The max loss in modelling going back to 1998 is 9.8% in one month (no leverage). The max loss in trading since 2018 is 1.9% in a day (no...
very likely has been verified. haha
No positions change for Wednesday, May 6. Today MNQ up 1.44%, M2K up 0.85% MYM up 0.72% Portfolio's gain=2x(1.44%x0.5+0.85%x0.5-0.72%)=0.85%...
The pair of MNQ/MYM (or NQ/MY) is the best pair to trade. The NASDAQ 100 INDEX and the Dow Jones Index are highly correlated in 99% of the time....
The issue that blew up the Long Term Capital Management is the high leverage. They leveraged up to about 50x to make the tiny arbitrage profit...
To answer some questions here: 1. Why using futures instead of options for spread trading? The answer: liquidity. Options have poor liquidity...
Monday, May 4: MNQ up 1% while MYM down 0.1%. The portfolio made 2x(1%+0.1%)=2.2%. Jealous? haha Positions for Tuesday, May 5: Long: 50% in...
Sometimes I do. If you have ever read my other posts, you will know that I also have market trend predictions. So during the day, I also add some...
Just ignore the noise. Scalpers can't understand the beauty of the spread trading. They are satisfying with a few points while we are talking...
So: last week, the spread strategy gained 4.1%, while the S&P 500 Index was down 1.3% this week, the spread strategy gained 0.31%, while the S&P...
Friday, May 1st: Followings are this week's performance: Monday: 0 Tuesday: -1.58% Wednesday: 0.01% Thursday: 1.16% Friday: 0.72% Week's gain:...
Still 100% long MNQ, 50% short MYM, 50% short M2K for Friday, May 1st.
Still 100% long MNQ, 50% short MYM, 50% short M2K for April 30.
Tuesday, April 28: Bad day: MNQ is down while M2K and MYM are up. Still 100% long MNQ, 50% short MYM, 50% short M2K for April 29.
Any cross will get margin offset. The leverage is only 2x on one side, so the margin is always not an issue.
For Tuesday, April 28: 100% Long in MNQ, 50% short in MYM, 50% short in M2K.
Friday, April 24: MNQ is up 1.95%, MYM is up 1.35%, so the spread trading makes 2x(1.95%-1.35%)=1.2%. Nice and safe profit. So this week's...
That's right.
Positions for Friday, April 24: 100% long in MNQ (NASDAQ 100), 100% short in MYM (Dow Jones).
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