I'm looking at my system's (backtest) PNL from that period and VIX futures lost a mere 1.8%, which was recovered over the next 8 days. Being one...
Oh yes, that can be an issue if you only use a short-term vol measure.
I'd never use AI to do my thinking for me, but I do use ChatGPT to convert my ideas into Python code. It saves me a ton of time.
Volatility is mean reverting, but that doesn't necessarily mean that vol futures are. I have VIX and V2X futures in my system just like all other...
So true. Arizona, by the way, has a flat tax of 2.5% income and 1.88% on LT capital gains (75% of the normal income tax rate). So for futures...
FYI (I haven't seen this mentioned), the Net Investment Income Tax applies only to the income above the threshold (not "to the total if your MAGI...
My spread / slippage costs are 4x my commissions (which I assume is true for most liquidity taking traders), so it's not a huge deal.
A real shame. @def helped me get IB to fix problems they were having.
Interestingly, in my account, a purchase of one contract requires initial margin of 68,297 and maintenance of 59,361. Selling one contract,...
Perhaps it is related to this: https://www.elitetrader.com/et/threads/ice-futures-europe-ipe-eua.296423/ Still a mystery though.
I was looking at adding EUA (Emissions) futures traded at ENDEX to my system. The notional is ~70k per contract and it moves about 1% a day. IB's...
My system hasn't tried to trade the Canadian bond futures since October, but it did trade CORRA (Canadian Overnight Repo Rate Average) futures as...
I have to agree with the above posted but I'll try to be a bit kinder: You need to learn more about how futures work. You don't "lose" anything...
The volume and open interest is already moving from Dec to Mar. [ATTACH] I have an open position in the same contract and my system will...
Both of the contracts you shared on traded on ENDEX. I was looking for the smaller CME-traded contracts.
I had tried that but it didn't work. I contacted CSI, and apparently they fixed the problem. (I'll try on my computer after the markets close.)
Not sure if anyone else besides me is using CSIData, but just in case, be forewarned that their quotes for Bitcoin futures are all messed up,...
You don't have to hedge anything. I just make sure I have enough of each currency to cover the margin so that I'm not paying margin interest and...
OTOH, big up day today for me. No idea what's moving the needle (I rarely look at the individual instrument performances).
Actually, a 0.33 correlation seems pretty high considering you could be long or short (perhaps you are long-term enough that your signals have...
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