Spread trading in Meta Trader - page 102
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Hello all!
Dmitry's answer (or rather his link) was the closest to the truth.
The second instrument is YMH0 stock index (however, you can take any suitable "analogue")!
Further information for your pondering :
".....The stock market is famous for perhaps the biggest scandal in the history of the stock markets. In 80, the Hunt brothers, Texas oil tycoons, gave a bang to the silver market by accumulating huge positions in the cash silver market and the futures market. As a result, the silver market still holds the absolute lead with a low of $1.40 and a high of over $50 in January '80. The gold market reacted symmetrically, from $100 to $875 in the same 80s. The copper market has been rocked by scandal relatively recently - attempts to manipulate the cash market by a Sumitomo dealer culminated in a dramatic price drop in May 1996.
..... Copper correlates quite strongly with the stock indices and reacts painfully to Industrial Production. Copper traders, in addition, are constantly monitoring the situation on the LME cash market and the inter-monthly premium situation...."
Information for reflection.
CL & HO (oil + fuel oil)
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Late 2009 analysis:
".... By the beginning of the fourth quarter, heating oil prices are typically rising as distributors stock up to meet increased demand during the heating season. Meanwhile, by mid-October or so, heating oil stocks become quite sufficient to meet initial demand, but refineries continue to need oil to continue producing petroleum products.
Thus, refineries maximising fuel oil production continue to consume oil, while distributors are already dumping some stocks on the retail market at the start of the heating season. This leads to a seasonal increase in oil futures prices against heating oil contracts during October. As can be seen from the seasonal trend graph, the strongest spike in the oil-to-oil spread occurs in the second half of the month.
"...After a period of strengthening oil versus heating oil, the trend is reversing. While the US is increasingly immersed in the heating season, which somehow contributes to higher fuel oil demand, distributors and refineries are starting to get rid of excess inventory towards the end of the year, leading to an oversaturation of the cash oil markets.
As can be seen in the chart above, seasonal trends over the past five and fifteen years point to a strengthening of January heating oil contracts against January WTI crude futures during much of November, roughly until the expiry of December crude futures. After a brief correction in late November, the widening trend of the heating oil-to-gasoline spread resumes in early December."
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In fact, we are not interested in the end of last year at all, but in the current period - from the end of February onwards(F-M-A - see figure above).
And here the 5/15-year chart shows very clearly that from early March to mid-April the oil/ fuel oil spread has been steadily going down. I don't think this year will be an exception!
It does not really make sense to me though. After all, the heating season ends and the price of fuel oil should, apparently, decrease against oil at the end of February (if one considers the dimensionality of the quotes. Maybe the dimensions are calculated differently in this case? On the contrary, the spread has been narrowing since March.
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Nevertheless - our tactics for short-term trades within the next month and a half will be a permanent sale of spread on pullbacks. And for the long-term positions - just sell the spread at the beginning of March and follow the "Total Profit Growth"!
Current situation (spread):
It looks like the tandem(oil + fuel oil) is a fairly promising tandem for the foreseeable future.
Now I ran the indices through the history and it turns out that with the seasonal trends one can "make a lot of money" on these instruments!
Второй-же инструмент, - это фондовый индекс YMH0 (впрочем, можно взять любой подходящий его "аналог")!
but since these instruments are not the same type there is a big risk of getting a "hangdog"
the ratio of profit and loss is very skewed, i.e. there may be excess profit and excess loss
неравенство волатильности компенсируется разной стоимостью пунктов
I thought about it and came to this conclusion:
it is compensated, but not to the end, and if we derive a formula for the coefficient of this compensation disparity, we can calculate lots more accurately
as a result, the following formula came out:
K = V1*S1 / V2*S2;
Lot1 = LotB*K; the lot of the first instrument
Lot2 = LotB; the lot of the second instrument
where
K - equalization coefficient
V1 - volatility of the first instrument
V2 - second instrument volatility
S1 - first instrument point value
S2 - second instrument point value
LotB - base lot
K = V1*S1 / V2*S2;
For example, you can calculate the gold-silver lot values using this formula
lot for silver 0.12
lot for gold 0.1я тут подумал и пришел к такому выводу:
оно то компенсируется но не до конца, и если вывести формулу коэффициента этого неравенства компенсаций то можно более корректно высчитать лоты
в итоге получилась такая формула:
K = V1*S1 / V2*S2;
Lot1 = LotB*K; лот первого инструмента
Lot2 = LotB; лот второго инструмента
где
K - уравнивающий коэффициент
V1 - волатильность первого инструмента
V2 - волатильность второго инструмента
S1 - стоимость пункта первого инструмента
S2 - стоимость пункта второго инструмента
LotB - базовый лот
Yes, I use a similar formula. I've posted a script that calculates lots before, I'll post it again:
Да, я использую похожу формулу. Выкладывал ранее скрипт, рассчитывающий лоты, выложу и еще раз:
in your code, I don't understand why Volume has to be taken into account?
Да, я использую похожу формулу. Выкладывал ранее скрипт, рассчитывающий лоты, выложу и еще раз:
One more thing
A tick is not always a point, and that has to be taken into account.
for example for silver 1 tick equals 5 points