How are you quantifying this?
I've seen MR RV return distributions that are positively skewed. As with all things, shouldn't context be the deciding factor - don't think that is inherently the case with all MR RV, no?
Futures spread trading
- Thread starter Lucias
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How are you quantifying this?
I've seen MR RV return distributions that are positively skewed. As with all things, shouldn't context be the deciding factor - don't think that is inherently the case with all MR RV, no?
Mostly with arithmetic.
But I suppose intuitively, I could ask - When MR blows up, is it through a large number of small losses, or a small number of large losses?
So what low-cost, retail-oriented brokers and charting packages can one use to start looking into spreading?
Do you guys only do "synthetic" spreads, or do you also do exchange offered spreads? I have a friend who trades for one of the largest multinational oil companies, and he does 90% spread trades, and I think they are mostly exchange based. But I am not aware of retail brokerage houses that provide access to those products.
IB is my broker, and based on experimentation in the past they do not provide margin breaks when synthetic spreading.
I primarily use Ninjatrader for charting, and spreading is not possible with that software.
I realize I could pay insane $/month for TT's X-Trader, but why would I want to do that if I'm only investigating spreading? Plus TT's charting sucks.
Any help would be appreciated.
Do you guys only do "synthetic" spreads, or do you also do exchange offered spreads? I have a friend who trades for one of the largest multinational oil companies, and he does 90% spread trades, and I think they are mostly exchange based. But I am not aware of retail brokerage houses that provide access to those products.
IB is my broker, and based on experimentation in the past they do not provide margin breaks when synthetic spreading.
I primarily use Ninjatrader for charting, and spreading is not possible with that software.
I realize I could pay insane $/month for TT's X-Trader, but why would I want to do that if I'm only investigating spreading? Plus TT's charting sucks.
Any help would be appreciated.
Excel + yahoo finance closing prices.
If you get bored with that, then give up.
Because .. there's a lot of actual work involved, as opposed to TA charts and directional punting games, delusions, and ultimately lies & chest beating. But that's a digression.
Of course it's going to be negatively skewed when/if it blows up.
I guess my point is to equate MR RV with a short gamma, negatively skewed strategy (i.e. selling SPY vol), is not accurate in all cases. There are MR RV assets/strategies with return distributions different from that (positively skewed).
You're right, that's both a digression and completely unhelpful.
Seriously, those who are spreading, what brokers are you trading through? How are you doing your charting? Surey some spreaders use charts, I've seen Bone post several. I have chart-based setups that work well on outrights, I'd like to spend some time investigating how well they work on spreads.
IMHO, there are very few RV strategies like that.
To me, such characteristics of RV strats follow from the fundamental premise behind them. I could wax lyrical about this, 'cause I have thought about it quite a bit. However, it might be a digression.
Seriously, Excel & yahoo closing prices.
That's a realistic starting place to build the quant framework.
If it doesn't look like there's anything there .. then no loss.
If there is something worth pursuing, only then move to intraday data.
I agree... Most of my "analytics" are in Excel.
If you want technical stuff (not my cup of tea), they're very easy to write in Excel (most of them are trivial arithmetic). You can also do more sophisticated things in Excel.
If you want technical stuff (not my cup of tea), they're very easy to write in Excel (most of them are trivial arithmetic). You can also do more sophisticated things in Excel.
Sorry to all, I should have known better than to post an equity shares basket trade into a futures spread discussion...
Only real point I was trying to illustrate is that a person does not have to take flat price risk on a singular instrument in order to consistently make money trading markets. It has always been my contention that if the retail-type traders knew more about the strategies that HF, Chicago prop futures, and IB desks used there might be some reflection about whether whether directionally scalping ES using a tic chart and common technical studies was indeed the best approach for their situation.
The other point is that the old idea about trading pairs for mean reversion (CFD) is, in my own opinion, not required and in fact may not even be the best approach.
And yes, you can chart spreads.
I think that there is a great deal of misinformation and downright ignorance on the more retail-oriented level about spread trading strategies.
Maybe some other brave soul would post some specific spread trades / charts / strategies for the collective good ?
Only real point I was trying to illustrate is that a person does not have to take flat price risk on a singular instrument in order to consistently make money trading markets. It has always been my contention that if the retail-type traders knew more about the strategies that HF, Chicago prop futures, and IB desks used there might be some reflection about whether whether directionally scalping ES using a tic chart and common technical studies was indeed the best approach for their situation.
The other point is that the old idea about trading pairs for mean reversion (CFD) is, in my own opinion, not required and in fact may not even be the best approach.
And yes, you can chart spreads.
I think that there is a great deal of misinformation and downright ignorance on the more retail-oriented level about spread trading strategies.
Maybe some other brave soul would post some specific spread trades / charts / strategies for the collective good ?