of the formation but since this is a full point (= 40 ticks = $500/ contract) perhaps this was to much risk for the trade ?

Right, just too much money for this trade.

6. Where do you get your seasonal info (MCRI subscription ?)

Right at MRCI!

Regards,

Andy
 
My FC spread just did not want to move up. I got out today:

6 x FCK5 - FCH5 at -1,67 on 01/21, risk $200. Basis seasonal and a RH. My stop is at -1,07 at the moment.

Out today 01/31 at -0.97
Profit is $2,100 - Commission of $300 makes a hyp. profit of $1,800.

Hyp. account is now at $20,696.

I did enter the following spreads last week:

2 x 400*LCJ5 - 500FCH5 at -$15,020 on 91/24, risk $800, basis is seasonal and a RH. I got already out at -$14,932 today on 01/31. I gave the spread 5 days but it did not want to move up.

Profit is $176 - commission of $100 makes a hyp. profit of $76.

Hyp. account is now at $20,772.

3 x 100*ERH5 - 20NQH5 at $31,449 on 01/26, risk $500, basis is correlation and a break out of a trading range. Spread moved up very nicely today and my stop is now at b/e.
 
I entered the following spread:

4 x LHM5 - LHJ5 at 2.62 on 01/26, risk is 400, basis is seasonal. Spread is not moving at the moment. I am using a time stop till end of the week. If it's not moving up till then, I will kick it out!

I am also in the following spread at the moment:

3 x 100*ERH5 - 20NQH5 at $31,449 on 01/26, risk $500, basis is correlation and a break out of a trading range. Spread moved up very nicely today and my stop is now at b/e.
 
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