Moscow Exchange launches trading in futures on shares of eight Russian companies - page 17

prostotrader  
JRandomTrader #:

A guessing game, yes. But so far it's working. Although, of course, I want to be risk-free, I'll be thinking in that direction.

The main thing is done on MIX, on RTS much less, and on Si just a little bit.

Oh, by the way, as soon as you have, so far, guessing i.e. 50/50, I'll help you to make it 55/45

Here is a simplified formula for the theoretical futures price from the spot

F = S * (1 + r * n/365) - DIV

F is theoretical futures price.

S - SPOT price

r - securities rate

n - number of days before expiration

DIV - Dividends

Should "swing" the scales in your direction by 5 per cent (as a complement to your indicators).

JRandomTrader  
prostotrader #:

Oh, by the way, as long as you have a 50/50 guess so far, I'll help make it 55/45

Here is a simplified formula for the theoretical futures price from the spot

F = S * (1 + r * n/365) - DIV

F is theoretical futures price.

S - SPOT price

r - securities rate

n - number of days before expiration

DIV - Dividends

Should "swing" the scales in your direction by 5 percent (in addition to your indicators).

The number of days to expiry should also play a role here.

prostotrader  
JRandomTrader #:

The number of days before the cut-off should also play a role here.

//-------------------------------------------------------------------+
// Expert Set Dividents data function                                |
//+------------------------------------------------------------------+
void SetDivsData()
{
  datetime cur_data = TimeTradeServer();
  if(ulong(cur_data) > ulong(end_data))
  {
    divs_val = 0.0;
    end_data = D'2022.03.15 18:45:00';
  }
}
end_data = D'2022.05.27 18:45:00'; (отсечка)
divs_val = 109.81;


In OnTick() or OnBookEvent() or OnTimer():

if(divs_val > 0.0) SetDivsData();

JRandomTrader  
prostotrader #:


In OnTick() or OnBookEvent() or OnTimer():

if(divs_val > 0.0) SetDivsData();

This is clear, I mean that divs should not also enter directly, but taking into account the rate and the number of days.

prostotrader  
JRandomTrader #:

It is clear, I mean that the dividends should not also be included directly, but taking into account the rate and the number of days.

In the long run (dividends) it is not important, because it is a constant, what is important is the dependence of the theoretical futures price on the spot,

That's where the days to expiry are important.

This indicator should show what is the difference between the theoretical and real price.

On the basis of this difference you can predict where the real price "will go".

Y = Fut(real) - Fut(teor);

Added

The formula F = S * (1 + r * n/365) - DIV is only valid for contracts on shares,

for indices and currencies, other formulas.

JRandomTrader  
prostotrader #:

By and large (dividends) it doesn't matter, because it is a constant, what matters is the dependence of the theoretical futures price on the spot,

This is where the days to expiry are important.

This indicator should show what is the difference between the theoretical and real price.

On the basis of this difference you can predict where the real price "will go".

Y = Fut(real) - Fut(teor);

Added

The formula F = S * (1 + r * n/365) - DIV is only valid for contracts on shares,

For indices and currencies, other formulas.

Getting this constant in a day or two months is a big difference, so it should definitely affect the theoretical price.

I understand about indices, but I trade almost exclusively indices - smoother movement, smaller spreads, more liquidity, potentially less 'puppeteering'.

prostotrader  
JRandomTrader #:

Getting that constant in a day or two months is a big difference, so it should definitely affect the theoretical price.


It makes no difference.

Dividends, or the expectation of dividends, are already built into the spot price.

Renat Akhtyamov  
prostotrader #:

By and large (dividends) it doesn't matter, because it is a constant, what matters is the dependence of the theoretical futures price on the spot,

This is where the days to expiry are important.

This indicator should show what is the difference between the theoretical and real price.

On the basis of this difference you can predict where the real price "will go".

Y = Fut(real) - Fut(teor);

Added

The formula F = S * (1 + r * n/365) - DIV is only valid for contracts on shares,

for indexes and currencies, other formulas.

tried, analyzed

no fish

that confirms only one thing - the kotir movement is in the direction of earning by its mover and has not obeyed any laws for a long time

         if(StringSubstr(Symbol(),0,3)=="USD")FORWARD[i]=30*(USD[i]-SYM[i])/(SYM[i]*30+100.0*360.0);

         if(StringSubstr(Symbol(),3,3)=="USD")FORWARD[i]=30*(SYM[i]-USD[i])/(USD[i]*30+100.0*365.0);

Files:
3ckxf19sl2.zip  173 kb
prostotrader  
Renat Akhtyamov #:

Tried it, analysed it.

no fish

which confirms only one thing - the movement of the kotir is in the direction of making money and has not obeyed any laws for a long time

         if(StringSubstr(Symbol(),0,3)=="USD")FORWARD[i]=30*(USD[i]-SYM[i])/(SYM[i]*30+100.0*360.0);

         if(StringSubstr(Symbol(),3,3)=="USD")FORWARD[i]=30*(SYM[i]-USD[i])/(USD[i]*30+100.0*365.0);

Is it FOREX ?

Added

Here, my dear, we are talking about Stock and Derivatives Markets.

prostotrader  
prostotrader #:

Surely someone couldn't take it...

Added

If this "thing" continues to go on, we may see 59...

Looks like my guesses are coming true...