SpreadProfessor Clients - Thanks !

marketsurfer said:
I am neither cynical nor bitter. I have found my lucrative niche in this business, have you?

Either you see what i say now as truth, or you will see it after you waste your prime earning years. Its up to you.

Peace,
Surf
More...

Afraid you'll have to save that 'prime earning years' argument for someone else. I'm way past that. LOL
 
I understand there can be almost infinite pair permutations within futures markets but I doubt that they trade as well as a simple dual class arb. Bone and other vendors make it seem very simple for noobs to just "fade one sigma" or buy the trending spread but reality is much harsher. There are thousands of spread combos but very few easy fades and buys. Those days are gone.
 
riskreward said:
Bone and other vendors make it seem very simple for noobs to just "fade one sigma" or buy the trending spread but reality is much harsher. There are thousands of spread combos but very few easy fades and buys. Those days are gone. ... Are you saying that out of the thousands of spread combos, all will be profitable? From what I've seen only a few spreads have a solid fundamental relationship along with good cointegration and correlation. I find it hard to believe that there are thousands of pairs as good as Royal Dutch A&B stock but I could be wrong...
More...

1. I've always made it abundantly clear that I do not take on "noobs" as clients, so your insinuation in my case at least is misleading. I don't prey on rookies and newbies - in fact, I turn them down all the time. I want my clients to have some trading background.

2. Fortunately, there's a whole hell of a lot more to proper spread trading than highly cointegrated pairs arbitrage. That horse has been out of the barn for a very long time. I see virtually no chance for an independent trader with basic ECN and execution infrastructure to compete at that level without getting hung repeatedly and killed on slippage.

3. Don't take my word for it - go to the CME website ( or LIFFE, or ICE, or Eurex, or SGE, etc. ) and look at the published exchange SPAN margins for inter and intra market futures spread combinations. Yes, there are thousands of combinations. In fact, there are inter-exchange agreements for margin credits ( i.e., mini-Dow vs. mini-Russell ). If the exchange is going to issue a SPAN margin credit for a spread combination, by calculation procedure it is going to be highly correlated. Will it be highly cointegrated to the point that you can fade one sigma moves all day long and collect tics ? I doubt it, and that's NOT the way I teach my clients. We swing trade spread positions with holding timeframes based upon that particular spread's volatility and average trade range. Could be hours, days, sometimes months. Big difference between a HO Crack Spread and Dec 18 Eurodollar Condor in terms of vol and ATR.

4. My preference for clients is a price-based mechanical entry system (three confirming functions) with a rules-based position management procedure established at time of trade entry. I do insist that my clients model and maintain a very large portfolio of inter and intra market spread combinations, so that there are plenty of opportunities in terms of finding a particular spread combination that meets our trade entry criteria and sets up well for us. Law of averages. If a client maintains a portfolio of, let's say, 800 spread combinations and he can find two good setups per week - his performance metrics are going to be very enviable and he or she will be another satisfied client.
 
Bone has said hundreds of liquid spreads are presented in his course.
There are a couple recent threads (with low participation) discussing liquid, correlated and coint. spreads.
Most seem to be intra-market ED,AG,Energy,Stock indices and a few such as oil/heating oil.
Where are the hundreds of spreads?
On the other hand Sellindexvolatility may only need to be expert in one term structure to make a living.
What good is a hundred spreads.
Who can follow that many?
 
You must log in or register to reply here.
Back
Top