Comparing NQ/qqq

S

sharktooth

Could you give me some feedback?

As you know 1 nq equals 8 lots of qqq.

A basic calculation showed me that at IB (=a US broker) the cost for transaction, b/a spread and slippage of 8 lots of qqq ($29)
is slightly favorable to that of a single nq ($34.80) contract:

QQQ round trip cost for 8 lots qqq= max $32 and min $29.
==========================================
Transactioncost for 1 round trip of 8 lots is max. $ 16 and min. $13 (if not scaling in/out).

The average B/A spread of 8 lots of qqq ($1 a lot) is $ 8.
Average slippage 8 lots qqq ($ 1 a lot) is $ 8.

NQ round trip cost 1 nq=$ 34.80:=
=========================
Transaction costs for 1 round trip of 1 nq is $4.80.
Average B/A spread nq (about 1 point) is $ 20.
Average slippage is (0.5 point) is $ 10.

I would like to discuss:

a] are there (backtested?) tactics for scaling in/out and/or
traling the 8 lots qqq that are superior, in risk/reward, to
trading just a single nq contract?

b] how is your experience of qqq execution (ibsmart, arca) speed
and reliability during normal market hours compared to
globex for nq?

tax US/non US: because I live outside the US, the favorable
US tax treatment of futures is irrelevant to me.

Regards
 
Originally posted by Uncle Festus


Except for outside the market hours the spread is generally 1/2 point.
More...

Thanks, with a spread of 1/2 point the cost is now about
the same for nq and 800 qqq.

This makes the following question valid:

Any ideas on how the risk/reward potential of scaling/trailing 800 qqq can methodicaly outweight the trading of a single nq contract?

 
With the NQ's you get 60% long term, 40% short term capital gains and with the QQQ's you get 100% short term. With NQ's you get to keep roughly 5% more of your profits after taxes. This probably outweighs any transaction cost differences between these two very liquid markets.
 
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