Spread trading in Meta Trader - page 93
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А кто-нибудь работал с трёхсторонним хеджем?
Что думаете? Есть смысл копать?
Probably not.
But if you want, you can estimate ZS, ZM, ZL.
But you need to search on the Internet for "purely" worldly statistics on consumption of these products.
Maybe that would not lead to a three-way hedge, but to a good trading tactic based on these three related instruments (see my previous post for a start - these are precious little bits of information to collect).
Thank you.
Where can I find the trading dates for these contracts so that I don't get into trouble like oil did recently in B.
In the simplest case, simply move the mouse pointer to the instrument name in the Navigator's MARKET REVIEW window and a window will immediately pop up - indicating the date:
ZSH0 - Exp. 12.03.2010
Но если есть желание - можно прикинуть ZS, ZM, ZL
Но тут нужно поискать в инете "чисто" житейско-фундаментальную статистику потребления этих продуктов.... ..
Food for thought :
ZM & ZL
"...Since soybean meal is a feed supplement for livestock, demand for this product increases during the winter months. Thus, while the consumption of soybean meal increases, soybean oil stocks, on the other hand, typically increase in winter, which puts pressure on prices.
Consequently, winter soybean meal futures are sharply more expensive than soybean oil futures from early December until around Christmas.
The fundamental rationale is supported by the 5- and 15-year seasonal trends, during which the SMF10-BOF10 spread typically widened in December, after being in the rand during November."
ZM + ZL
//--------------------------------
For the current period, apparently, we should be guided by the 5-year chart (bottom window of the figure) - it is clearly visible that from the third decade of February to early May there is a narrowing of ZM/ZL environment
In other words, in the nearest month or two we should use the following tactics of "short-term trades": wait for the spread to roll up, then sell the spread, then fix profit and wait for the spread to roll up again... etc...
//---------------------
For a long term strategy ("without thinking too hard"), it would probably be reasonable just to sell this spread at the end of the week and smoke it out by the end of April/early May. After that, fix the total profit. "For", if for 15 years the trend is outlined - then this trend, most likely, will find its confirmation this year!
ZSHO and ZMHO are well correlated, so one we sell the other we buy, ZLHO should strengthen the weight of one of the two instruments. It is only necessary to determine the size of lots.
But it may be wrong.
Current graph, M30 ZM & ZL
In one of the addresses I read the following (and I quote):
".... let's look at the Short Dec 09 WTI (NYM)-Long Dec 09 Brent (ICE) intermarket spread
The specifics of the 15-day London market suggest that the WTI-Brent spread narrows in the second half of each month. Given the fact that the spread has now widened quite considerably, we can expect an equally strong narrowing in the next two weeks...."(Oct 2009)
(WTI oil, in fact, is not much different from CL)
Unfortunately, I do not have any quotes for WTI & BRN accumulated.
If anyone has a history of these instruments for a few months, I would like to see a spread chart to verify the validity of the above quotation.
В одном из адресов прочитал следующее (цитирую):
"....рассмотрим межрыночный спред Short Dec 09 WTI (NYM)-Long Dec 09 Brent (ICE)
Специфика 15-дневного лондонского рынка предполагает сужение спреда WTI-Brent во второй половине каждого месяца. Учитывая тот факт, что сейчас спред довольно значительно расширился, в ближайшие две недели можно ожидать неменее сильного сужения...." (Окт. 2009г.)
(Нефть WTI по сути, мало отличается от CL)
К сож., у меня не накоплены котировки по WTI & BRN .
Если у кого-ниб. есть история этих инстр. за неск. месяцев, то хотелось бы посмотреть график спреда, чтобы убедиться в справедливости вышеприведенной цитаты.
It seems to me that month numbers do not work here. you can see the history of several months on instruments BRN_CONT and WTI_CONT
now is the perfect time to buy the spread between these instruments
and the same attractive situation between silver and gold
Regarding GC+SI, I have a question.
The situation for entry has been attractive for a few days already! But where (at least some) guarantee that after entering it will not have to sit for a week (if not more), waiting out the current loss?
I don't even see the faintest signs of a spread reversal - see the bottom indicator line!
And by what additional criteria do you determine the moment of entry on these instr. ?
I would wait for the spread to roll back, for example, and then I would enter in the opposite direction - in the direction of the trend!
It would also be good to find out the fundamental reason behind the trend of the spread! What is it? A typical seasonal trend or other reasons ?
SI & GC
Информация к размышлению :
ZM & ZL
"...Поскольку соевая мука является кормовой добавкой для скота, спрос на этот продукт возрастает в течение зимних месяцев. Таким образом, если потребление соевой муки возрастает, то запасы соевого масла, наоборот, типично повышаются зимой, что оказывает давление на цены.
......
Для текущего периода, видимо, нужно ориентироваться на 5-летний график (нижнее окно рисунка) - хорошо видно, что с третьей декады февраля до начала мая идет сужение среда ZM/ZL
Иначе говоря, на ближайший месяц-два есть резон работать по такой тактике "краткосрочных сделок": дожидаемся отката спреда вверх, после чего продаем спред, далее фиксируем прибыль и опять ждем отката спреда вверх... и т.д.
Here is the morning chart - the situation of these instruments:
In accordance with Reid's recommendations above - we (Reid and I) made a short-term entry on this chart this morning, counting on price lines convergence and delta move down.
sell ZMH0 & buy ZLH0
The positions were closed 20 min ago - here is the final result: