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Search: Posts Made By: kevinkdog
Forum: Traders Hideout August 7th, 2017, 02:36 PM
Replies: 120
Views: 86,835
Posted By kevinkdog
Instead of tracking price, maybe track midpoint...

Instead of tracking price, maybe track midpoint between bid and ask. That might work a lot better, as long as the bid and ask are "fresh."
Forum: Traders Hideout August 7th, 2017, 09:28 AM
Replies: 120
Views: 86,835
Posted By kevinkdog
Never used SeasonAlgo, and I only use MRCI for...

Never used SeasonAlgo, and I only use MRCI for end of day research (settlement prices).
Forum: Traders Hideout August 6th, 2017, 05:59 PM
Replies: 120
Views: 86,835
Posted By kevinkdog
I guess it depends on what you are doing with it,...

I guess it depends on what you are doing with it, and what for your purposes is considered a large error. For your situation, it might not matter at all if they are off a little bit.
Forum: Traders Hideout August 6th, 2017, 05:16 PM
Replies: 120
Views: 86,835
Posted By kevinkdog
If you are certain each and every data pair is at...

If you are certain each and every data pair is at the same exact time, it should be accurate.
Forum: Traders Hideout November 23rd, 2015, 09:41 AM
Replies: 120
Views: 86,835
Posted By kevinkdog
Not really. Lost a little bit in spread trading...

Not really. Lost a little bit in spread trading in August, but made it back (and then some) in September. Slightly down overall in 2015 for spread trading.
Forum: Traders Hideout September 22nd, 2013, 08:02 AM
Replies: 120
Views: 86,835
Posted By kevinkdog
For some intermarket spreads, the correct ratio...

For some intermarket spreads, the correct ratio (the ratio that the exchange lists for margin) is not one to one. For example, MRCI lists the USTY spread as 1:1. This NOB spread is usually not 1:1 ...
Forum: Traders Hideout September 21st, 2013, 05:23 PM
Replies: 120
Views: 86,835
Posted By kevinkdog
Before you get too excited, realize there are no...

Before you get too excited, realize there are no stops, to trade each spread would take a significant amount of capital, and that some of their trades have the wrong ratios.
Forum: Traders Hideout September 20th, 2013, 04:14 PM
Replies: 120
Views: 86,835
Posted By kevinkdog
CME - yes. Most brokers offer these, I'm...

CME - yes. Most brokers offer these, I'm guessing. I traded them with 4 or 5 different brokers over the past few years.
Forum: Traders Hideout September 20th, 2013, 03:47 PM
Replies: 120
Views: 86,835
Posted By kevinkdog
It is an exchange traded spread, so you can...

It is an exchange traded spread, so you can definitely trade it. There is almost always decent bid/ask in these spreads.. My chart is from the Tradestation Futures 4.0 platform, which allows you to...
Forum: Traders Hideout September 20th, 2013, 03:22 PM
Replies: 120
Views: 86,835
Posted By kevinkdog
Here's the individual data charts, with 5 minute...

Here's the individual data charts, with 5 minute bars. You can see that trading is infrequent for both products.

https://nexusfi.com/attachment.php?attachmentid=123834
Forum: Traders Hideout September 20th, 2013, 03:01 PM
Replies: 120
Views: 86,835
Posted By kevinkdog
Josh - I am confident that you cannot rely...

Josh -

I am confident that you cannot rely on 1 minute data for RBH14 and RBJ14 to give you an accurate chart (maybe if you used bid/ask prices, not last traded price, you might be OK). You have...
Forum: Traders Hideout September 19th, 2013, 11:53 AM
Replies: 120
Views: 86,835
Posted By kevinkdog
Yikes

I had an awful typo in the post above. Completely changed the meaning. It has been corrected.


If anyone does not understand my post above, please ask.
Forum: Traders Hideout September 19th, 2013, 11:40 AM
Replies: 120
Views: 86,835
Posted By kevinkdog
Note that if you use continuous backadjusted...

Note that if you use continuous backadjusted contracts, using ratios will be incorrect for all but the current contract. It might not be wrong by much, but it will be wrong.

That statement also...
Forum: Traders Hideout September 17th, 2013, 10:29 AM
Replies: 120
Views: 86,835
Posted By kevinkdog
FWIW: What a couple of long time spread traders...

FWIW: What a couple of long time spread traders have told me is that mean reversion worked well until 5? years ago. Now it does not model as well. I have never used mean reversion in what I do.
Forum: Traders Hideout September 17th, 2013, 08:09 AM
Replies: 120
Views: 86,835
Posted By kevinkdog
My Take On Spread Trading

I have been swing trading calendar spreads for a number of years. I trade most of the ags, softs, energies, etc.

Yes, you do have to get direction right for the trade to work.

You can forget...
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