(binned per thread starter’s request) CookieMonsta's Journey Into

Hello CookieMonsta,

I'm sorry to still hover.
Whatever success I ever got in my life has always been based on a calculated risk and diligence, many times even going for "all in". For some it might be more pragmatic exercising the way "One cannot be too cautious" (by Steve Nison - regarding trading). The younger you're, the more chances/ times you may try from the scratch...

Best regards,
Exnav

Glad to have your input

Well, let's just put it this way, you know how I like to use the lock and be both bullish and bearish at the same time if situation turns bad?

Same could be applied here. The division of troopers(time) to gain information on price action (information on issue). Since we are managing into uncertainty rather than pursue 1 outcome, pursue both, safe and unsafe, when either one manifest, we let that one run, while 1 will hedge the other and provide a safety net in case the unsafe situation manifest. (Sort of playing both bull and bear wave together in a strategic way, one complementing the other, managed by strategy and skill)

As the AoW mentions, good generals fight in battles already won. I simply applied what I learnt from AoW in my day job.

That's why I think what fti teach doesn't just teach you to be good in trading, it teaches you to be good pretty much at handling uncertainty and is hugely applicable to life in general.

wow, the market test my reflex, managed to get out of position with nice sudden windfall profits.

btw not sure if its hft or leaks or something, saw the price action hit the stops before news came out in forexfactory news section.

Congratulations, a thing likewise occurred with Cable yesterday but PA was a bit less pips upthrusts. It's all when London hands over to the US. I was "in" both yesterday and today. It's over for this week.

Have a nice week-end.

Exnav

Yea, seems market still very spooked by brexit. Just a little news is enough to start moves like this.

You have a nice weekend too

Good stuff, not advertising.

But this has proper mathematical foundation behind it. Taking positive expectancy trades through credit vs delta.

This is 1 way to capture theoretical edge.

Notice he is using a model, but he is using his feel for the markets to adjust for it.

And you will see that this is a path dependence version of trading volatility, sheldon natenburgs version is non path dependent through delta neutrality.

https://youtu.be/8fr_yswp5Ho

Where possible, option units could be used to facilitate a martingale averaging strategy because it takes away the tsunami risk. So theoretically, with 1lot of eurusd, for example, bought far OTM, at about 2 std Dev away, and we use martingale to handle our spot position, we theoretically have reduced our risk to sudden crashes, maybe we can spec it to about 10% value at risk except that, 10% value at risk is a hard value which will never be violates because our position has a put which is already protected anyway, implying that if you split your position up in 10 units, and keep averaging in limit in that 1lot, your max loss will only be 10%, you can't lose more by design. But because of the way we place our puts, statistically, it has to be something fundamental that is happening which is the cause of the issue.

So the catch is that martingale by itself cannot handle the high sigma event, but with additional risk management strategies meant to protect the book, perhaps you can take away the risk of ruin and instead, maximize the potential of martingale.

But of course, this is just a thought, and will need live results to back it up.

The use of mean reverting portfolio selection of currencies or stocks, and its use in rescue.

Suppose if we can select a group of currencies with the correct hedge ratio, which exhibit stable mean reverting characteristics, we can theoretically perform spreading into such portfolio mix and then employ rescue into it to achieve rescues into difficult scenarios, and this does by not letting the loss itself get out of hand.

So the primary risk in such an mo is portfolio tear risk where the mean reversion characteristics does not hold anymore. This is similar to basis risk but does not stop there in that the correlation can stop working, like eurgbp's old relation before Brexit was mean reverting, after that, not so much.

This leads me to wonder, it is definitely related to spot forward swaps, and triangular arbitrage relations as it employs similar ideas, but could this be related to the butterfly?

Hmm, seems like it's all there right from the start that basic building blocks, ro3k, pulsing the markets and terrain. It's at what level that you arrive and begin to comprehend it.

So, all currencies are interconnected, with USD as the currency reserve, so for all economies, the center is the currency, then comes the debt instruments, stocks and commodities. And how money flows in and out of these instruments. Real estates are in the commodities too, just maybe about special.

And all currencies flow in between one another, hence perhaps, the way these currencies flow is the way to detect and create highly mean reverting portfolio's, by understanding ro3k and how these currencies flow.

Sigh, did an options position 5 days ago, it was a wheat may 420 puts short and a long wheat Apr 425 puts long

Done for 5.77 for the shorts and longs done for 1.72. size is 50 contracts, but it's not the traditional one where it's 100shares per lot, for this 1 unit is 1 dollar delta per dollar shift. So it's like a 1 share options. Only available on CFD.

Long story short, it's profitable, but sigh, now I can't close the long leg on the broker platform. It's profitable by $50. But the long legs still have 0.20 premium which is $10. Hmm maybe it's time to trade options on real exchanges and not CFD.

Made money but execution can screw me over, imagine if it's the short legs which can't be closed, then good luck to me.

For those interested, the trade above is a diagonal spread.

It's a credit spread, which I sold the further away puts for more credit than the long puts. So the time factor, as well as the direction factor makes a huge impact, but if price does not move, you have the options of buying the may options for 1 plus probs and just let the entire thing expire profitable, as by the time it gets to let you buy a options for that for 1 dollar, you would already be 3 dollars up. Since the strikes are done this way, if price explodes to pass 420, your intrinsic value is up $5. So still not an issue.

I highly suspect the mm quote wrong so when I saw I pounced on it, well next day I saw the may options are no longer being quoted.

So I guess hmm, this is a kind of a really tilted in your advantage trade? Guess mm quoted wrong volatility.

in a btc trade now, and did a stop hunt limit entry

depth of market flipping after stop hunt

hmm, exited positions, maybe could have held longer, but to be honest, many flashers around
sometimes they make reading lvl 2 abit harder.

so 1 way to operate for bitcoin is to trade on bitmex in order to be able to trade 2 things, the xbtusd, the perpetual contract, and the xbtusd futures.

mainly that because the perpetual contract, which is pretty much spot, can be traded by putting limits into stophunts, if it is a stophunt, but who knows, thats why we need the futures and a defined operating band before if the market gets into a trend run, we have to use the futures to protect our position.
basically, locking, then when the trend run is over and market begins to consolidate, we can start putting in limits again.

this strategy is alot better in bitcoin as you are paid maker fees where as in forex you pay commissions and spreads no matter what, which sort of puts you in a more advantagous position if you could operate the locking strategy well. basically if the markets go in a tight band, quoting it normally makes you alot, if it runs in your favour, its like trading spot forex, and if it runs against you, well you can lock it then attempt rescue after, and you can keep holding on perpetually since its locked.

also seems like there are other nuances to operating this maker taker model
for example for btc at 3960 being a taker cost you 2.97, implying if you bought as a taker at 3960, price has to go to 3963 at least to profit some.
so as a maker, if you bought at 3960, you are paid 0.99, implying you can let it go to 3959 and you would break even, but with 1 position open.

so i need to go check this part out, but i wonder if i made price at 3659.5 and 3660.5, would i be paid 1 dollar for my spreads + 1 dollar for limit long filled and 1 dollar for limit short filled, implying that just by just buying doing 1 round trip, i am paid close to $2 and so if price shades me from 3660 to 3658 and fills my position there, i would break even for doing 1 round trip.

it also further implies that if you are pure taker, you need price to go $6 to break even, as well as the $0.5 spread, so about $6.5, so as pure taker buying at 3660 implies your break even is 3666.5

So suppose we quote long, price begin to crash, whats our move? We can hedge by using futures.

So step 1, we quote limits, so fees +0.025%
Step 2, we hedge as taker, so fees -0.075%
Step 3, we take out futures by limits, so +0.025%
step 4, after market is done with the crash, we try be, limits, so +0.025%

Hence in this case, our main exposure is the time from when we enter till the time we discover market is crashing, then we hedge it out, as fees would net to 0.

So in a sense using spiral within spiral mm could allow you to withstand many things.

Hmm wow interesting, in the light of this new info, seems alot more viable ways to trade rather than just speculating on price movements.

So the key to it all is ability to manage volatility of portfolio and exposure and inventory size, essentially if you can quote a wide range of price, your ok.

Lets see if this runs.

Might be choppy market.

Logically, the Brexiting never-ending process. EU must as usually agree with the UK fluctuations. Friday will be interesting but I am visiting my doctor.

Well eh, since I don't really keep up with Brexit, so no comments from me. I just observe PA and trade it.

More units scale, still trying to feel price action

The same with me. I am neither a politician nor any interests there. Surely, I would prefer the UK staying with us. But it's up to them to decide, though.

Regarding your fair chart, I would be grateful if you could make the process updated along with the Sizes, when you finish, of course. I have been and am also there but with GBP/ JPY. It was a very nice and flexible shaking-on. I would say, they said "Good morning Guys, let's dance".