Futures spread trading

[Rationalize]

Quote from sle:

Let me ask you to confirm - are you are generating profits with a Sharpe ratio of 5+ and over 2 profit/mdd ratio on a strategy that appears to be relatively unconstrained capacity-wise? In that case, why are you running an advisory business and not flying private airplanes with playboy models?

+1

 

[Rationalize]

Quote from sle:

I think it's you who are being silly. If you have a 5+ Sharpe strategy with good other metrics that scales you can approach any quant fund allocator and get a few bucks to start. This said, through my years in the business the only people I've see that generate real-life returns with Sharpe higher then 2-3 or so (at the fund level!) are HFTs that are severely capacity constrained.

Similar experience .. have seen the same group (only) generate Sharpes greater then 2-3, and yes, on capacity constrained strategies, particularly exploiting microstructure more than anything else really.

 

[Rationalize]

Quote from pbylina:

Ok I understand you know. Thanks for the clarification. Yes I will use the tape to try to get in at the right time.

If you can "use the tape to try to get in at the right time" then why not just punt 1 leg directionally? Think of the commission savings ..

 

[sle]

Quote from pbylina:
Yes I will use the tape to try to get in at the right time.

Words of wisdom, courtesy of my old boss from BT, my he rest in peace:
Legging a spread is like spreading your legs - you might get fucked

 

[Rationalize]

Quote from sle:

Words of wisdom, courtesy of my old boss from BT, my he rest in peace:
Legging a spread is like spreading your legs - you might get fucked

.. and for the guys .. Don't get caught naked between spread legs ..

 

[pbylina]

Quote from booked:

What's that spread indicator from?

This indicator is for Ninja.

 

[pbylina]

Quote from Rationalize:

3. Something like that. Does your mean move?

If the mean is the green bands then yes it moves. I think it gets wider with more volatility...

5. Depends. Why would you not try to match the volatilities?

Because I dont what that is. Ok...Let me think about this. If One leg has bigger tick swings than the other, then the smaller moving leg needs more contracts to balance things out? So if for example EURO moves 3x as far as CHF, then CHF needs 3x more contracts? Is this matching volatilites?

 

[pbylina]

Quote from Rationalize:

If you can "use the tape to try to get in at the right time" then why not just punt 1 leg directionally? Think of the commission savings ..

Who knows..Maybe your right. Need to try it out.

 

[pbylina]

Quote from sle:

Words of wisdom, courtesy of my old boss from BT, my he rest in peace:
Legging a spread is like spreading your legs - you might get fucked

Is legging a spread just trading one leg?

 

[Martinghoul]

Quote from booked:
What do you mean by may need more math? You mean finding value? How do guys do that, I hear a lot about finding relative value or "fair" value, but everyone seems to do it a little differently....which then makes it not value(if they're all different?).

"Value" is always somewhat subjective...