Kudos to MMs
- Thread starter nitro
- Start date
If you're referring to options expiry, my puts are for October...
I have to confess that I've never held a futures position long enough to need to roll it, but I was under the impression that a roll happens as one atomic operation. Thus a profit or loss could only occur from backwardation or contango. Is this not the case?
The roll should happen yesterday, today, or no later than Monday (my preference). It will cost 1/4 of a handle per unit. If you have a great broker, it can be done very cheaply.
NFV is computed against SPX. We use ES as one avenue to implement a real world trade on that divergence. If you don't want to deal with expirations, use SPY. The reason I don't like SPY is that we can't trade it overnight, greatly reducing our strategic moves.
I can see how the term would confuse you though, because the basis converges at expiration. NFV does not work like this, so convergence between NFV and SPX has nothing to do with _expiration_ of futures or options contracts.
BTW, to clarify, the exit as I use it is as follows. We take profits on a chain level when it crosses the previous chain level. So if we are short from 14, 24, 35, we take profits on the units from 35 when the divergence goes back to 24, and we take profits on the 24 units when the divergence goes back to 14, and we take profits on the 14 when divergence goes below 7.
However, I have heard people do things like, only take 24, and leave position on until almost "zero." It all depends on your level of aggression, your instrument, your R/R, etc etc etc. The higher the VIX though, the more killer my system of adds/profits is. Oh high VIX, I have seen it go, 24->35->24->40->24 (add, add, take off, add, take off,...) all in one day! We are gamma scalping without an options position! So I am just raking it in. The lower the VIX, probably leaving all or most of the position on to zero convergence works better. In between VIX like now, eeeeh, leave it alone and use my chain system.
The chain is a guide to both instill discipline and remove fear from people here that aren't used to trading, and to allow some of their own customization preferences based on their account size and risk preferences. The meat is NFV. Without edge, you can stand on your head with any chain imaginable and you will lose over repeated trials.
Note that there is and optimal chain on any given day. But I challenge anyone to know what it is before hand. Yes, I am working on that too...
However, I have heard people do things like, only take 24, and leave position on until almost "zero." It all depends on your level of aggression, your instrument, your R/R, etc etc etc. The higher the VIX though, the more killer my system of adds/profits is. Oh high VIX, I have seen it go, 24->35->24->40->24 (add, add, take off, add, take off,...) all in one day! We are gamma scalping without an options position! So I am just raking it in. The lower the VIX, probably leaving all or most of the position on to zero convergence works better. In between VIX like now, eeeeh, leave it alone and use my chain system.
The chain is a guide to both instill discipline and remove fear from people here that aren't used to trading, and to allow some of their own customization preferences based on their account size and risk preferences. The meat is NFV. Without edge, you can stand on your head with any chain imaginable and you will lose over repeated trials.
Note that there is and optimal chain on any given day. But I challenge anyone to know what it is before hand. Yes, I am working on that too...
great deal! where do i sign up?
am i naive to think that what you have is the best system out there? has anybody actually SEEN anything better? i am a little guy so i have no info about the performance of the great systems that exist(ed), but my common sense tells me that significantly better systems simply can't exist.
of course if NFV system suddenly goes bad i will have to withdraw my assessment. this seems unlikely at this point.
Downtown Chicago is littered with automated futures systems that your eyes would pop out of your head if you saw them. A while back I interviewed for one job as a programmer where the principals told me that they had four losing days in three years. I nearly fell off my chair. It gave me the hope that if I tried hard enough, I too could come up with something. NFV is _my_ best system ever.
But, I am small fry man.