does anyone know if Tudor actually trades his own book...
his fund is down big...maybe hes not watching his boys play.
his fund is down big...maybe hes not watching his boys play.
ES Journal Archive (2006 - 2008)
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tortoise, I didn't notice but I think I know the answer.
What is your definition of "fair value" ?
If it is the exchange's calculation, one input to the calculation is an interest rate. They probably use today's interest rate. In fact, if they are using libor it has been pretty high lately.
Bottom line is, the market as defined by traders of the ES is assuming a lower interest rate than what was used by whoever calculated fair value this morning.
The difference between using 5.25% and 4.75% is almost 2 S&P points. The market is going to assume an average blended rate based on 5.25% for a couple more days, then.... 5%? 4.75% until the next meeting... then what?
lower interest rate in formula = lower fair value
Quote from Jaxon:
tortoise, I didn't notice but I think I know the answer.
What is your definition of "fair value" ?
If it is the exchange's calculation, one input to the calculation is an interest rate. They probably use today's interest rate. In fact, if they are using libor it has been pretty high lately.
Bottom line is, the market as defined by traders of the ES is assuming a lower interest rate than what was used by whoever calculated fair value this morning.
The difference between using 5.25% and 4.75% is almost 2 S&P points. The market is going to assume an average blended rate based on 5.25% for a couple more days, then.... 5%? 4.75% until the next meeting... then what?
lower interest rate in formula = lower fair value
Yes, a very good point. If you go to indexarb.com or programtrading.com, you'll find fair value calculations based on blended interest rate yield curve constructed from quotations for deposit rates and eurodollar futures. It's my observation that their formulae results in something different than the Libor rate, but, admittedly, this is all rough carpentry for the very reasons you cite.
In any event, I note the values offered by both sites and monitor their respective levels, daily, in real-time.
Today's activity struck me as unusual, and interesting...Then again, I'm somewhat new to the fair value game, so I may be making much about nothing.
happy trading to all...wish u well..
the cutting losses short for me is always a specific loss range ym 5 t0 8 pts...i have safe stop points proven by extreme amt of data.........not based on bars, #pts, etc...the system must filter the junk so the stop point is not given when junk is there...same for entry....the problem with stops too close and or incorrect is they will kill you with the "death by a thousand cuts"...all I speak about is intraday emini futures trading...last night coming home from high school ball game i passed by the building where I was introduced to this business...massive # of LCD monitors on the walls etc...hundreds of thousands spent and wasted..by a man who had more than he could spend..5 yrs it took for him to give up...programmers and all....es intraday only...big money is not the answer...smart people is not the answer.....the answer I do not have...all i have learned is when price is going up buy when it is going down sell...it only goes up and down even when it is sideways it still goes up and down....run and chop...only...control your emotions and accept reality....up or down bias your mind and you are not there...for instance an intraday trader talking about Fed speaking "next week"...totally irrelevant to foolish...just like news...my system only gives signals..why it gives signal is not worth knowing for me..it is the signal that is the money producer.... .......If you have a "safe stop" high probability, and it is always small and you always set it immediately after being filled on entry, how can anything cost you more than any other thing? Maybe don't expose your account at specific fed announcement Moment but shortly thereafter your mechanical signals will resume as normal...if one has a good system and has done his due diligence why does he still have many losses to accept getting to the good signals trades? If we have an excellent system it should not fail very often..we are not there yet if we fail often and small...a loss is bad..for me..and seldom...i prefer fail seldom...and the psyche likes that...emotion is psyche...failure is bad for all things between the ears..when failure occurs minimize the loss is correct, but more importantly, keep the losses seldom, is more important than keep them small, imho....... risk reward ratio buylow sell high trend is friend...all of those are not going away..regardless of how intelligent and modern we are... new york or cattle gap egypt....
there are 2 reasons for having to incur many small losses to get to a good one....counter trend trading....and weak system...
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