Futures spread trading

Mate, I appreciate that you're running an advise business, but I think you may need to explain how you "know" when something is diverging and not comming back.

None of this stuff is easy, nor a sure thing, and the quant competiton out there is lot more than some dude looking at correlation & a ratio using off the shelf tools.
 
Quote from Rationalize:

Mate, I appreciate that you're running an advise business, but I think you may need to explain how you "know" when something is diverging and not comming back.

None of this stuff is easy, nor a sure thing, and the quant competiton out there is lot more than some dude looking at correlation & a ratio using off the shelf tools.
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I don't know how anyone could consistently trade a two-legged futures spread for mean reversion since the year 2006, mate. We model for diversion.

In terms of "knowing", well, if you need to deal in absolutes you are in the wrong business. If you doubt otherwise, by all means, keep on doing what you're doing as it must be working swimmingly for you.
 
There has been more broad correlation over the past 3 years than ever before. Divergence, and dispersion have been a mug punter’s bet. Not hard to measure. Anyone who believes otherwise is lazy, a moron, or selling something without efficacy.
 
Quote from Rationalize:

There has been more broad correlation over the past 3 years than ever before. Divergence, and dispersion have been a mug punter’s bet. Not hard to measure. Anyone who believes otherwise is lazy, a moron, or selling something without efficacy.
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For an ETF arbitrage specialist like yourself, I can see how you've arrived at your viewpoint.
 
Well, maybe someone else can post something constructive and informational for a change - the sniping and ankle biting is easy.

Maybe one of the bomb throwers would like to be helpful, perhaps ?
 
well i guess i'll put myself forward as an easy target - got out of my 'sure thing' soybeans with only 6 tics grace on the realisation the whole damn curve was shifting to contango and im on the wrong side!

me and my big mouth.....


still, tiny profit always better than a loss.....
 
Quote from CrackPipe:

well i guess i'll put myself forward as an easy target - got out of my 'sure thing' soybeans with only 6 tics grace on the realisation the whole damn curve was shifting to contango and im on the wrong side!

me and my big mouth.....

still, tiny profit always better than a loss.....
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I've been long March 12 Wheat and short July 12 Wheat for going on three full weeks now.

Agree about getting too cocksure about markets - they always find a way to remind us of our foibles.
 
Quote from nokomisjeff:

Wheat and corn spreads have been a big part of this person's life for 35 years and it is the spreaders who have the career longevity, not the scalpers. The ag spreads are beautiful.
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So spread trading is better than scalping? And this on a platform like X_Trader?
 
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