Spread trading in Meta Trader - page 249
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What?
What? ="I won't tell!" http://moex.com/s772
How to get out of such situations by working with legs? How to track a change in trends?
but for now it is interesting at least how to make a formula for say this chart? (the breakdown on the left above)
Oversee by opening positions from the border of the channel. If the synthetic is quasi-stationary, it will "return".
I don't know how to derive the formula from the breakdown.
I don't know what KWAZI is, I only have associations with KWAZIMODO, you can't rely on this quasi, you have to do something (even the bullshit recycle only works with the data window, not the entire access history), you have to try to manipulate the legs, maybe something will work, I have to think about what to add...
Yes, you're right - Quasi comes from the name Quasimodo.
Why do you need synthetic in the first place?
(I like to trade on it, but the channel breakdowns upset me, I do not like to just fill, I want better position management, I try to understand how to correctly identify the most active leg of the desired direction and use it to fill
I take it you've been working on the synthetics as well?
I don't trade synthetics because synthetics require multiple positions to be opened simultaneously on multiple pairs. If there are many pairs in a synthetic, it can cause problems. Besides, it requires a large amount of capital
Synthetics are built because of stationarity - an ideal synthetic should be stationary at least on some stretch. That's why it walks in a channel. That's why you have to wait for it to return to the channel or close, but not refill IMHO
Adding or increasing the position in some way would be possible only if the synthetic is really stationary, but there is no such an eternal synthetic.
How do I get out of such situations by working with my feet? How do I keep track of changing trends?
But for now, it's interesting, at least how to make a formula for say this chart? (top left)
You have already described all the formulas. You may take your lots, convert each lot to deposit currency, abbreviate the result (divide each by its amount), and then you get ready coefficients (degrees) for synthetic formula.
// Man, I sent you the right video after all. Watch it again... ;-)
Useful information for lovers of seasonal spread trading. Below are excerpts from the latest seasonal review I wrote on behalf of Pantheon-Finance on C/A group instruments:
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We continue to analyze the seasonal outlook for soybean instruments. Let me remind you that by late August-early September, soybean crops usually go through a key stage of maturity. After that, there is certainty in the market about both the quality of the future crop and production volumes. And around this time, soybean prices begin a systematic long-term decline (see our previous bean review)!
Following the beans, soybean derivatives also begin to decline, as we noted in our recent seasonal ZM soybean meal review!
Today, let's start assessing the seasonal outlook for the second derivative, soybean oil. Following the beans and flour - oil is also starting to decline steadily! Which is confirmed by the chart of multi-year average seasonal (3-5-10 year) trends for the December ZLZ3 contract:
The seasonal Down-trend of oil is expected almost until the end of the first decade of the next, - October-month! Theblue price line shows the very decent last year's September performance of the instrument!
As usual, for a more concrete assessment of the anticipated seasonal movement, let's look at the full ZLZ3 sales statistics, for example, from September 3 to October 8 over the past 13 years:
Percentage of profitable trades(+9/-4), as well as the ratio of average profit/loss (about +413 ticks/-271 ticks, 1 tick = $ 6.0 per contract) in the analyzed time interval looks quite satisfactory!
But two abnormal years - 2003 and 2010 - sharply worsened the rest of the statistics! But so far this year there is no fundamental reason to believe that soybean oil prices will go so "anti-seasonally". We shall see.
Note only that here, apparently, there is a reason to work in short-term (by our seasonal standards) sales of Zl oil on price pullbacks, using the means of standard technical analysis on small (H1-H4) timeframes to determine the best entry/exit points.
For those wishing to reduce to an "absolute minimum" (humour joke) the risk of working with this instrument in the September-month, we can recommend trying to assess the coming seasonal prospects of calendar oilseed spreads!
Below is a chart of multi-year averaged seasonal trends (3-5-10 year) of the near calendar soybean oil spread ZLZ3 - ZLH4 (December 2013 - March 2014). Here as well as on the single contract chart - the spread reduction is clearly visible:
The movement is expected until the end of the first decade of October! Profitable entry potential in the analyzed timeframe - from +25 and more ticks (see the scale on the right)! Profit is small, but sufficiently reliable! The blue price line shows a very decent last year's seasonal performance of the instrument!
Those wishing to enter the oil spreads in a more "strategic" way (i.e., long-term, with a better outlook), you can pay attention to calendar spreads in other contract combinations! Take longer-term contracts for second leverage. For example, consider selling ZLZ3 - ZLK4 (December 2013 - May 2014), or ZLZ3 - ZLN4 (December 2013 - July 2014). Here are the average multi-year seasonal (3-5-10 year) charts of these spreads(the blue price lines show last year's very good seasonal performance):
http://seasonal-traders.com/graphics/
(in the box below the chart, select the desired time interval with the mouse)
ZLZ2013 - ZLK2014
ZLZ2013 - ZLN2014
Selling these spreads can be held until the beginning of the second decade of October-month! Here (on the scale to the right) we see that the profitable seasonal potential - turns out many times greater than the close, above-mentioned spread ZLZ3-H4! It is clear that the risk in this case also increases somewhat!
Let us evaluate the current situation using the ZLZ3-K4 spread. On the candlestick chart:
For several days the spread has been persistently trying to break through the middle line of the Bollinger channel indicator! Let's see if it will finally succeed today?
Good luck to all!
Useful information for lovers of seasonal spread trading. Below are excerpts from a recent seasonal review I wrote for Pantheon-Finance on soft-group instruments (products):
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Let's talk a little bit about coffee (ticker KC). Particularly interesting here will be the spread of the close contracts. But let's start with the single December, the most liquid near-term futures.
Let me remind you that coffee is grown in many countries, but the leading producers of KC are Brazil and Colombia. The main coffee harvesting season in Brazil is from April to September; in Colombia, from October to March. The largest importer of this product is the US, followed by developed EU countries.
The coffee market is highly dependent on the weather in the producing countries. Particularly affected by frosty weather. Winter in the southern hemisphere coincides with summer in the northern hemisphere. Therefore, in July - August coffee usually tends to rise. From September, the threat of frost decreases and CC prices usually begin a seasonal decline.
Here are the multi-year (3-5-10) seasonal averages of the December KCZ3 coffee futures contract:
The blue price line shows a fairly satisfactory last year's seasonal performance of the instrument. However, at the end of September and beginning of October, there was a short "anti-seasonal momentum" in the price. It was caused (if I am not mistaken) by political instability of that time period in one of the producing countries. But in the end, seasonality prevailed! And the prices of KC contracts went down progressively!
As usual, to estimate the supposed seasonal movement more precisely, let's look at the complete monthly statistics of KCZ3 sales, for example, from September 12 to October 12 for the last 13 years:
The percentage of profitable trades(+10/-3), as well as the average profit(+216 ticks, let me remind you that on the KC scale in one - 20 ticks, 1 tick = $19.0) in the analyzed time interval looks quite satisfactory! But the possible average loss is a bit too large. But here, apparently, it is possible to reduce the drawdown to a reasonable minimum, if we work in short-term (by our seasonal standards) instrument sales on price reversals, using the means of the standard technical analysis on small (H1-H4) timeframes to determine the best entry/exit points.
KC coffee spreads - usually follow the near-term contract. Here the KCZ3 - KCH4 spread (December 2013 - March 2014) looks quite promising in terms of seasonality. Below is a graph of the multi-year averaged seasonal (3-5-10 years) graphs of the above spread:
Theblue price line shows last year's rather good long-term seasonal performance of the instrument! Down-movement of the spread is expected until the first days of the second decade of November-month!
So, the price lines on the seasonal chart look quite attractive! As usual, for a more specific assessment of supposed seasonal movement, let's look at the complete statistics of KCZ3 - KCH4 spread sales, for example - from September 16 to November 12 for the last 13 years:
The statistics are very interesting! Not a single losing year! True, the average profit here is also small. Just over a dozen ticks. However, let me remind you that 1 tick (0.05 according to the KC scale) is rather capacious - approximately $20.0 per contract. And the spread margins of neighbouring coffee contracts are very small, no more than $300-350 per contract! Those who want to get a more significant profit - you can take a farther contract for the second leverage (K, N, ...).
Recall that there is a seasonal Down-trend in both idiosyncratic contracts and calendar KC spreads amid expected coffee harvests in Southeast Asia and South America.
The current situation for the December KCZ3 contract and the KCZ3-H4 calendar spread is shown in the candlestick Daily charts below:
The single coffee Z-contract (upper chart) has been in a rather narrow flat for the last few days (after a slight rise on September 11). As has the KCZ3-H4 spread. This has been gradually declining since mid July from its "global" high (-2.00) with very little intraday volatility from 3 to 5 ticks per day! I entered a long-term spread sale at -2.90 last week.
Good luck to all!
Useful information for lovers of seasonal spread trading. Below are excerpts from the latest seasonal review I wrote for Pantheon-Finance on grains :
We continue to analyze the seasonal outlook for grain instruments! At the moment, corn harvesting has already started in the US. While soybeans are still in the ripening phase. An interesting seasonal pattern is occurring since the third decade of September. Exchange traders' demand for maize is increasing, compared to the demand for soybeans! It is no coincidence that English-language seasonal websites recommend buying the corn-soybeans spread from the 20s of September.
Below is a graph of the average multi-year (3-5-10 year) seasonal graphs of the above spread ZCZ3 - ZSX3 = 1^1:
Theblue price line shows last year's rather good long-term seasonal performance of the instrument! UP-movement of the spread is expected until the middle of the first decade of October-month!
As is customary, for a more specific assessment of the expected seasonal movement, let's look at the full statistics of buying the spread ZC - ZS = 1^1 for example - from September 20 to October 5 over the last 13 years:
The percentage of profitable trades(+11/-2) as well as the average profit/loss ratio(+154 ticks/-72 ticks, mind you, the grain scale in one is 4 ticks, 1 tick = $12.5) in the analyzed time interval looks quite satisfactory! But the max-maximum drawdown is a bit too large. But here, apparently, it is possible to reduce the drawdown to a reasonable minimum, if we work in short-term (by our seasonal standards) buying ZC-ZS on spread price reversals, using the tools of the standard technical analysis on small (H1-H4) timeframes to determine the optimal entry/exit points. In addition, this year is not expected to have such abnormal factors (weather and other), which can dramatically affect the movement of the spread.
We conclude with an overview of the spread. The current situation for the instrument ZCZ3-ZSX3=1^1 is shown in the chart below:
The spread has been trending upwards for several days since the end of last week! Friday's American commodities session is traditionally an active grain trade. Expect strong moves in single instruments and their spreads!
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Perhaps for better leverage balancing you could try taking the ZC-ZS=3^2 ratio, e.g. fractional lots in the MT4 platform ...
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Источник (оригинал): http: //procapital.ru/showthread.php?t=41813&page=184&p=1529205&viewfull=1#post1529205