Index futures automation

[hilmy83]

View attachment 325166

View attachment 325167

 

[Mo06]

Just checking how it's going... the answer is well.
That green line sure is steady.

 

[hilmy83]

View attachment 325382

View attachment 325383

 

[hilmy83]

I'm thinking a lot about being a CTA lately and run a managed futures fund. The strategy would be comprised of:

Algo: 20% algo (NQ focus)
Net long index: 80% NQ long bias (with ES hedge to a certain point).

My alpha will come from 2 strategies:

• Net long NQ: NQ will usually far outpace ES in bull markets (or volatile recovery).
• Algo: this will yield around 10% gain for overall portfolio.

Scenarios:

1. In strong bull markets (2023), my long NQ will usually outpace short ES (even if the positions are equal)
2. In bull recovery (2020), my NQ positions (from DCA)>ES short positions leading to greater recovery in NQ.
3. In bear markets (2008), my overall portfolio should be about neutral to negative (but it should be outperforming long equity portfolio.
4. In sideways market, my portfolio should be about neutral

All the while, my 20% algo position is running. This should improve performance in sideways or bearish markets.

Worst case scenario (<1% chance) I will lose 10% on the algo outright on this, but I believe it can recover.

 

[hilmy83]

To make this work based on the percentages I set for each strategy, I would need 250k
50k for algo
200k for long index

So it'll be a while

Maybe I can convince the wife to contribute , after all she's using my algo free of charge!

 

[hilmy83]

Been thinking about futures options. Tempted to try it out. Unfortunately, cna't do it through MT5, so looking at CQG platform for now.

If I sell 1 ATM MNQ put expiring tomorrow: I think the credit will be 85.5x0.5 (tick) = or $42.75?

 

[Overnight]

Been thinking about futures options. Tempted to try it out. Unfortunately, cna't do it through MT5, so looking at CQG platform for now...

Can't you do it through QT? (You have it, so are familiar with it.)

 

[hilmy83]

Can't you do it through QT? (You have it, so are familiar with it.)

Noice

Feel like a noob in a candy store..

 

[hilmy83]

well this blows....

basically simple long call/put

that's not even a level 1 option access.

 

[Overnight]

well this blows....

basically simple long call/put

that's not even a level 1 option access...

Back long ago I remember AMP having a separate section in account management for requesting options permissions, and there was a separate, separate section about how many limbs you had to send them to enable options selling. Have no idea where that all is now after their website updates since then.