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1 minute ago, RapperT said:

very important for newer members to understand that we open new trades with right signal (long or short) and at the right delta in the trade alert.  Dont worry about matching our price

Can you please explain it bit more? I don't have a live data subscription for Future Options. so wondering how much I should deviate from the published price. 

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1 minute ago, ramn said:

Can you please explain it bit more? I don't have a live data subscription for Future Options. so wondering how much I should deviate from the published price. 

ok that will be a little tougher. 

 

here is what i suggest:

 

1:  Set up the spread with your long at 50 delta and your short at the right strike to achieve forecasted delta in the alert.  So for today's ZN trade, you want the delta of your spread to be around 17

 

2:  Set you opening limit order well under whatever delayed mid you see if you dont have live data.  Then walk the price up until you get a fill.

 

This is a better approach than trying to match my spread and price exactly.  It also allows you to enter the trade whenever you want during the day

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3 minutes ago, RapperT said:

Set up the spread with your long at 50 delta and your short at the right strike to achieve forecasted delta in the alert.

thanks for explaining that and apologies for my little knowledge, how do I calculate that "50 delta" ? can you please refer me to the writeup/tutorial I should be reading to understand this?   

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Just now, ramn said:

thanks for explaining that and apologies for my little knowledge, how do I calculate that "50 delta" ? can you please refer me to the writeup/tutorial I should be reading to understand this?   

How delayed are you quotes?  Is it 15 min?  you broker should display the delta of each strike in your options grid.

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3 minutes ago, ramn said:

how do I calculate that "50 delta"

You do not have to calculate it you see it in the options chain. If you take a bull spread with calls you buy the ATM call which has a delta of around 50% or 0.5. Then you short a call and the delta sum (long -short) is the delta of your spread which should match the one in spreadsheet RapperT publishes on Friday morning.

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9 minutes ago, RapperT said:

How delayed are you quotes?  Is it 15 min?  you broker should display the delta of each strike in your options grid.

I am using IB, I guess it is 15mins.

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I am having issues placing some trades:

for example, LE while placing order "Bought Aug 07'20 (exp 7 Aug) 95/97 bear spread for .0085"

price .0085 is not available 

image.png.1bd49a931148b6fb7837144ca2d096

if I try to force the price I am getting this error. 

image.png

Am I doing something wrong?

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On 6/12/2020 at 12:56 PM, ramn said:

I am having issues placing some trades:

for example, LE while placing order "Bought Aug 07'20 (exp 7 Aug) 95/97 bear spread for .0085"

price .0085 is not available 

image.png.1bd49a931148b6fb7837144ca2d096

if I try to force the price I am getting this error. 

image.png

Am I doing something wrong?

I really recommend getting at least the CME futures data.  It doesn't cost much and trading the system will be hard without it.

 

Just walk up the price by whatever increments are available.  Don't worry about the price i paid.  Worry about the signal + the delta of the spread

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@RapperT @Jjapp Maybe the topic has already been discussed but would it be an option to let the system run biweekly instead of weekly? One advantage could be to save a lot of commissions. Opening and closing a FOP spread thru IB costs me on average 10 USD. If we have 4 round turns per week it would be more than 2k per year which is about 4% for a 50k account. I know you started with outright puts or calls but with spreads the commission has doubled and 4% is lot if you have maybe an expectancy of 12% for the strategy.

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We could do that or even make it a once a month trade.  I'm not sure what that would do to trade results but I could look into it a bit.  It will require rewriting some code and some analytics work so I'd be interested to get a feel from the group before I go too far.  The other thing to keep in mind is we would likely want to go as far out as reasonable on contract dates but these are reasonable questions.  Anyway, let me know what everyone thinks.

 

My guess is our capital in trades would go up.  Our transaction costs would go down.  We would miss some big moves.  We would get whipsawed far less.   There are tradeoffs but we can certainly make the system work on fewer adjustments.

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7 hours ago, Jjapp said:

 

My guess is our capital in trades would go up.  Our transaction costs would go down.  We would miss some big moves.  We would get whipsawed far less.   There are tradeoffs but we can certainly make the system work on fewer adjustments.

Would it be possible to backtest it to see how a change from weekly to biweekly or even monthly might affect the variables? Missing some moves but getting whipsawed less might balance itself out. 

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Loosely related to Marcuse's suggestions and transaction cost: Did anybody look into whether CFDs would be a viable instrument to follow this service? There are CFD brokers covering the commodities market segment sufficiently. The CFD broker I'm using admittedly only has Gold, Silver, Brent and WTI, but looking at the contract specs (https://www.fxflat.com/en/account-opening/product-info/contract-specification/) I would be able to trade a CL-futures-based CFD at a contract size down to 10 barrels, i.e. delta adjustments can be done with 0.01 increments. No commissions, no overnight financing cost, bid/ask spread is fixed at 3 ticks (while the future seems to be trading at 1 or 2 ticks spread mostly). Similarly for GC, they carry a spot-based Gold CFD, down to 1 ounce per CFD, i.e. a 0.01 delta relative to the GC future. This one has financing costs. I would need to look into whether the spread, financing and fills are actually worse than options commissions. In case anybody has thoughts on that, very much appreciated.

 

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We haven't looked at CFDs.  I'm not sure if IBKR US offers them on commodities.  There are some challenges with CFDs.  They're not exchange traded products and the spreads can be wide.  That being said, I don't see why someone couldn't convert the delta to a CFD size and trade it if they wanted to. 

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On 6/15/2020 at 1:46 AM, Markuse said:

Would it be possible to backtest it to see how a change from weekly to biweekly or even monthly might affect the variables? Missing some moves but getting whipsawed less might balance itself out.  

I can do a backtest on the signals relatively easily.  The impact on some of the other pieces is a bit more difficult.  We could get an idea for additional capital by assuming we buy 3 months out (assuming there is enough liquidity).  The rolls might take a bit more thought.  If our position sizes stay the same and we see a large move we would still need to roll the position so that we don't cap the upside. 

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3 hours ago, Jjapp said:

We haven't looked at CFDs.  I'm not sure if IBKR US offers them on commodities.  There are some challenges with CFDs.  They're not exchange traded products and the spreads can be wide.  That being said, I don't see why someone couldn't convert the delta to a CFD size and trade it if they wanted to. 

@Jjapp Thank you, indeed I'm quite happy with CFD brokers here in Europe, especially because I can trade a "swarm" of automated strategies at minuscule sizes each, which makes that feasible in the first place. The CFD brokers all seem to participate in the "cost war" bringing down commissions and spread (even to zero sometimes), with hidden collateral damage to the quality of pricing and fills, one has to assume.

After a few minutes of sitting down with my brain (and a calculator for doing the x10 and /10 things) I think I can answer my question myself. Looking at my broker's ".WTIm" CFD (1 CFD = 100 barrels) I see a 0.03 bid/ask spread (normally fixed, sometimes elevated) which translates to a $0.30 roundturn cost for 0.1 CFD (=10 barrels), which is the minimum trade size, which equals a 0.01 delta relative to the CL future (1000 barrels).
So, for our current delta target of -0.047 for CL, I would sell short 0.5 .WTIm CFDs and pay the spread of 5 x $0.30 = $1.50 for the roundturn. Apart from possible bad pricing, that'd be the only cost, if I see correctly.

I'll just try this out on CL and GC and see what I find. P&L will not be comparable, as the CFD will have constant delta. The interesting thing is whether the spread will go bad on me or whatnot. I have only traded Forex and "US30 / Dow" CFDs so far with no issues.

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1 hour ago, DubMcDub said:

Unless something has changed, I believe retail CFD trading is not allowed in the U.S. But I have heard over the years from folks in Europe that they work well for certain purposes. 

It's unbelievable for me, that you enjoy even more political paternalism than we do in our beloved EU. But next year we will beat you again, when new tax laws make it effectively impossible for retail traders to trade any kind of derivative in Germany....

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Revisiting the CFD topic for people who can trade those:

With today's switch of CL to DOWN, I have closed my CFD trade in the .WTIm contract my broker offers.

Comparison:
System trade: Delta of -0.043 = entry for a $480 debit, exit for a $390 credit = loss of $90 minus commissions of approximately $9.28 (using IB).
My CFD trade: Short entry at $40.41, size 0.4 lots (=0.04 delta), exit at $38.34 = loss of $82.80, no commissions, no other cost.

 

Because my delta was about 7% off target, the P&L difference of $7.20 seems perfectly in line.

 

So far I like it. Managing CFD trades is much easier to do than option trades, especially if I'm tired on what for me is a Friday afternoon. No fiddling with expirations and trying to get limit orders filled. Also, switching WTI to short is an atomic operation if deltas stay the same (in my hedging account, I can first open the new opposite trade and close the old one afterwards). I like the absence of explicit cost, at least for WTI. I still have the GC trade running from last week, that one as a CFD trade has accumulated a financing cost of $3.25 so far (but no other cost).

Let's see how it works out next week. Our option spreads have the obvious advantage of being limited-risk, and for that reason I might very well stay with options in the end.

Edited by gurk

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31 minutes ago, gurk said:

Revisiting the CFD topic for people who can trade those:

With today's switch of CL to DOWN, I have closed my CFD trade in the .WTIm contract my broker offers.

Comparison:
System trade: Delta of -0.043 = entry for a $480 debit, exit for a $390 credit = loss of $90 minus commissions of approximately $9.28 (using IB).
My CFD trade: Short entry at $40.41, size 0.4 lots (=0.04 delta), exit at $38.34 = loss of $82.80, no commissions, no other cost.

 

Because my delta was about 7% off target, the P&L difference of $7.20 seems perfectly in line.

 

So far I like it. Managing CFD trades is much easier to do than option trades, especially if I'm tired on what for me is a Friday afternoon. No fiddling with expirations and trying to get limit orders filled. Also, switching WTI to short is an atomic operation if deltas stay the same (in my hedging account, I can first open the new opposite trade and close the old one afterwards). I like the absence of explicit cost, at least for WTI. I still have the GC trade running from last week, that one as a CFD trade has accumulated a financing cost of $3.25 so far (but no other cost).

Let's see how it works out next week. Our option spreads have the obvious advantage of being limited-risk, and for that reason I might very well stay with options in the end.

Very nice!

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1 hour ago, Bravesfan8989 said:

As a new join can you explain how to look at the emails like [Trades] Steady Futures Trades, 26 June 2020

Is any trade not labeled a "close" a new trade entry?

The trade confirmations are positions we rolled today.

 

If you just joined, best thing to do is open positions in all contracts targeting the delta in the trade post for today.

 

For longs we use call or call debit spreads.  For shorts we us puts or put debit spreads.

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