* Interested.
Something about a required return to overcome an expected volatility?
Futures spread trading
- Thread starter Lucias
- Start date
Something about a required return to overcome an expected volatility?
Well, sorta, but not quite. You know what goes into the calculation of Sharpe, I presume?
return over risk free / vol .. +/-
Yeah, roughly...
I'll delve into the really gory details later today, hopefully.
Hi folks,
I joined today to join in this discussion if I may....
I've been trading futures spreads for almost 6 months now with little success I admit. My biggest lesson has been to stick with calendar spreads for now - inter commodity spreads can really hand it to you - with a $4k draw down in one day on CL and HO a few weeks ago if my memory serves me right. I'm trading 1 lots while I learn.
Anyways, I've been using www.mrci.com for my research, basically selecting trades that are:
1/ roughly behaving according to their seasonal norm
2/ the recent 5 years have behaved according to the 30 year historical pattern
3/ the spread is currently seems to be bottoming or turning up from a down trend.
Simple, yet as my results suggest, also quite lousy! I see I need to do a hell of a load more research and some of the comments here are really proving food for thought (cheers bone & martin & few others)
for those who aren't familiar with mrci, their research is based on seasonals, so old crop/new crop, driving seasons, tax seasons etc.
Anybody have any thoughts on mrci?
Cheers
CP
I joined today to join in this discussion if I may....
I've been trading futures spreads for almost 6 months now with little success I admit. My biggest lesson has been to stick with calendar spreads for now - inter commodity spreads can really hand it to you - with a $4k draw down in one day on CL and HO a few weeks ago if my memory serves me right. I'm trading 1 lots while I learn.
Anyways, I've been using www.mrci.com for my research, basically selecting trades that are:
1/ roughly behaving according to their seasonal norm
2/ the recent 5 years have behaved according to the 30 year historical pattern
3/ the spread is currently seems to be bottoming or turning up from a down trend.
Simple, yet as my results suggest, also quite lousy! I see I need to do a hell of a load more research and some of the comments here are really proving food for thought (cheers bone & martin & few others)
for those who aren't familiar with mrci, their research is based on seasonals, so old crop/new crop, driving seasons, tax seasons etc.
Anybody have any thoughts on mrci?
Cheers
CP
Use it everyday and it is a wonderful tool.....but it is just that in my opinion---a tool to use in your research.
Every spread has its own personality and nothing is going to beat being in the markets and learning them.
One should not just simply look at a date a put something on---you need to have more than that or you will get run over eventually. MRCI is just spitting out raw information. You need to know/learn how to apply that data in a multitude of time frames and constantly changing variables-----so really it is an organized place to start.
It's been my experience that very few people have the patience to properly learn spreads and the intricate relationships that the months or various commodities have with one another.
Like anything else in life---experience and hard work are the keys to success.
A lot of my focus is on the risk side on these spreads. Maybe too much......
thanks OldTimer
I did look at corn, but passed it by because it seemed the average profit was only something like $300 per spread for holding over 2 months or however long the seasonal window was - that didnt seem like good use of capital at the time. i was probably wrong given the higher probability this trade has over the other decisions I've made. lol.
I've got my eye on the attached trade so you guys can maybe comment on how I should approach trade selection rather than blindly going for the chart pattern as described above. It would seem wise to look into the fundamentals of the legs concerned, but I only seem to find commentary based on the market as a whole rather than facts of the crop cycles. Im probably looking in the wrong place.
The fact is, i do ok day trading ES, and position trading out rights. however, i see the benefits of spreads and do see they are the clever guys way to trade, i just havent been able to get them to work for me yet (that should read havent had enough time to devote the proper attention and dedication to I guess!)
I did look at corn, but passed it by because it seemed the average profit was only something like $300 per spread for holding over 2 months or however long the seasonal window was - that didnt seem like good use of capital at the time. i was probably wrong given the higher probability this trade has over the other decisions I've made. lol.
I've got my eye on the attached trade so you guys can maybe comment on how I should approach trade selection rather than blindly going for the chart pattern as described above. It would seem wise to look into the fundamentals of the legs concerned, but I only seem to find commentary based on the market as a whole rather than facts of the crop cycles. Im probably looking in the wrong place.
The fact is, i do ok day trading ES, and position trading out rights. however, i see the benefits of spreads and do see they are the clever guys way to trade, i just havent been able to get them to work for me yet (that should read havent had enough time to devote the proper attention and dedication to I guess!)
yep. You hit the nail on the head Foo! I should go back to lurking this thread and see if I can pick up somethings along the way. no quick or easy money in this business until you've paid your dues as I learnt from other trading stuff - spreads will be no different - probably more effort involved given the better risk/reward if done properly.
Here is a link to MRCI's published results for hypothetical seasonal trades, including spread trades, for 2009 (access to more recent results requires a subscription).
www.mrci.com/pdf/hypo09.pdf
www.mrci.com/pdf/hypo09.pdf