Future Spread Trading

Junkou

Junkou

In the last four week, I have showed the asset allocation strategy:

https://www.elitetrader.com/et/threads/journals-of-conservative-investing.342056/

Performance as below:
First week: 14.75%
Second week: 5.33%
Third week: -13.21%
Fourth week: 20.48%

4-week compound return: 26.4%

In this thread, I will show the future spread trading using NASDAQ 100 micro e-mini futures (MNQ) and Dow Jones micro e-mini futures (MYM) based on our machine learning model. We will only use 2x leverage on one side, which means if NDX is up 1.5%, and Dow Jones up is up 1%, we will get 1% spread return: 2x(1.5%-1%) assuming long NDX and short Dow Jones.

Position for Monday, April 20:

Long MNQ
Short MYM

Adjusted positions to be dollar neutral.
 
So basically the direction with the margin is your profit side and if you get direction correct you profit and if not, you've got a hedge to reduce your loss but also your profit.

Do you hold until profit over all then take or do you have risk rules where you close out??
 
Junkou said:
In the last four week, I have showed the asset allocation strategy:

https://www.elitetrader.com/et/threads/journals-of-conservative-investing.342056/

Performance as below:
First week: 14.75%
Second week: 5.33%
Third week: -13.21%
Fourth week: 20.48%

4-week compound return: 26.4%

In this thread, I will show the future spread trading using NASDAQ 100 micro e-mini futures (MNQ) and Dow Jones micro e-mini futures (MYM) based on our machine learning model. We will only use 2x leverage on one side, which means if NDX is up 1.5%, and Dow Jones up is up 1%, we will get 1% spread return: 2x(1.5%-1%) assuming long NDX and short Dow Jones.

Position for Monday, April 20:

Long MNQ
Short MYM

Adjusted positions to be dollar neutral.
More...
-For this pair using Micro contracts do you get same margin offset as the Emini contracts?
- Do you leg in or use some advance Autospreader?
- Does use of Micros gives you better ratio control as compared to using the Emini?
 
traderjo said:
-For this pair using Micro contracts do you get same margin offset as the Emini contracts?
- Do you leg in or use some advance Autospreader?
- Does use of Micros gives you better ratio control as compared to using the Emini?
More...
1. Yes you will get the margin offset.
2. I open both legs at the same time.
3. Micros give much more flexibility in managing exposure, and ratio control as well
 
Turveyd said:
So basically the direction with the margin is your profit side and if you get direction correct you profit and if not, you've got a hedge to reduce your loss but also your profit.

Do you hold until profit over all then take or do you have risk rules where you close out??
More...
The model will tell whether to change positions at the end of each day.
 
Positions for Tuesday, April 21:

50% long in MNQ, 50% long in M2k (Russell 2000 micro e-mini)
100% short in MYM

Adjusted positions to be dollar neutral.
 
Junkou said:
Positions for Tuesday, April 21:

50% long in MNQ, 50% long in M2k (Russell 2000 micro e-mini)
100% short in MYM

Adjusted positions to be dollar neutral.
More...
THIS IS 3 LEGS ! does this mean directional risk on one of the legs
 
Tuesday, April 21:

Market record the biggest drop in 3 weeks as the oil slum deepen. MNQ dropped 3%, M2K fell 2%, MYM was down 2.45%. Today's return is 2x(-3%*0.5-2%*0.5-(-2.45%))=-0.1%

The portfolio is only down 0.1% today while S&P 500 fell 3%.

See, this is the beauty of the spread strategy.

Market is in the uncertain regime. We will hold cash Wednesday, April 22.
 
You must log in or register to reply here.
Back
Top