Spread Trading
- Thread starter Markus
- Start date
Markus,
Thats why I am attracted to them as well.
Just let me slowly compound my account. I'm in no rush. Smoother volatility in one's equity curve (As smooth as reality permits) is more agreeable with me.
Question......Do you go as far as building a non-correlated portfolio of spreads ??? Or position size based on account size ??
Thats why I am attracted to them as well.
Just let me slowly compound my account. I'm in no rush. Smoother volatility in one's equity curve (As smooth as reality permits) is more agreeable with me.
Question......Do you go as far as building a non-correlated portfolio of spreads ??? Or position size based on account size ??
Marcus
If you trade on an EOD basis, take a look at Neoticker. I use it, and I believe it is a great software. For $40 you don't have too much to lose if you don't like it. Also, it is shareware, so try before you buy.
Anyway, please keep the posts on spreads coming. Nice to see them for a change.
Good luck.
If you trade on an EOD basis, take a look at Neoticker. I use it, and I believe it is a great software. For $40 you don't have too much to lose if you don't like it. Also, it is shareware, so try before you buy.
Anyway, please keep the posts on spreads coming. Nice to see them for a change.
Good luck.
Hi Whatsinmyfuture,
thanks for the hint. I'll look at that software.
Here are the spreads I am watching today for a possible entry (charts are attached):
TYZ2-USZ2 (entry @ 144 stop)
SMZ2-SMK3 (entry @ 0.8 stop)
and if I would have missed the Soybean-Spread:
SX2-SN3 (entry @ 4.0 stop).
I'll let you know in the afternoon, what spreads I entered.
BTW: Do I have to use the Forum "Journals", if I continue to post these spreads?
Markus
thanks for the hint. I'll look at that software.
Here are the spreads I am watching today for a possible entry (charts are attached):
TYZ2-USZ2 (entry @ 144 stop)
SMZ2-SMK3 (entry @ 0.8 stop)
and if I would have missed the Soybean-Spread:
SX2-SN3 (entry @ 4.0 stop).
I'll let you know in the afternoon, what spreads I entered.
BTW: Do I have to use the Forum "Journals", if I continue to post these spreads?
Markus
I am not diversifying as I would do when trading stocks, i.e. if grain-spreads start trending, I would enter several grain-spreads. If there's nothing to trade in the livestock, I do not enter any positions. Therefore it can happen, that all my open positions are e.g. just grain spreads.
Look at my previous post: Actually I am in a Soybean-Spread and as of today I am in a Soymeal-Spread, too. These are my only open spreads in this moment.
Trading spreads, I have a win-loss ration of appr. 70%, therefore I feel confident enough to risk 5% - 8% of my account on each spread trade.
I hope, that I answered your question.
Markus
Yes, you have. I understand.
I opened up a barchart acct. I just ploted that nov02/july03 spread looks nice.
Looks like up above 7-0, not bad !!!!!!!!
What do you use for criteria for putting a spread on your radar ??? Reason I ask because there are soooo many possible spreads to look at.
J-law
I opened up a barchart acct. I just ploted that nov02/july03 spread looks nice.
Looks like up above 7-0, not bad !!!!!!!!
What do you use for criteria for putting a spread on your radar ??? Reason I ask because there are soooo many possible spreads to look at.
J-law
J-Law,
here are my criterions for choosing spreads:
1. Margin requirements
One of the main advantages of spread-trading is the reduced margin requirement. Therefore I am just choosing spreads, that are recognized by the exchanges. That limits the amount of possible spreads significantly.
2. Profitability
A spread should be able to give at least $200 profit within a day or two. Look at SX2-SN3: it will easily move 4 points per day (=$200).
Look at SX2-SF3 in comparison: Do you think, this spread easily moves 4 points a day? I don't think so.
Using this method you'll limit the amount of suitable spreads further down.
3. Liquidity
I would like to see a volume of 2,000 contracts/day in the underlying future contracts. Sometimes I am happy with 1,500.
Applying these 3 filters I have 18 spreads on my radar screen (see above).
Spread trading is easy.
Markus
Markus,
Just ploted them both. Nov/July is a real mover compared with
Nov/Jan.The Nov/Jan moves but has nowhere the volatility as Nov/July.
So, the wider the time between contract months the more volatile the spread I guess ?
Besides, more volatility is in order here as opposed to with straight outrights, no ???
& as far as liquidity is concerned.
2000 lot volume......is that for the back months or the nearbys ??
J-Law
Just ploted them both. Nov/July is a real mover compared with
Nov/Jan.The Nov/Jan moves but has nowhere the volatility as Nov/July.
So, the wider the time between contract months the more volatile the spread I guess ?
Besides, more volatility is in order here as opposed to with straight outrights, no ???
& as far as liquidity is concerned.
2000 lot volume......is that for the back months or the nearbys ??
J-Law
J-Law,
yes, you are right:
the wider the time between the contracts months the more volatitily.
I am loooking for a minimum volume of 2,000 in each of the underlying future contracts, i.e. min. 2,000 in the front month and 1,500-2,000 in the back month.
Just a short wrap up of this week's spread trading:
SX2-SN2
Entered on Oct 22 with 6 contracts @ -1.0
Exited on Oct 23 with 2 contracts @ 3.0 ($200 each)
Exited on Oct 25 with 2 contracts @ 7.0 ($400 each)
Still in this spread with 2 contracts (open equity $925)
Overall profit so far: $1,200
Margin requirement is appr. $480 per contract, i.e. $2,880 on the whole trade.
SMZ2-SMK3
Entered on Oct 25 with 6 contracts @ 0.8
still in this spread with all 6 contracts (open equity $180)
Margin requirement is appr. $405 per contract, i.e. $2,430 on the whole trade.
TYZ2-USZ2
I didn't enter that trade, because it did not hit my stop (see previous post).
I am travelling to Europe on Monday, therefore I can not enter any new positions. But if I were able, I would enter
WH3-KWH3 @ -49.0 stop and
TYZ2-USZ2 @144/32nd stop.
Maybe you want to follow them on paper.
Please let me know, if I should stop posting my trades here.
I attach a picture with the trades I am currently in and the ones I would try to enter.
Have a nice weekend,
Markus
yes, you are right:
the wider the time between the contracts months the more volatitily.
I am loooking for a minimum volume of 2,000 in each of the underlying future contracts, i.e. min. 2,000 in the front month and 1,500-2,000 in the back month.
Just a short wrap up of this week's spread trading:
SX2-SN2
Entered on Oct 22 with 6 contracts @ -1.0
Exited on Oct 23 with 2 contracts @ 3.0 ($200 each)
Exited on Oct 25 with 2 contracts @ 7.0 ($400 each)
Still in this spread with 2 contracts (open equity $925)
Overall profit so far: $1,200
Margin requirement is appr. $480 per contract, i.e. $2,880 on the whole trade.
SMZ2-SMK3
Entered on Oct 25 with 6 contracts @ 0.8
still in this spread with all 6 contracts (open equity $180)
Margin requirement is appr. $405 per contract, i.e. $2,430 on the whole trade.
TYZ2-USZ2
I didn't enter that trade, because it did not hit my stop (see previous post).
I am travelling to Europe on Monday, therefore I can not enter any new positions. But if I were able, I would enter
WH3-KWH3 @ -49.0 stop and
TYZ2-USZ2 @144/32nd stop.
Maybe you want to follow them on paper.
Please let me know, if I should stop posting my trades here.
I attach a picture with the trades I am currently in and the ones I would try to enter.
Have a nice weekend,
Markus