Spread trading in Meta Trader - page 226
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Totally, if the blue line is above the green line + the signal line changes colour to red (narrowing of the channel) + the spread line has recently been below the lower boundary of the envelopes, then BUY 1.0 ESZ2 ^ BUY 2.0 DXZ2
And vice versa
Yes, entry is tracked by the position of the green ESZ2 line (if it is at the bottom, we buy both symbols and vice versa).
By the way, now the price line indicator is already showing a ratio close to 1:3. It may be necessary to adjust (slightly narrow) the channel width of the Env.Dev spread line additionally.
Or instead of ESZ2 we can take the mini Dow index YMZ2 ( or mini Nasdaq NQZ2) and leave the ratio 1:2
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Also, in light of the current seasonality of the stock indices until November 6-10 http://www.procapital.ru/showthread.php?t=41813&page=52 (post 766) I would suggest using more of those signals where simultaneous short-term buying of both spread instruments is anticipated.
Thank you Leonid for very interesting information on spread trading.
Closed short-term spread position when indicator Spread_I_env reaches the opposite border of the channel, without waiting for the first indicator Ind_2Line+1 to cross, with a profit of 100 units of deposit currency.
Crudeoil/oil/gasoline pairing spreads are standard exchange spreads and they always trade at an equal ratio (1:1) in any of their pairing combinations.
(Although there are also triple-cracking spreads such as CL-XRB-HO=2^1^1(or 3:2:1), but they essentially have the same lot sizes. So that the size of one instrument is equal to the total size of the other two counter instruments).
Due to the current seasonal decline in US heating oil demand (fuel oil, ticker HO), - the near-term contracts are currently (since the third decade of October) in less demand than the far-term ones!
Here is a graph of multi-year (5 and 15 year) average seasonal trends in the HOZ2 - HOF3 fuel oil calendar spread (December - January):
http://f11.ifotki.info/org/6206dc92354f584d6a98bc5c6e1b7d4b05a4bd133727901.png
The average seasonal profit potential of the spread to the middle of the first decade of November-month is over +400 points (1 pip=4.2$) according to MSRI's site (15-year average)
. Let me remind that the most interesting thing for us here is that we are absolutely indifferent which way the prices of the raw materials will go! We are not interested in that! Because, here we can assume with high probability that in any scenario, the demand for the long-range F3-oil contract in the analyzed time interval will be ahead of the demand for the short-range Z-contract! In other words, the price of F3 fuel oil will rise faster or fall slower than the price of Z fuel oil!
The current situation for fuel oil (single contract and spread) is shown in the figure below. The spread line seems excessively volatile, but "in fact" it is not quite so! This volatility is illusory, because of low liquidity of the long contract: http://i069.radikal.ru/1210/ef/10e9b891ae04.gif
Here I'll remind you again that it's better to enter(SEL HOZ2 - BUY HOF3) in the middle of American commodity trades to reduce losses on the ask-last-bid of the long contract!
Workout, - about +$500 per contract spread!
No comment!
Workout, - about +$500 per contract spread!
No comment!
Workout, as they say, no better, over 1000 units of DEP currency per 0.05 lot.
Coming out:
Working out, as they say, better than 1000 units of DEP currency per 0.05 lot.
Coming out:
Let me remind you that the graph of the average multi-year (5 and 15 year) seasonal trends of the HOZ2-F3 fuel oil calendar spread looks like this:
Since the beginning of next week we monitor the situation for a reversal, i.e. buying the spread:BUY HOZ2 - SELL HOF3 . The estimated buying profit potential is several hundred points (ticks) of the commodity derivatives scale (i.e., 1 tick = $4.2) until the end of the second decade of November. The entry can be implemented only at clear, obvious "technical" signs of the spread line reversal!
Let me remind you that the graph of multi-year (5 and 15 year) average seasonal trends of the HOZ2-F3 fuel oil calendar spread looks like this:
Since the beginning of next week we monitor the situation for a reversal, i.e. buying the spread:BUY HOZ2 - SELL HOF3 . The estimated profit potential is several hundreds of points (ticks) of the commodity derivatives scale (i.e. 1 tick = $4.2) until the end of the second decade of November. Entry is realizable only with clear, obvious "technical" signs of a spread line reversal!
Thank you, Leonid for the information on the trade!
Tonight after 19:00 Moscow, at the end of the season, I will close both legs of the calendar corn spread. As long as BOTH positions are in profit!