Based on the "Div hunter" strategy - page 2
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Give me your card number, maybe I can transfer money to you....
What nonsense...
Why don't you wonder - what is not clear from what is written - a belief in a perfect description!
For example, it's not clear to me
"
The stock trade is over we set the order(s) to sell the futures (calculated delta + our Gap).
And in the morning we sell the futures
"
When do we set the pending order - at 7pm?
Then what do we sell again, but in the morning? Do we buy back in the morning?
What nonsense...
Why don't you wonder - what's not clear from what's written - a belief in a perfect description!
Go back to the first page... I've finished.
Give me your card number, maybe I can transfer some money to you....
Well, seriously, the point is this.
After stock trading stops, futures continue to trade - SPECULATELY,
because the price of the futures depends on the price of the stock. The next day the stock may fall or rise (50/50), BUT!
The delta between the futures and the stock yesterday, is greater than the delta today, hence our risks (50 - some %).
Next... We want to sell the futures much higher than they traded before the stock closed,
so our risks = (50 - some % on the delta - some % on the Gap we set).
Is it clear now?
So, you want to sell at night - okay, we sold. And then when to exit, at what time - it is usually impossible to exit in the first minute if there is a strong movement.
So, you want to sell in the evening - good, you sold. And then when to exit, at what time - it is usually impossible to exit in the first minute if there is a strong movement.
A strong movement in which direction?
Ideally, you should exit by a pending order, i.e. put it 2-3 minutes before the market closes on the futures.
Strong movement in which direction?
Ideally, we should exit with a pending order, i.e. put it 2-3 minutes before the market closes on the futures.
It does not matter which way it goes, it may spread in both directions, if it is bad against us and we cannot control the risks.
If we go out closer to 23:50, then why should we expect that the normalization will be this day - for example for Si, the movement at the opening at 10 o'clock is often in the direction of the evening start - I did not observe it for stocks, that is why I ask - may there be some statistics?
It does not matter in which direction, it may smear in both directions, if it is bad against us and the risks are uncontrollable.
If we go out closer to 23:50, why should we expect that the normalization will be this day - for example for Si the movement at opening at 10 o'clock is often in the direction of the opening of the evening - I did not observe it for Equities, thats why I ask - may be there is a statistic?
You do not understand the strategy, read it again.
My exit is as follows:
After 23-45, if there is a position, a pending order is set for tomorrow with the entire volume of the position,
at last spot price + (delta 10 pips).
If the order has not worked, it is deleted (in a minute after the market opening) and a pending order is set with the market price of the entire volume.
Testing, position is gaining
Added
Position is being taken, order for tomorrow is set, but due to a small defect the price is 185 pips lower than it should be (22493)
Added
Both orders worked fine (yesterday's order was canceled and new pending one was placed), but somehow it was weird (it workedbetter by 114 pips )
position closed
Profit for 50 contracts amounted to 3756,04 rubles.
Testing, position is gaining
Added
The position is gained, the order for tomorrow is set, but due to a small defect the price is 185 pips lower than it should be (22493)
Added
Both orders worked fine (yesterday's order was canceled and new pending one was placed), but somehow it was weird (it workedbetter by 114 pips )
position closed
The profit of 50 contracts was 3756,04 rubles.
So, where did you write about buying at the evening? Would you have written that we open depending on the side of the deviation from the SPOT price of the BA.