Barjon's Money Machine

ChocolateDigestive

Experienced member
1,153 281
Some nice price action on the 5FTSE2DAX spread on the london open.
 

Attachments

  • FTSEDAX2.png
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D70

Established member
839 195
Just some general comments on this 23 page thread.

1. I cant understand how all the 'experienced' traders here talk about spread trading like it's new and will "have a dabble"...... what the **** have you been doing during all your "experience"??

2. Correlations. Come on guys, wake the **** up. Has no one used a bloomy terminal to check out correlations? It is vital in directional trading as well as spread trading.

3. It is obvious no one here has coded this strategy or attempted to run it for any length of time.

[I have done all 3 of the above].

It leaves me 1 question:

WHAT THE **** DO YOU ALL DO WITH YOUR TIME!!!!!?

Answer:

You post **** on t2w.
 

forker

Senior member
2,688 500
Just some general comments on this 23 page thread.

1. I cant understand how all the 'experienced' traders here talk about spread trading like it's new and will "have a dabble"...... what the **** have you been doing during all your "experience"??

2. Correlations. Come on guys, wake the **** up. Has no one used a bloomy terminal to check out correlations? It is vital in directional trading as well as spread trading.

3. It is obvious no one here has coded this strategy or attempted to run it for any length of time.

[I have done all 3 of the above].

It leaves me 1 question:

WHAT THE **** DO YOU ALL DO WITH YOUR TIME!!!!!?

Answer:

You post **** on t2w.

How are you measuring people's experience?
 

counter_violent

Legendary member
11,269 3,005
Nothing ever gets sorted out on threads like these....it kinda brings into Q why anyone bothers to contribute....I'm as guilty as the rest btw.

Anyway...for once, why don't we all try to determine exactly what this strat should be and exactly what risks we need to factor in. It's probably too much of an ask, as everyone will still have different opinions at the end of it.

I did notice that ex-div day adjustments had not been mentioned and as we know, these can be dramatic in terms of cost if possies held overnight or for a few days.

The other glaring error is ratios...it's not really good enough to introduce an obvious error right from the get go..... 2 ftse = 1 dow as it is clear that 50% of the time, we would already be at a disadvantage in either a long/short or short /long situation....so this needs firming up as a starting point from where other adjustments can be factored into the equation....like DT's currency risk.

Current ftse / dow ratio is 2.438 , so in terms of staking, that would be £2.40 ftse to £1.00 dow. Most SB allow 1/10 positions so £2.40 wouldn't be a problem. But this is only the starting point calculation. I seem to remember last yr or previous yr, the ratio was £2.20 - £1.00 So clearly this ratio can and does change over time.

Is it even possible to reduce everything down to a set of equations to produce a model to trade from ?
 

barjon

Legendary member
10,705 1,809
.............The other glaring error is ratios...it's not really good enough to introduce an obvious error right from the get go..... 2 ftse = 1 dow as it is clear that 50% of the time, we would already be at a disadvantage in either a long/short or short /long situation....so this needs firming up as a starting point from where other adjustments can be factored into the equation....like DT's currency risk............

It's not so easy to come up with the "right" ratio because the whole business of ftse trading weak or strong vs dow means it is actually trading at a different ratio all the time if you see what I mean.

I still use 2:1 ('cos it's easy) for the weak/strong "difference" clue, but I use the average ratio of the last 20 days for actual trading.
 

klw

Well-known member
298 50
It's not so easy to come up with the "right" ratio because the whole business of ftse trading weak or strong vs dow means it is actually trading at a different ratio all the time if you see what I mean.

I still use 2:1 ('cos it's easy) for the weak/strong "difference" clue, but I use the average ratio of the last 20 days for actual trading.



Wow an actual bit of data regarding how BJ actually uses this method !

I sit here shaking my head in dismay at what I have just read contained in this thread and the time I have WASTED doing that.It's just a cat fight amongst the theory boys ( again ) and here's me hoping to learn something about a fellow experienced trader's method !!!

This thread should posted as a " sticky " so that potential opening posters can see what they are about to experience. D70's post a couple of pages back says it all for me.

I don't suppose there's any chance of expanding your method some more BJ ?
 

barjon

Legendary member
10,705 1,809
Wow an actual bit of data regarding how BJ actually uses this method !

I sit here shaking my head in dismay at what I have just read contained in this thread and the time I have WASTED doing that.It's just a cat fight amongst the theory boys ( again ) and here's me hoping to learn something about a fellow experienced trader's method !!!

This thread should posted as a " sticky " so that potential opening posters can see what they are about to experience. D70's post a couple of pages back says it all for me.

I don't suppose there's any chance of expanding your method some more BJ ?

The attached file in the first post virtually says it all, klw. Happy to expand on any point if you tell me.
 

klw

Well-known member
298 50
The attached file in the first post virtually says it all, klw. Happy to expand on any point if you tell me.


Thanks for the reply Barjon. No need to expand on any point but I do have a thought which may or may not help you.

You state,

" but I use the average ratio of the last 20 days for actual trading. "

Looking at your eod data , the ftse /dow diff. seems to " trend " in 1 direction quite often,does your average of the last 20 days take this into account accurately enough to cater for this ? Have you thought of using a " weighted " 20 day average with the weight biased towards the most recent data very much like a linear weighted moving average.

So your 20 days weighting could look something like this :-

1 1 1 1 1 1 1 1 1 1 2 2 2 2 2 3 3 3 4 4 ( yesterday's close this end )

Whilst the diff. is trending it may help you calculate your extremes a little more accurately.

Anyway just a thought.
 
 
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