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Anyone heard of SpreadProfessor?

  #16 (permalink)

Trading Apprentice
Chicago Illinois
Futures Experience: Advanced
Platform: TT
Favorite Futures: Energy
Posts: 26 since Mar 2014
Thanks: 0 given, 6 received

Mean Reversion is Typically Death

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@PropArb....your right diversification is important and a good thing....because markets change and nothing lasts forever. I had all my eggs in one basket and when treasury spread went would have been nice to have another spread trade to fall back on.

However, I was burnt out on spread trading. I primarily traded during Asian and European hours and i could not do that schedule anymore (physically or mentally). Also, my strategy was 100% mean reversion and I imagine a strict mean reversion strategy does not work in the equity and energy spreads.

I enjoy trading the indices now and am very glad not to be trading spreads anymore. However, I made much, much more money trading spreads than I have trading the indices. In my experience, the big money that i have seen made over the years has been in trading spreads.

Good luck!

Yes, I used to also trade mean reversion for stupid size in the interest rate spreads with a very prominent Chicago prop firm on an intraday basis. As you said, that went away - at least for us "point and click" types. I would even get hung using RTS and AutoSpreader, and I used to throw away one lots like BB's to get my message-to-fill ratios in line.

SpreadProfessor was a gift for me in that regard. He got me into many more products and markets than I ever knew about, and within a few months I had thousands of spread combinations and a very good indicator package to work with. I quit modeling for mean reversion and "fair value". I started trading with the commercial order flows and not against them. For me, it was the best money I spent. I knew absolutely nothing about products like Sugar or Natural Gas or the FTSE - but I gained the confidence to trade them. Yes, you can model spreads strictly off of historical price action, and with a good indicator package and a really huge portfolio of potential spread combinations I would never have had a clue to develop on my own - at least for me, it saved my ass. YMMV

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