It's been 3 years and I'm back!

[s0mmi]

Effectively! deviations bigger than 4 times of what one would expect.
Just for my own information: how many hours/days do you usually hold your index spread?
On these 2 occasions ( august 2015, april 2016) : how long did you stretch your holding period?
and as you averaged, how much bigger was your final ( or maximal) clip size compared to average?

When I used to do it, I would hold between 15 minutes (good times) up to 14 hrs (bad times). On that august period, I exited 10-minutes before the close which was U.S. Afternoon. Sometimes I'd have to hold into the Aussie re-open and exit in the auction. But then this got dangerous.. really dangerous... so that's a story for another time.

In terms of averaging, I would always do a smaller clip on the second one. So first clip was 1, next was half, then next was half again. On really tempting days, I would go half and half again and have 3 clips. But the probability of winning has significantly changed.

I don't do the index spread anymore nor bond spreads until they behave. I am doing outrights and trading off price action. The risk/reward is a lot better and I can transfer my skills across products.

 

[TraDaToR]

Can I ask, would you advise taking advantage of the first 2 hours of the open for Soybeans and Corn? I think I can scalp them, but they seem to be active during the Treasury Pit open as well so I can't watch both at once with 100% focus

You mean the main trading session open? . What kind of strategy would you like to play on grains? There is a lot of activity in the first half hour, but I trade all day undifferently.

 

[propwarrior]

When I used to do it, I would hold between 15 minutes (good times) up to 14 hrs (bad times). On that august period, I exited 10-minutes before the close which was U.S. Afternoon. Sometimes I'd have to hold into the Aussie re-open and exit in the auction. But then this got dangerous.. really dangerous... so that's a story for another time.

In terms of averaging, I would always do a smaller clip on the second one. So first clip was 1, next was half, then next was half again. On really tempting days, I would go half and half again and have 3 clips. But the probability of winning has significantly changed.

I don't do the index spread anymore nor bond spreads until they behave. I am doing outrights and trading off price action. The risk/reward is a lot better and I can transfer my skills across products.

great posts mate. You come across as being truly humble to the market, you remind me of another trader I know who recovered from a potential career ending situation. It's interesting you chosen to move on from spreads. From what I have seen its the better capitalised disciplined traders who continue to kill it in the spread markets - and this comment has nothing to do with you obv. I have seen guys with 500k accounts go into highly co-integrated synthetic spreads (3 to 5 legged energy&rates), they may clip in the first entry sizing so they would bank 0.5% if they are correct right away, when it moves away they add another 0.5% etc. up to 7 or 8 layers. One guy went a whole year banking 2.5k- 5k without a single loss. Once those winnings are banked and not spunked on a sportscar they are then able to take bigger hits. As you mention its the guys who can cut a 30-50% drawdown trade of a large account and walk away that survive. A lot of these big traders are completely immune to PNL swings. They know at any given moment their open PNL could be printing -$20k to +$20k, the only thing that matters to them is the price they get out versus their bankroll and if they have the liquidity to get out.

A lot of the guys I know have moved out timeframes on the spreading front. So instead of looking to hold for 15mins to 12 hours they more likely hold for 2 hours to 5 days. This opens up a lot more spread strats imo, it also means less spins so again favouring traders with larger accounts.

Having that knowledge and experience in spreads is going to help you so much in the outrights. You can see where money is being pressured in the curve and how sessions are so important to how price moves. Also interesting to see you are still using the ladder to make trading decisions, I have moved away from this in the last 5 years. I think it's partly an age thing tbh, I just didn't want to be watching every tick when i hit my 4th decade is approaching.

good luck and thanks for sharing.

 

[CanOz]

What a stellar thread, good to see you surviving S0mmi...Allot of your writings echo of a mate of mine that worked in STIRS in Oz for a long time. He's trading mostly term structures and the odd energy spread now, from Europe. He said nearly all of his friends are out of the business now. There's still a few around...Jacko in Sydney, K.Horth in Singa...heard a good one about him the other day....he still own the bills?

 

[JackRab]

In April 2016, this was the sign that the mean reversion of the Aussie spi vs. E-Mini was starting to distort and fall off a cliff. I think the Aussie Spi had 9 days up, in a row, over night, and then one day flat, and then the 11th day it went up again. No announcements, no reason.. just luck. I was always selling it, trying to hope for mean reversion...

Ah, looks like I was in the same shit house as you mate. Mid April was terrible for me, I lost a bunch with SPI short as well....

 

[CBC]

I am in Sydney.

Hey Sommi,

I've seen ur posts around the place and wondered where in Auz u were as I also live in Auz. I'm in Melb tho.

You seemed to drop off ET there for a bit however now that your back I was going to PM and ask about things.



CanOz, I havn't seen that name in a while. How is ASF?

GL Trading.

 

[s0mmi]

You mean the main trading session open? . What kind of strategy would you like to play on grains? There is a lot of activity in the first half hour, but I trade all day undifferently.

I would like to trade the price action off corn or soybeans and scalp it. Corn has a lot of players! But the problem is, its active at the same time as the Treasuries. I would love to trade them if I see potential setups when the Treasuries aren't moving on the day.

I can't believe how much I've missed out on in the past 4 years.. we all had a limiting belief that we could not make money in overseas markets due to the 250ms lag time, and the dreaded "bots".

The future looks bright from here.

What a stellar thread, good to see you surviving S0mmi...Allot of your writings echo of a mate of mine that worked in STIRS in Oz for a long time. He's trading mostly term structures and the odd energy spread now, from Europe. He said nearly all of his friends are out of the business now. There's still a few around...Jacko in Sydney, K.Horth in Singa...heard a good one about him the other day....he still own the bills?

Everyone with over a decade experience is still going strong with their bottom-dollar brokerage rates to participate in the Aussie Bills (STIRS).

As for everyone else new to it... it's unfortunate for me to say this but I think there's about a 95-99% failure rate, if not 100% now in Sydney. I do not think its because of a skill problem, but more-so that new kids are way too scared and confidence is at an all time low.

So everyone now has to fight;

1. The clock
2. Near-zero interest rate movement
3. Tight-lipped poojabbers who won't help them
4. Money pouring out of short end and stagnating in long end

I offer as much help as I can.. but I can only teach what I know. There is still light at the end of the tunnel. But I don't know how much meat is left in the Aussie STIRS or fixed income for newcomers.

 

[CanOz]

CanOz, I havn't seen that name in a while. How is ASF?

GL Trading.

All good over at ASF....bit slow on the intra-day chatter though.

 

[MarketOwl]

I don't blame profitable traders for being secretive. Especially the ones that are not top 1%. The non top 1% are the ones who desperately need to have their strategies remain viable. Because they rely on strategies, not feel or intuition of market movements. The last thing they need is tell others about their strategies and have it being in widespread use, killing off much of the edge.

There's nothing wrong with someone being secretive and keeping it to themselves. However, there is always a common personality with this type of behavior. They carry a badge of distrust. 50% of people just ride their d1cks hoping that they spill juicy information, and the other 50% just know they're untrustworthy people and want nothing to do them. I have seen this type of sh*t for too many years. As if trading profitability wasn't hard enough, and now you have to decipher where this f*ckwit is talking in hidden code or being serious?

Also, if you are like this, you better be in the top 1% of traders because if you start to fail and require help from others, no-one is going to be there. You reap what you sow. I can name you 5 people who are gone that all thought they had solved it. Guess what? The market solved them. Luckily for me, I was able to ask enough about their strategies and find out what they were really doing. Game Over.

 

[propwarrior]

I
I can't believe how much I've missed out on in the past 4 years.. we all had a limiting belief that we could not make money in overseas markets due to the 250ms lag time, and the dreaded "bots".

The future looks bright from here.

amen to that Sommi. There are plenty of markets out there which are not infested with bots because it is simply not worth their while when there is easier liquidity to be had. They cannot scale up in these markets and therefore they hunt for easier prey. From the middle of the curve back in the exchange cal spreads of many commodities the bot infestation is less of an issue fo sure.