Welcome to NexusFi: the best trading community on the planet, with over 150,000 members Sign Up Now for Free
Genuine reviews from real traders, not fake reviews from stealth vendors
Quality education from leading professional traders
We are a friendly, helpful, and positive community
We do not tolerate rude behavior, trolling, or vendors advertising in posts
We are here to help, just let us know what you need
You'll need to register in order to view the content of the threads and start contributing to our community. It's free for basic access, or support us by becoming an Elite Member -- see if you qualify for a discount below.
-- Big Mike, Site Administrator
(If you already have an account, login at the top of the page)
Yes but the amount of excess should be checked with backtesting and then a little more added.
For example, it was backtested and shown that 4xIM worked for the ES spread strategy from 2013 to 2018. But last week it wouldn't have worked depending on the day you entered. 5xIM would have worked where 4xIM didn't.
Have you found that 3xIM works for some commodities?
Thanks Ron. Setting risk parameters based on IM is relatively new to me so I don't have a meaningful database to share based on individual commodities. My learning curve is slower since I'm just at this part time. However, after 7 years of option selling, I've found certain markets have given me the biggest drawdowns. The biggest drawdowns came from Natural Gas, E-mini S&P 500 and the Foods and Softs, (especially Coffee). I have had the least drawdowns from T-notes, Hogs and Live Cattle.
I would like to backtest the IM on my past trades to see how the margins fluctuated prior to expiration. Do you know where I can find historical margin rates?
Win Rate = % of scenarios that have a positive return
E(mROI) = average mROI
Med(mROI) = median of mROI
E | Loss = average mROI for losses
E(DTS) = average days from acquisition to liquidation
Med(DTS) …
But for this crash the 1x2 performed well. It only needed 4xIM to ride it out while the 2x3 had to have 5xIM to ride it out.
Cherry pick the largest moves and then pick the worst day, bottom or top before big move, to enter a trade before the move. Do as many as you can.
If this helps you can go to my Tableau charts (Seasonal Futures (contract you want to see) at bottom of this page) to see all settlements since 2006 for last 9 months a contract traded. https://public.tableau.com/profile/ron.h8870
Trading: Primarily Energy but also a little Equities, Fixed Income, Metals and Crypto.
Frequency: Many times daily
Duration: Never
Posts: 5,057 since Dec 2013
Thanks Given: 4,409
Thanks Received: 10,225
Lots of stories about today regarding a whistle-blower alleging VIX is manipulated. While I find zero-hedge interesting reading, their continual 'the world is about to end' style reporting has got old. Saying that, I thought their piece on this was decent, even if they are claiming they unearthed this conspiracy years ago.
Is there a certain premium credit you are looking for when entering the 2x3 and 1x2? or you will take whatever price the market is giving at that moment?