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Help for a new strategy
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Help for a new strategy

  #1 (permalink)
Elite Member
Milan, Italy
 
Futures Experience: Intermediate
Platform: NinjaT, Stage5
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Help for a new strategy

Hi.
I'm a newbie and I'd like to write a new strategy
My expression imput is: when ES 03-12:Bid - (minus) ES 06-12:Ask - FDAX 03-12:Bid + FDAX 06-12:Ask > 50 (for example) then SELL FDAX 06-12:Bid and at the same time BUY ES 03-12: Ask.
Stop Loss in case the expression is > 200
Close Trade when expression is <=1
No Stop loss
Using only 1 lot for each future
Really need help
thanks

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  #2 (permalink)
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  #3 (permalink)
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runner's Avatar
 
Posts: 278 since Nov 2010
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The strategy must run on NT7 platform.
I think my idea could help other trader to go in tre "spread" direction if someone could solve this. Have found an indicator named "_ultimate expression" but the .cs file is not editable.

thanks
waiting......

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  #4 (permalink)
 Vendor: www.traderwerks.com 
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runner View Post
Hi.
My expression imput is: when ES 03-12:Bid - (minus) ES 06-12:Ask - FDAX 03-12:Bid + FDAX 06-12:Ask > 50 (for example) then SELL FDAX 06-12:Bid and at the same time BUY ES 03-12: Ask.
thanks

Are you sure about this expression ?

Math. A gateway drug to reality.

Last edited by traderwerks; February 8th, 2012 at 10:32 PM. Reason: Spelling
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  #5 (permalink)
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runner View Post
Hi.
I'm a newbie and I'd like to write a new strategy
My expression imput is: when ES 03-12:Bid - (minus) ES 06-12:Ask - FDAX 03-12:Bid + FDAX 06-12:Ask > 50 (for example) then SELL FDAX 06-12:Bid and at the same time BUY ES 03-12: Ask.
Stop Loss in case the expression is > 200
Close Trade when expression is <=1
No Stop loss
Using only 1 lot for each future
Really need help
thanks

There are several problems with this idea:


The Tool

If you want to trade spreads, NinjaTrader is certainly not the platform of your choice. You should go for X-Trader or something else.


The Spread Formula

Your spread does not make sense. ES trades at around 1350, the FDAX around 6700. You would therefore need to calculate a spread from 5 contracts ES against 1 contract FDAX.


Total Return Index vs Price Index

FDAX is a future on a total return index while ES is future based on a price index. That means that you benefit from dividends if your are long FDAX 06-12, but that you are not credited dividends if you are long ES 03-12.

As FDAX is a total return index, this means that it is in permanent contango, as dividend expectations exceed the financial cost associated with current low interest rates. ES however, is in backwardation, and will remain there, as it is a price index. The spread that you have defined, will therefore never ever revert to 0. So you do not need to write a strategy for an event that will never happen.


Conclusion


You gave us a false formula for a spread, which will never revert to the mean and want to code a strategy by using a tool which is not suited for the purpose.

Don't you think you should start with something simpler? I hope you do not mind my comment....


Last edited by Fat Tails; February 9th, 2012 at 04:46 AM.
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  #6 (permalink)
Elite Member
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Futures Experience: Intermediate
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Fat Tails View Post
There are several problems with this idea:


The Tool

If you want to trade spreads, NinjaTrader is certainly not the platform of your choice. You should go for X-Trader or something else.


The Spread Formula

Your spread does not make sense. ES trades at around 1350, the FDAX around 6700. You would therefore need to calculate a spread from 5 contracts ES against 1 contract FDAX.


Total Return Index vs Price Index

FDAX is a future on a total return index while ES is future based on a price index. That means that you benefit from dividends if your are long FDAX 06-12, but that you are not credited dividends if you are long ES 03-12.

As FDAX is a total return index, this means that it is in permanent contango, as dividend expectations exceed the financial cost associated with current low interest rates. ES however, is in backwardation, and will remain there, as it is a price index. The spread that you have defined, will therefore never ever revert to 0. So you do not need to write a strategy for an event that will never happen.


Conclusion


You gave us a false formula for a spread, which will never revert to the mean and want to code a strategy by using a tool which is not suited for the purpose.

Don't you think you should start with something simpler? I hope you do not mind my comment....


The formula is not the exact one I'd like to use.
The idea is to trade the calendar spread between ES march and ES June (or other futures contracts - NQ, YM, etc) and buy Ask March / sell Bid June if the condition is true (Bid June - Ask March - Ask June + Bid March > 2) at the same time, then close if the formula =< 0

I agree about differences between FDAX and ES (lots 5 to 1 and price index/ return index), it was only an example
I hope this clarifies my idea.
thanks

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  #7 (permalink)
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runner View Post
The formula is not the exact one I'd like to use.
The idea is to trade the calendar spread between ES march and ES June (or other futures contracts - NQ, YM, etc) and buy Ask March / sell Bid June if the condition is true (Bid June - Ask March - Ask June + Bid March > 2) at the same time, then close if the formula =< 0

I agree about differences between FDAX and ES (lots 5 to 1 and price index/ return index), it was only an example
I hope this clarifies my idea.
thanks

If you want to do that type of arbitrage, you will certainly need

-> direct access to EUREX and CME via membership (seat)
-> fast connection lines
-> other software than a cheap retail package

I would say that it is an occupation, where the retail trader cannot compete. Before you even trigger the order, one of the other guys will have already closed the window.

But of course it is relatively easy to code a NinjaTrader strategy. Add a few data series, then make sure that you execute the back months first, as they are not very liquid. You could ask somebody to write a strategy for you. This would at least have some educational value.

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  #8 (permalink)
Elite Member
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Futures Experience: Intermediate
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runner's Avatar
 
Posts: 278 since Nov 2010
Thanks: 633 given, 1,462 received


Fat Tails View Post
If you want to do that type of arbitrage, you will certainly need

-> direct access to EUREX and CME via membership (seat)
-> fast connection lines
-> other software than a cheap retail package

I would say that it is an occupation, where the retail trader cannot compete. Before you even trigger the order, one of the other guys will have already closed the window.

But of course it is relatively easy to code a NinjaTrader strategy. Add a few data series, then make sure that you execute the back months first, as they are not very liquid. You could ask somebody to write a strategy for you. This would at least have some educational value.

Thanks for your reply.
Could you give me some info regarding guys that will help me to write this strategy? As you wrote, this could have some educational value and maybe give somebody else an input for a different and better strategy.
regards

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  #9 (permalink)
 Vendor: www.traderwerks.com 
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runner View Post
Thanks for your reply.
Could you give me some info regarding guys that will help me to write this strategy? As you wrote, this could have some educational value and maybe give somebody else an input for a different and better strategy.
regards

It is not that hard of a strategy. I think you could learn a lot by writing it, so give it a go. There is a lot of information on the NinjaTrader site if you want to go that route.

Have you looked at things like the CQG spreader ?

Math. A gateway drug to reality.
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  #10 (permalink)
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traderwerks View Post
Have you looked at things like the CQG spreader ?

Agree, that if you are serious about this you need X_Trader Spreader or CQG Spreader, so the algo runs server-side and not client side, improving chances of arbitrage success.

You can find webinars on futures.io (formerly BMT) that cover both platforms spreader capabilities.

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