FORTS: Strategies and how to implement them - page 9
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What has he got to show for it except his wishes!
I know. I'm just getting away from the computer. Still, it's the weekend, there are other things to do. I've read what you've written, so far you're no closer to an answer. Think, it is the only way we can beat the other 99% of the market, think, better understand the processes taking place in the market.
I know the answer. And I will give you the answer. You can trade the difference, you can trade the ratio, I don't argue with that. But there is a better delta rule, understand a little better, and the equity curve becomes flatter and a little steeper.
Calendar arbitrage is about profiting from the difference in value of futures contracts for the same underlying asset but with different expiry dates.
Sergey!
Actually, the "accuracy" of the calculations is not important. The essence of the problem is stated
at the beginning. From my observations
Shortcomings:
1. Low liquidity market for "long range" futures.
2. due to the fact that there are no exact dividend payment dates,
it is more difficult to determine the range of traded prices.
3. Too frequent changes of interest rates
4. Low volatility between pairs (e.g. Si-6.15 and Si-9.15).
Turns from 100% profitable (in theory) to 90%unprofitable!
If 1 and 4 points will be corrected with time (by the way, they don't influence profitability - unprofitability),
then points 2 and 3 make the strategy as I describe it.
What's wrong if we collectively find a solution to make it profitable?
Who would be harmed by it?
P/S And the implementation - everyone will "write" it himself!
One more thing. From the pictures you presented (it just occurred to me), you want
to do index arbitrage. I'm just sharing, if my guess is correct.
This arbitrage has two very serious drawbacks.
The 1st one you already know (talked about it in another thread).
2-nd - the currency component, which can reduce the seemingly large profit - to a large loss
(despite the fact that we are gaining Si).
If wrong, forget it, if not, you need to think seriously about it - this strategy has
a very large profit. An order of magnitude higher than the Calendar spread.
I even have a scientific thesis on this subject....
Well, now that everyone has already shown their "coolness" in 9 pages (including me :) )
Shall we look for a solution?
Looking for a solution to what?
I think you yourself wrote that points 1, 4 turn a profitable (theoretically) strategy into a sinking one (practically).
Regarding the neutral portfolio: near and far futures cannot build a neutral portfolio. A portfolio is called market-neutral because its resulting returns do not depend on changes in the instruments that make up that portfolio. And in your example of futures this dependence exists. The Prival example confirms this.
Deltas of what?
The point is that when you use the difference, it is convenient to display it in units of the underlying instrument. the chart becomes clear - the units of the indicator are equal to the units of the chart.
A little earlier I wrote. Many people call the spread as anything. Although, by definition, the spread is the difference between the ask and bid of one symbol. So there's no confusion.
Delta is a bit different, it's not so simple. There's a lot to think about, at least what you deduct from what. Since the answer has appeared, a good answer is
ln(F1/S)/(T1-t) - ln(F2/S)/(T2-t) ? :)
(F1 and F2 are futures prices, S is spot price (scaled with futures multipliers), T1 and T2 are expiry times)
Anonymus, genuinely surprised. Registration date is 2012. 141 posts, but what an answer. Handsome, just great, kudos, it's been a long time since I was so happy with formulas to think about, and here is something to think about, what to investigate, there are more questions than I have answers so far. Thank you. I'd be happy to talk at any time of the day or night... ) I am doing things a little differently. I will explain below, I think it will be understandable...
Now, in order.
1. Before you subtract, you have to take the logarithm. I.e. we have two tools for arbitrage (A and B). Before subtracting them, we have to take the logarithm. The result is log(A)-log(B). For those who remember the school course.
log(A)-log(B) = log(A/B).
SoEdic you are right to take the ratio, except that you have lost the logarithm, and if you take the logarithm, that is essentially whatMikalasdoes(he just subtracts). I was hoping you could solve the problem I stated earlier.
So question, how to do division by difference (combine the essence of whatMikalas andEdicsuggested into one formula). What is this mathematical transformation (studied in class 10-11) and what does it give us.
I have often said, try to look at the market from different angles, many know my battle for ticks and graph construction in the form of "correct" Renko + algorithm (its results) built on this representation.
Taking the logarithm is also a transformation done for a reason, there is physics behind it, an understanding of how the market moves. The graph changes...pay attention. The anonymous formula contains the logarithm, I'm saying that the logarithm is needed, many trading platforms have logarithmic charts (Quick, Metastock, etc.), i.e. they are needed and demanded, but MT does not have it))) .... Next, you can of course take your own word for it, that it is necessary to logarithm the graph, but better to understand yourself why, why it is important...
Now the next step.
Serj_Che wrote earlier.
Actually this chart should not be taken seriously.
The charts in MT5 Forts are plotted at fin prices, and the liquidity at BR-5.15 is very small. That's why you get such a sprawling chart.
In fact,if you chart by bid-ask, it won't look so optimistic.
Correct, we should understand how the strategy will be executed. You have to understand what orders will be executed by the market or by limits. This is a screenshot of the market depth. I have prepared them because many MT users have not even seen this thing and have subtracted a fraction of a fraction (sorry for the slogan, but I cannot describe other attempts to build a "correct" delta in MT).
All screenshots are made at the same time 10:03:00 Friday. Futures whichMikalas offered for calendar arbitrage
This is the current oil futures. the one that is currently traded BR-4.15, pay attention not many deals, but the stack is quite dense. You can enter with 10 contracts with almost no slippage.
And here is the second leg.
The futures BR-5.15 is the closest to the currently traded futures. The stack is empty, the spread is huge and there is virtually no liquidity. Any bump in the market with ten horses, and mum's the word...
In three minutes of trading only 1 trade went through.
That's where you should look first of all when building arbitrage. You have to look in the glass ))). By the way cheers ... boule, boule, boule ...
Ugh... continue. And since we really want to build an arbitrageur on these two tools, there's only one way out.
The first leg is the limiter in the empty cup. We set on both sides of the price of zero delta, so as to repay the commissions and earn something. As soon as we find a sucker that hits the market and gives us 1.2...N lots. We immediately take the second leg of the market (there in the second glass, there is an opportunity to get the price we need without slippage).
All we have is our delta, now we just need to close it with a profit ....).
That's it in brief.
I sincerely wish you good luck in building and researching arbitrage in MT. You really are magicians (from my point of view) if you hope to do it correctly in this trading platform ))
I certainly can't, I don't even understand how to do it...
Z.I. While writing the post, a good reply came up
Watching the betting window, i.e. checking for the right liquidity. Do not use MT5.
You see the point again. As always, the devil is in the nuances (details). ))). I'm all out...
.......
Now, in order.
1. The logarithm must be taken before subtraction. That is, we have two arbitrage tools (A and B). Before subtracting them, we have to take the logarithm. The result is log(A)-log(B). For those who remember the school course.
log(A)-log(B) = log(A/B).
1. It has never occurred to you that by ordinary subtraction the following is done: EURUSD-GBPUSD=EURGBP ????
2. And it actually follows from the wiki that your formula with logarithms is at least incomprehensible?
3) If you cannot make arbitrage on MT4(5), it simply means that you did NOT make it on this platform, unlike those who did.
Strangely enough, my formula and yours, Sergei, produce identical graphs.
Almost by accident)
Calendar spreads - Moscow Exchange.
Almost by accident)
Calendar spreads - Moscow Exchange.
This is already a "ready-made" spread.
It has liquidity = 0
This is already a "ready-made" spread.
It has liquidity = 0