FORTS: Strategies and how to implement them - page 26
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And these are the things on the futures where they come from, it doesn't stop you from trading calendar spread and everything else? :) Is it really so illiquid on the Russian exchange, that it can be easily passed back and forth?
And why the exchange does not regulate these things, this is bullshit.
CME for example
Very simple: apply the Taylor formula and trade.
1. The price of a forward contract is determined by discounting the spot price (with some assumptions :D). In case of continuous accrual of interest, the futures and spot prices satisfy the following non-arbitrage ratio: F=S*exp(r*(T-t)); in case of simple accrual of interest we obtain F=S*(1+r*(T-t))+O(T-t)^2.
2. spot-forward arbitrage is performed by constructing a synthetic bond - opening opposite positions for futures and spot. The parameters of the bond are its maturity (T), the discount rate (r) and unimportant things like coupon payments (=dividend/deposit interest rate) and the par value of the bond. Sorcery of the form r=ln(F/S)/(T-t) allows you to extract the discount rate from the market, which can be compared with the CB rate, the dividend yield of the underlying asset and other interesting things. As a nice bonus, you can calculate the risks of your portfolio under different scenarios, and shamelessly reduce them by several orders of magnitude using portfolio theory.
3. Calendar arbitrage is nothing more than paired trading of synthetic bonds from step 2 on the same underlying asset, but with different maturities (T1 and T2). It makes sense to have a spread for such a paired trade, which can also be compared to the central bank rate, dividend yields, etc.
See you in the glasses ;)
F=S*(1+r*(T-t))+O(T-t)^2
r is O
Interesting topic. It's a pity that it was reduced, as usual, to mutual attacks in the style of "who are you?
Is the FORTS arbitrage method actual now? Are there any people on this forum who work in this direction?
Typical equity arbitrage using Sber-Sberpref as an example, as a throw-in:
And these are the things on the futures where they come from, it doesn't stop you from trading calendar spread and everything else? :) Is it really so illiquid on the Russian exchange, that it can be easily passed back and forth?
And why the exchange does not regulate these things?
CME for example
You are fuckedup))
You get a chance to make money, you get a chance to go back and forth ...
What are you missing?
Write your card number to transfer the money to you.
Interesting topic. It's a pity that it was reduced, as usual, to mutual attacks in the style of "who are you?
Is the FORTS arbitrage method actual now? Are there any people on this forum who work in this direction?
Less relevant than five years ago, when I started it.
There were much less robots then.
The strategy implies a return to some average spread, but
but lately it's been coming back less and less often.
And it is impossible to trade on spread widening or narrowing, because it is very difficult
to determine the entry point, and it's impossible to know how long it will be
narrowing or widening.
Added
And due to the fact that there are huge delays in the execution of trade orders in MT in the last 3 years.
And due to the fact that over the last 3 years there are huge delays in order execution in MT Open, - the profitability of this strategy goes down the drain.
There were far fewer robots back then...
I hardly ever see the influence of "fast" robots in the trading results, even with calendar arbitrage. That is, if there is liquidity in the stack that I am currently interested in buying or selling, the trade usually happens. It is extremely rare for my order to go unfilled.
I hardly ever see the influence of "fast" robots in the trading results, even with calendar arbitrage. That is, if there is liquidity in the stack that I am currently interested in buying or selling, the trade usually happens. It is extremely rare for my bid to go unfilled.
It's not just about "fast" robots, it's about having them with good execution speed.
If you don't see the need for speed,
then you shouldn't be trading this TS at all.
Added by
And you have quite an original way of communicating.
If I'm not mistaken, I don't know why you're right, but I'm sure you'll understand what's going on and why you're right,
You start twiddling your thumbs like a real guru.
It's not just about 'fast' robots, it's about having them with good execution speed.
If you don't see the need for speed,
then you shouldn't be trading on this TS at all.
Added by
And you have quite an original way of communicating.
If I'm not mistaken, I don't know why you're right, but I'm sure you'll understand what's going on and why you're right,
you start twiddling your thumbs like a real guru.
I am not a guru in the first place. Gurus appear when they (gurus) need to sell something to the flock. I have no such need. I will log in tomorrow and quietly consume the information I need.
I want to share experiences, not teach or learn.
I also have very rich experience in real trading. Particularly in arbitrage, I deal with it now.
I see the need for speed, I know my own abilities in relation to MT5, and I know the abilities of my competitors. That's what I wrote about. In this segment, as of today, I do not see any competition from HFT.
I think this is due to the fact that for HFT the topic of pairing or calendar arbitrage is not interesting, and the numerous "slow" competitors stand in the cup first leg limiters.
I also have a great deal of experience in real trading. Particularly in arbitrage, which is what I am doing now.
If you really traded on FORTS arbitrage, you wouldn't make posts with blatant ignorance of how arbitrage is traded!
It's not important how exactly you buy the 1st leg, it's important how quickly you manage to buy the 2nd leg and HFT has nothing to do with it!
You keep on "puffing up your cheeks", go on.
And change the nickname will not give you anything because no one else will tell you anything.
(The market is dominated by 2-3 people who trade on the FORTS Market, and they use indicators).
Bye.