Spread trading in Meta Trader - page 182
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...Where do these pictures come from? - Don't tell me: "There!"
Where do the graphs show you should be doing this and not that?
.
(There is a parallel series of articles Quasi Arbitrage in MT4) http://www.lepreconreview.com/ (magazine archive menu).
Do not be lazy to read them. It's enough to begin - and you won't come off! And move on to the commodities market and spreads work! Afterwards you will remember forex trading like a "bad dream"!
Andrei, the Leprechaun magazine, from around the January or February issue, has a series of articles by my acquaintance Sergei Ogarkov called "Spread Trading". Very useful articles.
(There is a parallel series of articles Quasi Arbitrage in MT4) http://www.lepreconreview.com/ (magazine archive menu).
Do not be lazy to read them. It's enough to begin - and you won't come off! And move on to the commodities market and spreads work! Afterwards you will remember forex trading like a "bad dream"!
You have no idea, but I read. And then I read again. And then again. And then again.
It does not help (it does not help to understand your logic, the essence - the thought).
You, Leonid, are not telling us something, a subtle, but important thing. The feeling of a holiday, but only, constantly questioning, like a nida, is drilling into your skull somewhere in the parietal, everything is simple. But no, it's not simple.
A lot is left out of the picture.
Behind the scenes. Behind the scenes, Leonid, behind the scenes. But I'm not reproaching you! - No, not at all. Today is just such a day, an auxiliary day.
Information for reflection:
The BRENT oil-MAZUT spread has been going in a predictable channel for the last 2-3 weeks, -
BRBV1-HOU1=1^1
Spread channel width is $45-55 with position size =0.1 !
It makes sense to figure short term buying/selling of the spread from border to border of the channel !
Right now it's time to buy the spread from the lower boundary:
BUY BRNV1 - SELL HOU1
Spreadindicator settings:
joo, it's none of my business, of course, but my conscience, which torments me just as much as your misunderstanding, prevents me from replying. If after Leprechaun the theme didn't go, maybe it's not worth it? And it's worth trying something else. Everyone trades what he likes. If only the profit arrives, how you do it, at least on inter-dealing arbitrage - it is up to everyone.
Yeah. Yeah, right. If only it had been for a profit.
For example, if you had sold the CLV1-XRBU1 oil-gasoline spread with lot =0.1 on August 15 (see my post above from Aug 15, where the chart is in the box with "frills"), your profit would now be :
3902-3259= approximately $680! (no irony) - see the equity (spread) indicator in the bottom window!
Great, Leonid, if I may, in this particular case, how much margin was taken on the spread in total?
I.e., I want to estimate a deposit required for these conditions (0.1) with some margin of safety to be able to observe equity dances more or less calmly.
The question is not an easy one. But it is possible to answer it for a particular case.
Exchange margin on commodity futures includes three types: opening margin, maintenance margin and overnight margin.
CL (LightSweet) oil margin - $2,000 per 1 lot (contract)
XRB gasoline margin - $3000 per lot (contract)
But at the same time, the opening and overnight margins on these instruments are approximately (on average) one and a half times larger!
Thus, just to open positions of the CL - XRB =0.1^0.1 spread you should have on your account at least $600 of free funds! And if we take into account the overnight margin, the spread volatility, and the value of the stopout, the deposit must be at least several (2-3) thousand dollars - for a comfortable work.
An even larger deposit is necessary for the spread of precious metals, because only the margin of silver alone (Comex) - takes more than $4,000 for one lot (contract). For grain instruments, the margin is much less - from $600 to $1200 per contract.
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But there is no point in opening an account to work on it with this spread alone. It makes much more sense to work with a "spread portfolio" - it's more profitable and reliable.
It is better to take smaller position sizes, but to "keep in the market" several spreads at once!
As an option - an acquaintance of mine opened a $1000 account (classic) a couple of weeks ago, and now he is working with lots from 0.01 - spreads over the whole range of the commodity market at once. That's the state of his MT4 terminal on open trades now:
(current daily margin total for all these positions now is about $100, - soybean meal spread, american bond spread, pork spread, sugar spread, triple grain crush, coffee spread, minicontract silver-gold spread from Indian exchange MCX)
Can you explain the meaning of quasi-arbitrage to a dumb person? How does it (without going into details) differ from trading on the assumption of a return to the average?
Simply, due to the fact that there are three pairs involved... the probability of a return is higher.
Or am I misunderstanding something?
Main point...
;)
Subscriptions cost differently everywhere. For example, on the most famous MRCI website http://www.mrci.com/web/index.php, if I'm not mistaken, a quarterly subscription costs about $130-150 (look it up, search for subscription types there), and it provides access to seasonal site materials on the entire commodity market and spreads http://www.mrci.com/client/seapat/index.php (there is a 2-week trial version)
In addition, monthly newsletters with the most "statistically promising" entries go with the subscription. These are single and pair entries.
For example, here's such a 5 and 15 year seasonal chart on the coffee (Arabica) KC U1 - KC Z1 calendar spread (arrows mine):
You can read more and take the seasonal site addresses in the March, 15th issue of Leprechaun magazine in the article TRADING SPRED - 4 (seasonality) http://www.lepreconreview.com/arhiv-jyrnala
Going back to MRCI, in the download below I am posting an analytical sample sample of the seasonal movements of calendar and intermarket spreads for March-April, which was taken there by subscription access.