FORTS: Strategies and how to implement them - page 7
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So the question is how to make division the difference (combine the essence of what Mikalas andEdic suggested into one formula). What is this mathematical transformation (studied in grade 10-11) and what does it give us.
Answer. I will post more information and everything will fall into place. You will know how to "correctly" build a calendar arbitration between BR-4.15 and BR-5.15 (pictures already prepared).
Yesterday my brain was full of information and new strategies - I couldn't sleep until 7 am. And then - straight to the holiday. So now I'm drunk from the holiday and I can barely think.
So forgive me if I am very blunt, but it seems to me that the more expensive futures are worth more - and it would bea good idea to balance this out with a drop in value, which we have not done - if it is a matter of two legs
. But the topic is very interesting . and not me . I think - why do they all oscillate at a certain distance and not intertwine? are they being held up by optionsists with their views on future ddelta hejem?
I agree with Mikalas and I also think that for calendar arbitrage the best way to calculate the spread is the difference in futures.
In that case, we can see how much (rubles) the difference between the two futures is and we can buy or sell that difference.
The spread calculation by the ratio of one futures to another is more suitable for pair trading (by the way, it is also an arbitrage strategy).
Yes, it's easier and more convenient. I'm just curious what Sergey means and what is the right way from the point of view of trivial logic and the nature of things. But I can not figure out how to ... I need to introduce a correction factor - and then take the difference? ...Brrr equation of a straight line?
I've already forgotten if I was at school - or not)-)
Here's another thought - there are a lot of super-professional participants in the market who trade all types of arbitrage - and they sit on direct connections. They have vast experience. So it is impossible to make money with such simple things through mt5 - everything is blocked. You need to do something unique and competitive. You have to be better than them in some way. So the eyes are afraid, but the hands are trying to do it.
However, I have one very profitable, rather strange arbitrage strategy, which turned out thanks to 2 mistakes in code. I was surprised by the result - everything did not work as it should have. And if I hadn't made a mistake - it would have turned out to be a sinker. And only after a while I understood why I got a profitable one. I will organize something similar on the calendar on the real - I will show the result if it works.
Yes, it's easier and more convenient.
As for trading the calendar spread, it's not so simple there. The timing of entry is important (as with all other strategies).
Here is an example of how the spread between RTS-3.15/6.15 behaves during its lifetime (life of the spread):
This is with the same position volumes.
Then why complicate it?) We're not looking for the easy way?))
As for trading the calendar spread, it's not so simple there. The timing of entry is important (as with all other strategies).
Here is an example of how the spread between RTS-3.15/6.15 behaves during its lifetime (life of the spread):
This is with the same position volumes.
A beautiful spread. Stationary. Not like the price chart...
Frontranning only makes sense for "Sharks", we don't count!