The chart was a joke. Bone was spreading (XLE * 851) - ES 1300 spot. Obv you can't do that (spreading notional vs. price or you get a x-val of 66k and leveraged XLE to the moon) and I thot it comical considering his condescension towards D1 traders on that thread with the "pure portable alpha" BS.
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Sample Futures Spread Portfolio Capital Requirements (CHEAP)
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The chart was a joke. Bone was spreading (XLE * 851) - ES 1300 spot. Obv you can't do that (spreading notional vs. price or you get a x-val of 66k and leveraged XLE to the moon) and I thot it comical considering his condescension towards D1 traders on that thread with the "pure portable alpha" BS.
There's a swaps tab in TT market explorer if you're enabled and set up by your clearing firm to trade Clearport and ICE-LCH. The market is more liquid and more products are available via OTC broker. It requires really big $$$ either way.
ok which PJM contract are you referring to specifically?
http://www.cmegroup.com/trading/ene...-time-off-peak-futures_quotes_volume_voi.html
i highlight the most active PJM contract which trades exclusively on clearport as you can see as per the volume...zero biz is done on globex.
the point being is that clearport has absolutely nothing to do with TT. If you are enabled to trade it on TT, you will see zero liquidity.
Clearport is a block trading system for brokers. usually you need to come in with a 25 lot minimum. So you call up the broker, do the trade, and they post it in clearport and its hits your account within 5 minutes.
I am beginning to think that you dont know what the FUNK you are talking about.
The chart was a joke. Bone was spreading (XLE * 851) - ES 1300 spot. Obv you can't do that and I thot it comical considering his condescension towards D1 traders on that thread with the "pure portable alpha" BS.
Ha, sorry wasn't trying to misconstrue what you were saying - I realize the point you were making. Since it was conveniently just a few posts up, I was using that chart as an example of something meaningless (as you were, albeit for a different reason).
I think we have dramatically different styles. I trade based on statistical tendencies using very large sample sizes. I honestly have no idea what that chart was supposed to convey - looks like random periods of chop and trend to me. Even if the entire chart was a 45 degree line like the one atticus posted, a single chart wouldn't prove anything in my view of the markets. Again, not trying to be argumentative but rather make the point that you and I are unlikely to convince each other of anything since our styles are so different. Glad that combo works for you - this just doesn't appear to be a good fit for me.
yea that's fair, but which each strategy that each trader creates for themselves also depends on which kind of execution technique you use. So what you refer to as "chop" i see mean reversion, i buy low and sell high in the ranges.....when the market trends up , i buy dips on the trendline......i would have to zoom into the chart for you to see, but i think the points have been made.....
trading is a personal process and it might not be for you
Ha, sorry wasn't trying to misconstrue what you were saying - I realize the point you were making. Since it was conveniently just a few posts up, I was using that chart as an example of something meaningless (as you were, albeit for a different reason).
No worries. I wanted to be clear about what I was referring to.
@Jtrader
here is another strategy:
i am scaling into it
selling at the first red line and second red line, and will hold for a buy target at the blue line using a channel index as a basis for time validity and stops.
this how i make money trading custom spreads.
this guy Bonehead, probably knows of professionals using the technique but cant do it himself so he charges people money. on his website, he it says he made 500k trading the gas oil crack. ....now take a look at the gas oil crack, and you can see how it behaves and know that its impossible to do that without a lot of turning over - getting in and out alot of times.
so if you compare the two strategies, who can see there is slightly more mean reversion and other times, clear trends
here is another strategy:
i am scaling into it
selling at the first red line and second red line, and will hold for a buy target at the blue line using a channel index as a basis for time validity and stops.
this how i make money trading custom spreads.
this guy Bonehead, probably knows of professionals using the technique but cant do it himself so he charges people money. on his website, he it says he made 500k trading the gas oil crack. ....now take a look at the gas oil crack, and you can see how it behaves and know that its impossible to do that without a lot of turning over - getting in and out alot of times.
so if you compare the two strategies, who can see there is slightly more mean reversion and other times, clear trends
Bone, I realize you're busy, but would you elaborate a bit on the following:
Above is my personal work station setup using the Trading Technologies Auto Spreader for the PJM electricity versus natural gas heat rate spread OTC swap. I can always get a better price here on the screen than through an OTC voice broker because I am picking up a considerable edge in either the power or the nat gas side. In the OTC world, the bid/ask spread can be a few to several thousand dollars or more for the smallest contract size.
Above is my personal work station setup using the Trading Technologies Auto Spreader for the PJM electricity versus natural gas heat rate spread OTC swap. I can always get a better price here on the screen than through an OTC voice broker because I am picking up a considerable edge in either the power or the nat gas side. In the OTC world, the bid/ask spread can be a few to several thousand dollars or more for the smallest contract size.
@Jtrader
this how i make money trading custom spreads.
can see there is slightly more mean reversion and other times, clear trends
Glad that you can see it in real time and make money from it - ultimately that's all that matters. Personally, I'm suspicious of the sustainability of such an approach and never see anything in charts. Knowing that I can set up a random number generator in Excel and make a chart that looks perfectly mean reverting or trending just by hitting F9 leads me to look elsewhere. Luckily there's a lot of ways to make money. If you're ever curious about a more statistically rigorous approach, this is an often recommended book: http://www.amazon.com/Analysis-Financial-Series-Probability-Statistics/dp/0470414359. Also, some of Clifford Sherry's stuff, while dated, is a gentler introduction to the major concepts.
Bone, I realize you're busy, but would you elaborate a bit on the following:
Above is my personal work station setup using the Trading Technologies Auto Spreader for the PJM electricity versus natural gas heat rate spread OTC swap. I can always get a better price here on the screen than through an OTC voice broker because I am picking up a considerable edge in either the power or the nat gas side. In the OTC world, the bid/ask spread can be a few to several thousand dollars or more for the smallest contract size.
http://www.cmegroup.com/trading/products/#pageNumber=1&sortField=oi&sortAsc=false&page=1&subGroup=16
he is going to have problems explaining that NG heat rate swap is not even a cleared product on CME
Glad that you can see it in real time and make money from it - ultimately that's all that matters. Personally, I'm suspicious of the sustainability of such an approach and never see anything in charts. Knowing that I can set up a random number generator in Excel and make a chart that looks perfectly mean reverting or trending just by hitting F9 leads me to look elsewhere. Luckily there's a lot of ways to make money. If you're ever curious about a more statistically rigorous approach, this is an often recommended book: http://www.amazon.com/Analysis-Financial-Series-Probability-Statistics/dp/0470414359. Also, some of Clifford Sherry's stuff, while dated, is a gentler introduction to the major concepts.
well, nothing is sustainable, i create the strategies, so i have to believe in them....but when contracts rollover, or things change the strategies break or become untradeable and then i have to find something to new to trade or make volume adjustments.....
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