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Posts Made By:
SMCJB
Forum:
Emini and Emicro Index
November 15th, 2019, 01:50 PM
Replies:
40
Pairs trading
Views:
13,215
Posted By
SMCJB
Interesting that they are sophisticated enough...
Interesting that they are sophisticated enough look at the correlation and relative volatilities but then trade the spread on a 1:1 basis!
Forum:
Emini and Emicro Index
July 9th, 2019, 11:25 AM
Replies:
40
Pairs trading
Views:
13,215
Posted By
SMCJB
Adding to losers is normally a bad idea and I...
Adding to losers is normally a bad idea and I actually wrote a heavily read post Why you should add to winners and never add to losers...
Forum:
Emini and Emicro Index
July 8th, 2019, 06:09 PM
Replies:
40
Pairs trading
Views:
13,215
Posted By
SMCJB
That's actually pretty typical in a mean...
That's actually pretty typical in a mean reversion system. The further you are from the "mean" or "normal range" the greater the probability of a reversion, so the bigger the position you want to...
Forum:
Emini and Emicro Index
May 24th, 2019, 02:27 PM
Replies:
40
Pairs trading
Views:
13,215
Posted By
SMCJB
Optimus Futures :- How to Trade One Index Against...
Optimus Futures :- How to Trade One Index Against Another Using Micro E-Mini Futures
https://optimusfutures.com/tradeblog/archives/trade-micro-e-mini-futures?
Little bit "discretionary" for my...
Forum:
Emini and Emicro Index
May 20th, 2019, 06:02 PM
Replies:
40
Pairs trading
Views:
13,215
Posted By
SMCJB
Eran Raviv :- Ordinary Least Squares, Least...
Eran Raviv :- Ordinary Least Squares, Least Absolute Deviation and Huber Regression in Pairs Trading
https://eranraviv.com/adaptive-huber-regression/
Forum:
Emini and Emicro Index
May 12th, 2019, 04:51 PM
Replies:
40
Pairs trading
Views:
13,215
Posted By
SMCJB
Oh yes in many cases. That was what I was...
Oh yes in many cases. That was what I was referring to when I said this
I just assumed Beta would be a more common explanation to you than IV.
Forum:
Emini and Emicro Index
May 11th, 2019, 05:35 PM
Replies:
40
Pairs trading
Views:
13,215
Posted By
SMCJB
+2 M6E, -3 M6B gives a $3727 or 13.2% mismatch ...
+2 M6E, -3 M6B gives a $3727 or 13.2% mismatch
+3 M6E, -5 M6B gives a $1518 or 3.6% mismatch
+4 M6E, -7 M6B gives a $690 or 1.2% mismatch
So if your goal is to actually have a EUR:GBP currency...
Forum:
Emini and Emicro Index
May 11th, 2019, 05:27 PM
Replies:
40
Pairs trading
Views:
13,215
Posted By
SMCJB
It's difficult to do this with currency futures,...
It's difficult to do this with currency futures, as the futures you are talking about are both USD crosses.
So you are in reality just creating a different non-USD cross which isn't really a...
Forum:
Emini and Emicro Index
May 10th, 2019, 07:10 PM
Replies:
40
Pairs trading
Views:
13,215
Posted By
SMCJB
Do you understand what a Beta of a Stock is? In a...
Do you understand what a Beta of a Stock is? In a common equity pairs trade you would want to structure the trade so you are Beta Flat or Neutral this is very different than dollar flat or share...
Forum:
Emini and Emicro Index
May 10th, 2019, 03:20 PM
Replies:
40
Pairs trading
Views:
13,215
Posted By
SMCJB
I should also say, while I think you are...
I should also say, while I think you are currently thinking about this wrongly, the fact that you are thinking about this at all with as little experience you have, is impressive. Many traders,...
Forum:
Emini and Emicro Index
May 10th, 2019, 03:15 PM
Replies:
40
Pairs trading
Views:
13,215
Posted By
SMCJB
I agree with kevinkdog and centaurer 's points...
I agree with kevinkdog and centaurer 's points but answering your question from a theory perspective, I think your looking at it wrong.
In your example you need to determine a relationship...
Showing results 1 to 11 of 11
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