Barjon's Money Machine

Even in futures you could adjust your position sizes relative to the currency cross and reduce your FX exposure e.g. (assuming Dow futures work $12.50 1/4 ticks a point and ftse is £10 1/4 tick :confused:)

£40 / 2.26 (ratio) = 17.69 x fx rate e.g 1.565 = $27.699 per dow move

so 1:1 would be a roundabout for the current FX rate. Unless there's a massive currency event you're okay


Also

Don't really know anything about the methods used to negate the small sample bias, like, but this is basically what I was talking about re globalisation and shared risks analysed from the mathematical/statistical perspective.

I hate to pi55 on your chips but the tick size on the dow futures is not $12.50. Big Dow is $25, Emini DJ is $5 DJ future is $10. whichever one it is not $12.50. tick size on FTSE is not £10 it is £5.

Anyway that is besides the point because your suggestion of adding in the exchange rate is nonsense. The individual legs should be sized to their corresponding values as best possible. There is already a large rounding error with Barjon's 2:1. The greater the rounding the greater the amount of directional exposure remaining in the spread position.

The crux of this is that spreads will often go against a trader for whatever reason, exchange rate etc. All you are trading is the historical relationship between 2 sets of data. It is what it is and you set up your trading strategy, backtest, forward test, that's it. It's a game of probabilities.
 
Last edited:
Barjonny - now the flames have died down a little couple of questions for you:

Have you only ever taken one (painful) loss on this system? - totally understand if you cant divulge.

Can I ask how many successful trades you have made? - totally understand if you cant divulge.

What is the average hold time?

From the discussions above are you planning to implement any risk controls on your overnights?

well done again for sharing/posting.
 
Barjonny - now the flames have died down a little couple of questions for you:

Have you only ever taken one (painful) loss on this system? - totally understand if you cant divulge.

Can I ask how many successful trades you have made? - totally understand if you cant divulge.

What is the average hold time?

From the discussions above are you planning to implement any risk controls on your overnights?

well done again for sharing/posting.


choc

You'll excuse me for not going into any detail other than to say I've only had one very painful loss and otherwise reasonably satisfied overall - but my wife thinks I'm easily pleased :LOL:

Not sure about average hold time - shortest has been about thirty minutes, usual intraday a few hours, and the longest about three days.

No, I'm not introducing overnight risk control - I simply can't see any sort of dramatic event that would not affect both markets during that time.

jon
 
"Now let’s turn to the construction of an index spread trade. The most
intuitive spread is to buy one index futures and sell the other index
futures using a number of contracts that would equate the long and short
positions with approximately the same notional value, after accounting
for currency conversion." CME Group.

Shouldn't troll on subjects you don't know, dude.

Sick of arguing about this spread stuff anyway. I'm out.

Good thread barjon.
 
choc

No, I'm not introducing overnight risk control - I simply can't see any sort of dramatic event that would not affect both markets during that time.

jon

all good barjonny. you are a cra$y man not having stops. bet you got a giant pair of brass balls under that exterior.
 

Attachments

  • brass-balls.jpg
    brass-balls.jpg
    4.8 KB · Views: 187
"Now let’s turn to the construction of an index spread trade. The most
intuitive spread is to buy one index futures and sell the other index
futures using a number of contracts that would equate the long and short
positions with approximately the same notional value, after accounting
for currency conversion." CME Group.

Shouldn't troll on subjects you don't know, dude.

Sick of arguing about this spread stuff anyway. I'm out.

Good thread barjon.

i think you are misreading what I wrote it was worded wrong. I clearly said 'The individual legs should be sized to their corresponding values as best possible', of course the exchange rate would be included in calculating the position sizing just not in the way you calculated, you got the tick sizes wrong - that's the type of error a non trader makes, loves the theory but in practice knows nothing.

As I said earlier in the thread I am not an expert on futures spreads I don't claim to be, I wouldn't say I am trolling on subjects I don't know.

I do trade stock pairs so I have experience in some 'spreading', by your own admission you don't even trade.

I am not surprised you are sick of arguing about spreads, I mean what a waste of time if you don't actually trade. I have offered to fund your account with £10 so you can actually place a trade albeit a couple of chump change ones so you might get some experience.

You do realise you come across like a schoolboy bragging about all these birds he has shagged when really you are still a virgin.

Sick of arguing about this spread stuff anyway.I'm out.

you'll be back mate, you cant get enough of it.
 
Last edited:
Hahahahaha whatever you say mate. You've been trolling this thread with your substanceless jargon since the beginning and you still don't have a clue what's going on. You know what size a tick is? Good for you. I've only ever spread betted and traded CFDs like the majority so why would I give a sh*t and more importantly why would anyone care if they're not trading DMA? kind of defeats the whole object of the thread too. :confused:

Also, I never have, and never will, pretend to be a trader. labels aren't all that important to most people and less so to people who actually make decent money doing whatever they do. I don't need to engage in **** measuring contests either (which I'd win anyway...) so your attempted insults re my trading ability or account funding are therefore redundant.

Just admit that 1) you talk sh8 2) I'm a fncking stud and we can both go back to our respective activies namely me back to learning (I'm a student by the way which is why I engage in these theoretical debates from time to time) and you back to punting futures (riiiight) or whatever.
 
Hahahahaha whatever you say mate. You've been trolling this thread with your substanceless jargon since the beginning and you still don't have a clue what's going on. You know what size a tick is? Good for you. I've only ever spread betted and traded CFDs like the majority so why would I give a sh*t and more importantly why would anyone care if they're not trading DMA? kind of defeats the whole object of the thread too. :confused:

Also, I never have, and never will, pretend to be a trader. labels aren't all that important to most people and less so to people who actually make decent money doing whatever they do. I don't need to engage in **** measuring contests either (which I'd win anyway...) so your attempted insults re my trading ability or account funding are therefore redundant.

Just admit that 1) you talk sh8 2) I'm a fncking stud and we can both go back to our respective activies namely me back to learning (I'm a student by the way which is why I engage in these theoretical debates from time to time) and you back to punting futures (riiiight) or whatever.

you said you were off, back so soon lololololol.

You've been trolling this thread with your substanceless jargon since the beginning and you still don't have a clue what's going on

i stand by everything I have posted, show me where I have posted substanceless jargon.

I've only ever spread betted and traded CFDs

that says it all, do you honestly expect people to take you seriously.

more importantly why would anyone care if they're not trading DMA? kind of defeats the whole object of the thread too

people trade to make money. SB is not scalable/viable for pro traders hence why pro traders don't use it aside for a side account. if they are not trading DMA they are unlikely to be serious pro traders - Barjon said the SB is his play account. to be able to scale you need to trade futures. if you cant see that discussion of futures contributes to the thread then nobody can help you.

Also, I never have, and never will, pretend to be a trader

so you are on a trading forum and you don't want to be a trader. Is this some sort of wind up? what you just want to chat with people who trade to feel like you are one of them but don't actually want to trade.

so your attempted insults re my trading ability or account funding are therefore redundant.

nobody knows your trading ability Scose, we have no idea mate as you don't actually trade. I cant insult something I haven't seen. I have offered to fund your account, (rather stupidly) and you still wont trade

Just admit that 1) you talk sh8

where, show me.

I'm a student by the way which is why I engage in these theoretical debates from time to time

that explains a lot. why waste your time on a trading forum when you have no intention of becoming a trader - makes no sense.

Here's the thing - you sit there in your student room googling stuff, cutting and pasting, it doesn't matter to you, you are not in the game. Other people do trade some part time / full time pro's you others aspiring to be better, you are just wasting your time and their time. Where is it going?

Why don't you just study your subject get a good GCSE, A-Level, Degree whatever you are studying and spend time focussing on that, what YOU want to be. There is no point hanging around here with aspiring traders, semi-pro, pro traders it's just a waste of everyone's time.

At your age I was into girls, drinking beer and yeah a bit of study, not trolling internet forums on professions I never want to be.

each to his own I guess.


and you back to punting futures (riiiight)

as I said I dont trade spread futures. I trade spot FX and US stocks (remote prop), I would love to increase my knowledge on future spreads and try out some strats though.

Take advice from someone more experienced than you. Don't waste your previous youth on something you never want to be/do.
 
Barjon how did this strategy work out today. I noticed that Dow and Ftse weren't correlated very well in fact a bit 'out of kilter' around 3pm GMT after the Home Sales Change data was released in the US. If you'd have been short Ftse and long Dow at this time you'd be staring at some very ugly losses I should think. Were you in at this stage?
 
Barjon how did this strategy work out today. I noticed that Dow and Ftse weren't correlated very well in fact a bit 'out of kilter' around 3pm GMT after the Home Sales Change data was released in the US. If you'd have been short Ftse and long Dow at this time you'd be staring at some very ugly losses I should think. Were you in at this stage?

after the big weak day yesterday and further weakness on the open today the trade was long/short so you'd have been on the right side of the "out of kilter" after 3pm
 
after the big weak day yesterday and further weakness on the open today the trade was long/short so you'd have been on the right side of the "out of kilter" after 3pm

Entry must've been the 10am reversal bar on Ftse in that case
 
Interesting discussion here... There's a lot of stuff out there on this subject and a lot of academic literature. Implementing these types of strategies properly requires a LOT of serious work.
 
i must admit the DOW and FTSE are much more correlated than I thought, according to this correlation matrix, although the data is 2009.
 

Attachments

  • futures correlations.png
    futures correlations.png
    279.5 KB · Views: 219
ok lets have a look at the price action on this baby. The thing is if you take the cash indices there is hardly any overlap, DOW opens like 2.30pm london time, FTSE closes shortly after, so using that data to map a spread isn't great.

so I took the front emini dow, and the front FTSE plotted them in a custom Barjonny. You can see some great price action on the 5min timeframe, nice range for the London session, busts out NY open, back into a range. ON the other chart you can see a nice trend intra week. Just for fun i plotted the spread of FTSE cash against front future showing a strong correlation as one would expect.

Of course this is the Barjonny 2:1 ratio, the bucket shops quotes will be out of whack but well correlated the the front future.

all in all something to get your gums around.
 

Attachments

  • barjon chart 1.png
    barjon chart 1.png
    85.3 KB · Views: 235
  • cash future spread.png
    cash future spread.png
    85.9 KB · Views: 226
  • barjon chart 2.png
    barjon chart 2.png
    84.1 KB · Views: 249
This is a great thread, well done Barjon and all the others for seeing this correlation. Unfortunately though its not new and has been tried and tested over and over throughout the years. You can even bet on this directly with IG, so they know many people want to trade this so you lose and they take your money. The problem with this method is it works brilliant on paper but not so good for real. Sure some will make and many will lose, same old adage, but I don't see anyone screaming from the roof tops that they make money from this method, however I have heard many cries and silent disappearances that its an unfortunate waste of time, like chasing rainbows for gold.

Having looked into this I can see the main issue being the markets are closely correlated, this means that they move together so at this time the trade has cost you two lots of commissions or spreads. Remember, setting a trade to break even isn't a 'free trade', it costs you the spread/commission. It may look and feel free on account but you have to recover your spread to make it 'free', therefore you need the market to go in your favour a certain percentage. Its just a fallacy. The same goes for a R:R of 1:1, its not once you factor in the commission and/or spread.

If a trade is set at 10pts stop and 10pts target the risk/reward is not 1:1, taking into account the spread/comms its more like 1: 0.9. Typically 10% on this figure (or there abouts).

To make money from these two sets of trades you need the markets to go out of sync but yet in your favour whether you feel its extreme or not, this means that it can go either way and therefore you then stand a chance to make or lose money. The only problem bares back to paying two lots of comms/spreads.

The other problem I see which is a major one is not being able to set stops, although I believe there are programs out there that can do this. This part would worry me, I have seen over the many years the markets going to extreme (in my opinion), and then out of nowhere, they go even more extreme, and then some more. For this method to work you have to literally guess at which way it will go based on ones own opinion of what is extreme price movement. Its basically a clear cut gamble - red or black but without the odds quite being 50-50 as the spreads/comms get in the way each time.

If you want to see extreme on extreme (and it doesn't necessarily have to be a major event) see the previous prices throughout the years. Heres some examples:

Yesterday 19/7/12 Difference was 7227
17/04/12 - 7287 - Looking good so far but not much risk OR reward , just spreads and commissions
20/07/10 - 5090 this is over 2000 points difference from the difference!!!! and in only 2 years with no major events on these dates.

What you see today is not what you will see tomorrow, next month and certainly not next year. Therefore why not just take a single position on one of the markets, pay one commission/spread only AND be able to get out easier AND with an easy to set stop loss.

With all respect to Barjon but as the dragons say........I'm out


As I said above, great on paper, not so good on account.
 
Last edited:
This is a great thread, well done Barjon and all the others for seeing this correlation. Unfortunately though its not new and has been tried and tested over and over throughout the years. You can even bet on this directly with IG, so they know many people want to trade this so you lose and they take your money. The problem with this method is it works brilliant on paper but not so good for real. Sure some will make and many will lose, same old adage, but I don't see anyone screaming from the roof tops that they make money from this method, however I have heard many cries and silent disappearances that its an unfortunate waste of time, like chasing rainbows for gold.

Same with EVERY other method/strategy the thing with human nature is we always want to try and 'improve things' or think we can do better. Usually somebody will post a strategy on a thread before it's even got to page three people are saying "why not add this indicator" etc. The second point to this is how many people have actually tried this over a long enough period of time. You say you have heard many cries and silent disappearances. How long did they try this for? Did they have a bad day a week in and give up and move on to the next holy grail?

Having looked into this I can see the main issue being the markets are closely correlated, this means that they move together so at this time the trade has cost you two lots of commissions or spreads. Remember, setting a trade to break even isn't a 'free trade', it costs you the spread/commission. It may look and feel free on account but you have to recover your spread to make it 'free', therefore you need the market to go in your favour a certain percentage. Its just a fallacy. The same goes for a R:R of 1:1, its not once you factor in the commission and/or spread.

I'm not sure of your point here? You have to wait for every trade go in your favour to recover the spread. Free trade? Who mentioned this being a free trade? I can understand if you are scalping for a few points here and there but Barjon even said it himself that he generally takes +20 or more from this. A spread of 0.8 on ftse is a manageable amount.

If a trade is set at 10pts stop and 10pts target the risk/reward is not 1:1, taking into account the spread/comms its more like 1: 0.9. Typically 10% on this figure (or there abouts).


Where have you got these ratios from? When did Barjon say he sets a 10 point stop and a 10 point limit?
To make money from these two sets of trades you need the markets to go out of sync but yet in your favour whether you feel its extreme or not, this means that it can go either way and therefore you then stand a chance to make or lose money. The only problem bares back to paying two lots of comms/spreads.


Exactly the same for EVERY SINGLE TRADE YOU EVER MAKE THEN.
The other problem I see which is a major one is not being able to set stops, although I believe there are programs out there that can do this. This part would worry me, I have seen over the many years the markets going to extreme (in my opinion), and then out of nowhere, they go even more extreme, and then some more. For this method to work you have to literally guess at which way it will go based on ones own opinion of what is extreme price movement. Its basically a clear cut gamble - red or black but without the odds quite being 50-50 as the spreads/comms get in the way each time.

Whoa there nelly. Okay so you can't set stops this doesn't mean to say you can't exit a trade based on reason. i.e my account is now down 10% and it's NFP today and the data doesn't look good I think I may take a loss and wait for the next setup. Obviously if you just sit there and leave it eventually you are going to take a MOAL but this is bad MM in the first place and you deserve to lose.

Next you say literally guess at which way it will go based on ones own opinion of what is extreme price movement. Literally guess? You really think Barjon sits there on a daily basis literally guessing :LOL: Like all trading if you have a good knowledge of the markets you are trading. Historical data tends to point towards what is extreme or not. Yes if you have no idea of the market you could consider 6 points difference as extreme. This isn't guessing though. This is like saying a S/R based strategy once the price gets to S1 you have to literally guess whether the price will rebound or break.

If you want to see extreme on extreme (and it doesn't necessarily have to be a major event) see the previous prices throughout the years. Heres some examples:

Yesterday 19/7/12 Difference was 7227
17/04/12 - 7287 - Looking good so far but not much risk OR reward , just spreads and commissions
20/07/10 - 5090 this is over 2000 points difference from the difference!!!! and in only 2 years with no major events on these dates.

What you see today is not what you will see tomorrow, next month and certainly not next year. Therefore why not just take a single position on one of the markets, pay one commission/spread only AND be able to get out easier AND with an easy to set stop loss.

With all respect to Barjon but as the dragons say........I'm out.... of your head ;)


As I said above, great on paper, not so good on account.

:whistling
 
Top