Spread trading in Meta Trader - page 8
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Не то что не факт, а почти гарантированно НЕТ
Nevertheless, it works, and it makes a profit. Spot futures are just an example. If you want, you can find more suitable instruments.
What I didn't like about this strategy, is that KIM's EA closed on profit, which was calculated in wrong symbol, and therefore - the difference between Bid/Ask, symbol #I was shifted for a few seconds by many points (the hairpin) and the deal is closed in zero when profit is written ... Thanks for the code , this moment may be eliminated... I had to turn off my Expert Advisor in low-liquidity times....
I got 30-50 dollars per day from 2 lots (one buy one sell), I may have increased my account by 30-50 dollars a day (sometimes by 2), then I read about seasonal spreads (for example, narrowing before expiration) and I got 400 dollars for 2 days according to this principle... I got carried away in this direction at once
Nevertheless, it works, and it makes a profit. Spot futures are just an example. If you want, you can find more suitable instruments.
........
And the second, the main point, while I was evolving in this direction, I was poking and prodding with different pairs, getting from 2 lots (one buy one sell) 30-50 dollars a day growth in my account (sometimes 2), then I read about seasonal spreads (like narrowing before expiration), and entering on this principle, within a couple days, immediately cut 400 ... which I immediately got carried away in this direction.
And on what instruments (if not a secret) there is a good reason to experiment?
As for me I'll show my opinion about the "arbitrage" pair (Dax+Futsy). After a week and a half of watching and working on a demo (in a very rough form) the following tactic appears:
Lots (dax/futsi), as I said, should be treated as 1:3 (sometimes I put 1.2:3)
If the initial divergence at the beginning of work is conditionally set to zero, the entry should be realized only when the initial divergence increases to 160/200 pips or more! (200 pips is approximately 40 ticks)
If the divergence for entry is less, then we risk hanging around with a loss for a few days and overlapping the hedge.
Note that daily Dax starts an hour earlier than Futsi. And be sure to keep track of when the footsie starts working (11 Moscow time), because at the opening gap of the London session there is an opportunity to close (in work) the hedge in good profits!
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I suggest that those who wish to attend also share their observations on other instruments.
I would even venture to guess that there may well be "protection" software on the DC's servers that physically prevents traders from earning on such (currency+same-name futures) arbitrage. They just do not let the quotes diverge that much.
Execution rules + shit like this:
So far this approach is killing it. This is the ticker chart of the eurjpy futures ticker. It discourages any experimentation.
There are such beauties in many futures tickers.
Yeah ...
It happens ! And at the moment of opening/closing positions too.
But I haven't seen such impudent slippage on indexes. It is more modest on the indexes. 3-5 ticks at the most.
А на каких (если не секрет) инструментах есть резон поэкспериментировать ?
Well, apart from the Aussie spot futures, I tried 6A with different mts, NG, CL, GC. It seemed to work better on gas... But again - seasonality is important to consider... Before expiry (a week) for example spread is narrowed, if not always, then often, after expiry the next ones widen... It is important not to fall against the spread trend... But if you enter correctly, like I wrote before, the profit goes up...
In seasonal spreads, it is of course a separate topic, trading is calmer and safer there, but the profit is "quiet", accordingly... Probably arbitrage on indices should be more relevant... I saw a video somewhere about arbitrage on a Russian stock - gasprom or sberbank for QuickBooks (futures on the same stock). There were lots of these deals a day... In MT+DCs (especially Br...) it's probably impossible.... not technically, but in terms of course they will rebel against it quickly... they will start to poke their noses in the wheels...(((((
Well, apart from the Aussie spot futures, I tried 6A with different mts, NG, CL, GC. It seemed to work better on gas... But again - seasonality is important to consider... Before expiry (a week) for example spread narrows, if not always, then often, after expiry the next ones diverge...
Only it's not seasonality, but backwardation and contango. If at the opening of a position on a currency pair swaps are accrued +/-, in the futures these swaps are spread/included in their price and the further to the expiration, the futures price differs from the price of the underlying.
Seasonality is expressed in commodity futures like wheat, coffee, sugar, oil ...
If arbitrage between only spot instruments is real, then when more futures are connected, there are many more arbitrage situations.
Please explain this in more detail. With illustrative examples.
Explain this in more detail, please. With illustrative examples.
Said before:
Have a look at the "Theory" section here. There, replace EURUSDx and EURUSDy with your real correlated trading instruments. Otherwise everything is identical.
Said earlier:
Take a look at the Theory section here. There, replace EURUSDx and EURUSDy with your real correlated trading instruments. Everything else is identical.
Yes, but it's not exactly clear. Perhaps an experienced trader would be able to understand it straight away. But I couldn't.