FORTS: Strategies and how to implement them - page 12
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That's a whole different story.)
No, it's exactly the same. If the prices of both instruments are equal, you won't feel any difference. They even showed you pictures at https://www.mql5.com/ru/forum/42542/page9#comment_1484301.
And when you trade e.g. shares versus futures, the difference will be very big and it will be obvious.
It all makes sense. What you call the delta, for myself I call the discount, i.e. the difference between the instruments.
...
It's a pity that the discussion has "drifted" to the demonstration of charts
and meaningless ways to calculate the spread (delta).
I keep bumping into "Grail" seekers here (on the forum) (they do, but for some reason they don't find it).
This strategy will certainly not bring "mountains of gold", but having understood how prices are formed (not theoretically)
prices (on what they depend) in real trading, you could break-even constantly and with negligible
I have described how prices are formed (not theoretically) in real trading, you could make a profit all the time with negligible risks. I am sure it will be long and prosperous.
Hereby, let me say goodbye....
Too bad you do not understand that we wanted to help you, to show you the subtleties and nuances of building arbitrage robots. That it's not all that simple and cloudless.
The way of calculating the delta does not mean anything to you. No problem, calculate it however you want. Just don't ask us to influence interest rates, dividend payment dates etc. (first post of this thread). We are not capable of that. The only thing we can do is make a better TS, better quality ... And how prices are formed not theoretically, but practically, I tried to show you in the form of screenshots of the tumbler. Anyone who looks at these screens will perfectly understand the suicide of trying to trade in an empty glass.
+ you build the delta in MT, subtracting the close of one candle from the close of the other, sincerely believing that this is correct (although I hope you have already changed your mind), you should at least use bid/asc, when you build, as already said here, you will see this cheerless picture.
Think better about how you will trade your logarithms and ratios.
Very simple: I will apply the Taylor formula and trade.
Mikhail absolutely correctly wrote that the calendar spread is simply the difference between the price of two futures. That's all. Nothing else needs to be invented. One sold, the other immediately bought. You can't do that with logarithms and ratios anymore.
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, the result is 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 (=dividends/deposit interest rate) and the face 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 ;)
Your post does not correspond to the title of the thread. Follow the example of the top starter.
Your phrase: "There are other arbitrage strategies, with less risk, which can and should be traded on the exchange" does not correspond to the second part of the topic title. Namely "... and how to implement them".
Again, just out of interest I ask, do all the other (?) posts (and parts of them ;-D) match the thread title?
OK, there is also the so-called index arbitrage. I propose to discuss calculation of a share (weight, coefficient) of an instrument in a basket when trading an index and a basket (portfolio) of instruments belonging to this index (for example 2 instruments).
Again, just out of interest I ask, do all the other (?) posts (and parts of them ;-D) match the thread title?
OK, there is also the so-called index arbitrage. I propose to discuss calculation of a share (weight, coefficient) of an instrument in a basket when trading an index and a basket (portfolio) of instruments included in this index (for example, 2 instruments).
Here, you can takehttp://moex.com/s772 as a base.
Although, I did not check the difference between RTS futures and the computed indexes - the metacquotes do not add the equity section, for unknown reasons. Maybe I'll make it in Quicksilver via TSlab - I'll look at it.
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 face 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 ;)
It doesn't make any sense, but it sounds very nice. Better for the ear of a trader even than all sorts of Puschke'ns and Lerma'ntavas for verse-lovers. Really.
Thank you. It's posts like this that get me in here.
...
Teach me how to talk so floridly about essentially elementary things:
1. The price of a forward contract is determined by discounting the spot price (with some assumptions :D). ...
Basically saying that the futures are traded at a discount (discount) to the spot. It's an elementary truism, but it's very beautiful:"The price of the forward contract is determined by discounting the spot price.
Afterwards, the formula for calculating interest is explained:
In the case of continuous accrual of interest, the futures and spot prices satisfy the following arbitrage-free relation: F=S*exp(r*(T-t)); in the case of simple accrual of interest, you get F=S*(1+r*(T-t))+O(T-t)^2.
And then there are all sorts of goodies in the form of portfolio theory, risk reduction, Taylor series, etc. I sincerely envy your aratorian abilities.
P.S. Explain how your formula explains the passage of contango from negative interest rates at -7% p.a. to 24% p.a. for two days on the dollar/ruble contract?
Here, you can usehttp://moex.com/s772 as a basis.
However, I have not checked how much difference between RTS futures and calculated indices - for unknown reasons the meta-quotes do not add the stock section. Maybe I'll make it in Quicksilver via TSlab - I'll look at it.