Index future spread help (newbie)

C

clowner

Hi all,

This is my first post. I am starting with spreads, could you help me to build this trade?.

*** Spread DAX / FTSE100 (Future index)

DAX Friday Close (8660)
FTSE100 Friday Close (6550)

Ratio more than 2 SD from 20 simple moving average.
(Moving average parameters just for learing purposes).



*** SIZING LEGS (Clasic Dollar Neutral Method)

DAX = 8660 * 25€ (Point Value) = 216.500EUR
FTSE100 = 6550 * 10GBP = 66.500GBP (78.660EUR)

216.500EUR / 78.660EUR = 2,75 (Proportion)

1 contract DAX / 3 contracts FTSE100

- Would it be correct?

Thanks.
 
Using your numbers from 2013/09/22:

A 3 FTSE to 1 DAX leaves you 9% overweighted in the FTSE.

A 11 FTSE to 4 DAX is just about spot on.

The ratio will change as the DAX and FTSE move around.


The larger questions are why do you want to trade this spread, how do you pick the long and short legs and what about the FX exposure?

In the last month the DAX is up over 7% and the FTSE is up less than 1%. Great trade if you were long the DAX leg, bad trade if you were long the FTSE leg.
 
You put 4 DAX on and that spread blows out and, you'll know all about it if you're a retail trader.

DAX can do some pretty volatile moves intraday against other indices.

1 by 3 is fine if you have small capital.

Agreed about knowing why it's moving.
 
Hi friend

It's good you're giving spreading a go. Your ratio seems to be fine. If you're right, a bit of slippage on the hedge won't matter too much.

The problem is... you're trading the DAX. Lol. Oh man, that thing... can make you wish you never born on this earth.

Trading spreads in the exact ratio based off % points seems easy to do. The problem is that your time frame is a little longer and you are at the mercy of all the underlying cash products of German stocks vs. English stocks

You might have more success day trading it.

Good luck friend. xo

One more thing... it would be wise to try to remove the Dax. The Dax, when it goes, can over-shoot so f*cking hard its not funny. Thats why people always tend to under-hedge with the Dax because shes a little wh0rebag.

Once again i wish u the best. This is the best way to start exploring...
 
Thank you all,

sorry for taking so long to answer. Please, could you give me some good resources or any quality training about spreading.
 
Quote from clowner:

Thank you all,

sorry for taking so long to answer. Please, could you give me some good resources or any quality training about spreading.
More...

Don't pay for a training course. Don't buy any books. Trust me.

Ask around to try find knowledgable people and don't stop until You find it.

Hell, even e-mail a prop and firm ask if there is anyone they know who is willing to reply to some of your questions?

I can give you the correct answer but it's not the answer you want to hear. If you seriously watch the ladders, watch the spread chart, and trade 10-12 hours a day you WILL pick up the tricks of the trade. You WILL get better and better over time. You WILL develop ideas and a good sound execution method.

Most people don't want to believe it. But I've seen it with my own eyes. NOTHING BEATS HARD WORK. LONG HOURS.
 
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