FORTS: Strategies and how to implement them - page 13
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You can trade a simple differential as well, I don't mind (and have said so before). I'm just saying that using logarithm gives, more accurate, better quality and timely signals, which in turn is reflected in the profit curve, it becomes better, flatter and slightly steeper.
I got it. The main thing is to use the logarithm. It is not necessary to use common sense when trading futures, because the Great and Beautiful logarithm will save our eqivity in any case.
Seriously speaking, logarithms are used at long periods of history that have strong exponential trends. In other cases logarithms have no advantages.
Very simple: apply the Taylor formula and trade.
If you trade RTS futures you will need to buy/sell Si futures in addition to the basket.
Yes, it follows from the calculation formulahttp://moex.com/ru/index/RTSI/info/
But, to buy the whole basket, and with contracts measured according to weight, is tough....
I think it's better not to buy it at all and to trade with one leg.
Here, I'm watching a video on the subject right now - it's also about index arbitrage against a block of shares.
Well, it's an approximation or approximation. Why bother with this when you can use a simple difference, without approximation or approximation. That is, you first create a synthetic series that is impossible to trade, and then use Taylor transformations to convert it into a simplified version that can be traded.
Yes, it follows from the calculation formulahttp://moex.com/ru/index/RTSI/info/
But, to buy the whole basket, and with contracts measured according to weight, is tough....
I think it's better not to buy it at all and to trade with one leg.
Buying the whole basket is out of the question)) It makes sense to include 1 to 3 (maximum 4) futures in the basket.
One leg is also something to think about, I wonder.
Z.I. Better explain how your formula explains the contango moving from negative interest rates from -7% p.a. to 24% p.a. in two days for the dollar/ruble contract?
Keep counting on non-synchronous prices all sorts of indicators. The market needs these kind of participants.
Well, it's an approximation or approximation. Why bother with this when you can use a simple difference without approximation or approximation. That is, first you create a synthetic series that is impossible to trade, and then using the Taylor transformations you convert it into a simplified version that is ready to be traded.
Let's put the options traders on the bonfire at once too! These heretics ignore senior derivatives in a process called "delta hedging" (by the way, what would that mean? :D)
How about this: let's construct the futures synthetically out of options and zero out the delta with the spot? :D
The reason for this is that the resulting process should not be interpreted as "price difference, ollolo", but rather as an interest rate.
Keep counting on non-synchronous prices for all sorts of indicators. The market needs such participants.
...Ahhhh... that's what these incomprehensible logarithms are for! - To synchronise prices. Genius! :)
Cut the crap already.
to synchronise prices
1. this is purely your bullshit, new and improved (c)
2. Look carefully at the prices at which the C-4 rate is calculated on pg. 12 - it's "high".
Cut the bullshit already.
Don't show off.
ps woof woof :D
I get it. The key is to use the logarithm. You don't have to use common sense when trading futures, because the Great and Beautiful logarithm will save our equities in any case.
Seriously speaking, logarithms are used at long periods of history that have strong exponential trends. In other cases logarithms have no advantages.
It is common sense that I am using it and I understand why. This is why I understand why. Everything is important in a trading robot, including the execution and quality of signals. You may trade the difference...great.
I will join the anonymous tipster. I'll meet you in a cup ))