Spread trading in Meta Trader - page 193
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Here is the question.
I see in the MT4 terminal that a CFD on some futures is volatile (there are volumes, ticks); moreover, I see that CFD futures of the same commodity with different months of delivery are volatile. And are these futures themselves (not CFDs) as volatile? Why? One guy, who works in a Western brokerage company, told me that if I'm going to arbitrage two CFD futures for one commodity, but with different delivery months, then one of the instruments (eg, March contract) does not have a volatile counterpart of the futures until the market has moved from the current month (eg, January) to March - that is, while only the January contract is volatile... And in this case, Intourist told me, I will trade against DC and it is clear who will win in this situation... And why I will trade against the VC - because the VC will not be able to hedge its risks relative to my trades in REAL futures, because the futures of the far month is not really volatile in principle, it is not traded. So that's how complicated it is. So I'm wondering if this person has distorted the real picture of the world or has honestly told me the layout...
Of course, one can just look up futures quotes and see if he's right or wrong.
What do you think?
PS Sorry for writing somewhat confusingly. I'm still reeling from the alco-shock.
I am trying to test it with your indicators for some currencies (http://forexsystems.ru/ruchnye-torgovye-strategii-i-taktiki/65087-parnyi-treiding-graal%60-est%60-90.html), but with futures I see more successful)
Try to experiment with CHFJPY at tf=m15 (don't forget - closing position - strictly at the point of convergence of price lines at any current result):
Here is a question.
I see in the MT4 terminal that a CFD on some futures is volatile (there are volumes, ticks); moreover, I see that CFD futures of the same commodity with different months of delivery are volatile. And are these futures themselves (not CFDs) as volatile? Why? One guy, who works in a Western brokerage company, told me that if I'm going to arbitrage two CFD futures for one commodity, but with different delivery months, then one of the instruments (eg, March contract) does not have a volatile counterpart of the futures until the market has moved from the current month (eg, January) to March - that is, while only the January contract is volatile... And in this case, Intourist told me, I will trade against DC and it is clear who will win in this situation... And why I will trade against the VC - because the VC will not be able to hedge its risks relative to my trades in REAL futures, because the futures of the far month is not really volatile in principle, it is not traded. So that's how complicated it is. I'm wondering if this person has distorted the real picture of the world or has honestly told me the layout...
Of course, one can just look up futures quotes and see if he's right or wrong.
Your acquaintance has clearly exaggerated the problem. Commodity Futures Quotes in mt4 (B.) - go strictly market-based (one-to-one), i.e. SFDs here are no different from real market-based instruments.
On the volatility of near and far contracts you need to look at the specific instrument. Usually there are two contracts in mt4 for any instrument: the current one and the next one. As a rule, they are both sufficiently volatile and losses on the asc-bid can always be minimized.
And if some instrument seems illiquid to you, open its ticker chart #I (for example the EUR pound RPH2#I) and the problem disappears.
Try to experiment with CHFJPY at tf=m15 (don't forget - closing a position - strictly at the point of convergence of price lines at any current result):
... So he's just trying to trick me...
Yes, it looks like a scam.
And water, Leonid, can you please tell me what criteria you use to enter the market? - а? -the lines are starting to converge? - Oh, it's fucking obvious! - on history, of course. Len, I'm sorry for being so familiar. Where's the story? The indicator doesn't work.
What's the matter with me today. I'm kind...
Not only lines! There is also a spread indicator (total equity of two positions) and seasonality.
For example, in December gasoline XRB rises annually against fuel oil HO due to seasonality. Using seasonality and indicators we can in the short term (m15) use divergence of price lines and rebound of the spread line from the lower boundary of the spread channel - using spread buy signals for petrol - fuel oil buy XRB - sell HO, - ignore the signals for selling the spread!
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Similarly, you can work with the oil-gasoline spread on m15 in the short term, which decreases seasonally in December every year until the first of January:
For example, XRB gasoline rises against HO fuel oil annually in December due to seasonality. Using seasonality and indicators we can work in the short term (m15) on the divergence of price lines and bounce of the spread line from the lower boundary of the spread channel - using only buying signals for the spread gasoline - fuel oil buy XRB - sell HO, - and ignore signals to sell the spread!
Actually, here - on the previous page https://www.mql5.com/ru/forum/122468/page191 I announced this entry on December 12 and put seasonal charts - averaged and by years - see the link.
As you can see from the picture above - this spread is very decent for December seasonality!
The latest issue of Leprecon Review No. 24 is now available.
In the article "Seasonal trading techniques" (p. 49):
http://www.lepreconreview.com/
Good luck to all!
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Before the trades are over, - right now there is a good opportunity for a profitable "holiday" buying of the Ameriabond spread till Jan 10:
BUY ZNH2 - SELL ZBH2 =1^1 (10 - 30 year bonds)
Here is a chart of the multi-year seasonal trends of this spread according to the MRCI website:
The estimated profit potential (see top window scale) is very good! Below is a plot of the movement of this spread by year for a more concrete assessment of the advisability of this seasonal entry!
However. I have already written more than once that to reduce risk and to make trading this spread more comfortable - I do not use the 1:1 exchange ratio, but take ZN-ZB = 3^2.
With this ratio the expected profit will be a little less, but the risk is also reduced to a great extent (in case of negative developments). That's why by "year" I have laid out the seasonal charts just for this ratio!
So, over the last 10 years from December 30 to January 10, the spread has shown this dynamic every year:
BUY ZNH2 - SELL ZBH2 = 3^2
The statistics are clearly in our favor! From December 30 till January 10 - only one year (2005) was losing, two years we were at our own level. And the remaining seven years had a profit from a modest +25 ticks in 2002 to an incredible +320 (!) ticks in 2009!
The current situation with the US bond spread ZNH2-ZBH2=3^2 is shown in the figure.
Note that the size of 1 tick of spread is approximately $32.00 (for 1 contract), so you should correctly correlate the size of open positions with the size of the deposit:
(I entered BUY ZNH2 - SELL ZBH2 = 0.06^0.04 and am already in a tiny profit!)