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Tuesday, November 13, 2018

/ES credit spreads


Exec Time Spread Side Qty Pos Effect Symbol Exp Strike Type Price Net Price Order Type
11/13/2018 7:59 SINGLE BUY 1 TO CLOSE /ESZ18 1/50 DEC 18 /ESZ18 2940 CALL 2.35 2.35 LMT
11/13/2018 7:59 SINGLE SELL -1 TO CLOSE /ESZ18 1/50 DEC 18 /ESZ18 2300 PUT 3.5 3.5 LMT
11/9/2018 14:43 SINGLE BUY 1 TO OPEN /ESZ18 1/50 DEC 18 /ESZ18 3040 CALL 0.6 0.6 LMT
11/9/2018 14:42 SINGLE SELL -1 TO OPEN /ESZ18 1/50 DEC 18 /ESZ18 2940 CALL 3.8 3.8 LMT
11/9/2018 14:41 SINGLE SELL -1 TO OPEN /ESZ18 1/50 DEC 18 /ESZ18 2500 PUT 9.5 9.5 LMT
11/9/2018 14:41 SINGLE BUY 1 TO OPEN /ESZ18 1/50 DEC 18 /ESZ18 2300 PUT 2.95 2.95 LMT

Friday, November 9, 2018

Algorithmic Daytrading : 2X milestone.

“Number rules the universe.” 
                                          Pythagoras

Algorithmic Day Trading How To.

Starting from the beginning of March 2018 Medved's algo scored 228  points per /ES contract.  The risk was set to $10,000.00 per contract.   It means that the 2X milestone is here ( after fees the algo doubled the risk money ). For now, I am taking a break from day trading. The idea is to see a significant drawdown in the performance of the algo. After it, I will restart my algo trading with 2X number of contracts.

11/1/2018 3.75
11/2/2018 10
11/5/2018 7.75
11/6/2018 10.5
11/7/2018 27.25
11/8/2018 0
11/9/2018 3.75
Total: 63

The previous period was posted here.

+$300, Long F19 Simple Crack Spread @7.29

this trade was posted live  @tfo_medved.


Exec Time Spread Side Qty Pos Effect Symbol Exp Strike Type Price Net Price Order Type Crack
7.6004
11/9/2018 11:35 FUTURE BUY 1 TO CLOSE /CLF19 19-Jan FUTURE 60.28 60.28 MKT
11/9/2018 11:35 FUTURE SELL -1 TO CLOSE /RBF19 19-Jan FUTURE 1.6162 1.6162 LMT



How to calculate and trade Simple Crack Spread using RBOB and WTI Futures. 



Exec Time Spread Side Qty Pos Effect Symbol Exp Strike Type Price Net Price Order Type Crack
7.287
11/9/2018 10:16 FUTURE SELL -1 TO OPEN /CLF19 19-Jan FUTURE 60.06 60.06 MKT
11/9/2018 10:16 FUTURE BUY 1 TO OPEN /RBF19 19-Jan FUTURE 1.6035 1.6035 LMT

Wednesday, November 7, 2018

+$300, Flat Long F19 Simple Crack Spread

This trade was posted live @tfo_medved.

How to calculate and trade Simple Crack Spread using RBOB and WTI Futures. 

11/8/2018

Flat, +$300

Exec Time Spread Side Qty Pos Effect Symbol Exp Strike Type Price Net Price Order Type Crack
7.9672
11/8/2018 9:54 FUTURE BUY 1 TO CLOSE /CLF19 19-Jan FUTURE 61.19 61.19 MKT
11/8/2018 9:54 FUTURE SELL -1 TO CLOSE /RBF19 19-Jan FUTURE 1.6466 1.6466 LMT

11/7/2018

Exec Time Spread Side Qty Pos Effect Symbol Exp Strike Type Price Net Price Order Type Crack
7.63
11/7/2018 10:34 FUTURE SELL -1 TO OPEN /CLF19 19-Jan FUTURE 62.3 62.3 MKT
11/7/2018 10:34 FUTURE BUY 1 TO OPEN /RBF19 19-Jan FUTURE 1.6652 1.665 LMT

Friday, November 2, 2018

Naked /CL puts

Exec Time Spread Side Qty Pos Effect Symbol Exp Strike Type Price Net Price Order Type
11/2/2018 11:08 SINGLE SELL -1 TO OPEN /CLF19 1/1000 JAN 19 /LOF19 48 PUT 0.11 0.11 LMT

Wednesday, October 31, 2018

Day trading Octoberfest : 85 /ES points



Starting March 2018 the algorithm made 165 /ES points per contract.

10/1/2018 -6
10/2/2018 0
10/3/2018 13.25
10/4/2018 0.25
10/5/2018 0
10/8/2018 -9
10/9/2018 -4.25
10/10/2018 81.25
10/11/2018 19.25
10/12/2018 0
10/15/2018 0
10/16/2018 27.75
10/17/2018 -23.5
10/18/2018 -15.75
10/19/2018 -16.5
10/22/2018 0
10/23/2018 -18.25
10/24/2018 46.5
10/25/2018 -10.25
10/26/2018 -43.25
10/29/2018 56.5
10/30/2018 0
10/31/2018 -13
Total: 85

Wednesday, October 24, 2018

+$110, Long Z18 simple crack spread

10/29/18
Flat, the trade was posted live @tfo_medved.
How to calculate and trade Simple Crack Spread using RBOB and WTI Futures. 

Exec Time Spread Side Qty Pos Effect Symbol Exp Strike Type Price Net Price Order Type Crack
9.355
10/29/2018 10:42 FUTURE BUY 1 TO CLOSE /CLZ18 18-Dec FUTURE 66.98 66.98 MKT
10/29/2018 10:42 FUTURE SELL -1 TO CLOSE /RBZ18 18-Dec FUTURE 1.8173 1.8175 LMT
10/29/2018 8:33 SINGLE BUY 1 TO CLOSE /CLZ18 1/1000 DEC 18 /LOZ18 63 PUT 0.32 0.32 LMT





10/26/18


Exec Time Spread Side Qty Pos Effect Symbol Exp Strike Type Price Net Price Order Type
10/26/2018 10:25 SINGLE SELL -1 TO OPEN /CLZ18 1/1000 DEC 18 /LOZ18 63 PUT 0.43 0.43 LMT



10/24/18

Exec Time Spread Side Qty Pos Effect Symbol Exp Strike Type Price Net Price Order Type Crack
9.3308
10/24/2018 15:25 FUTURE SELL -1 TO OPEN /CLZ18 18-Dec FUTURE 66.37 66.37 MKT
10/24/2018 15:25 FUTURE BUY 1 TO OPEN /RBZ18 18-Dec FUTURE 1.8024 1.8024 LMT

Friday, October 19, 2018

Thursday, October 18, 2018

Emini naked call


Exec Time Spread Side Qty Pos Effect Symbol Exp Strike Type Price Net Price Order Type
10/18/2018 10:37 SINGLE SELL -1 TO OPEN /ESZ18 1/50 OCT 18 (Wk3) /EW3V18 2835 CALL 2.3 2.3 LMT

a minuscule position in SLV puts

bought a minuscule position in SLV puts.  

Exec Time Spread Side Qty Pos Effect Symbol Exp Strike Type Price Net Price Order Type
10/18/2018 10:31 SINGLE BUY 3 TO OPEN SLV 18-Jan-19 12 PUT 0.05 0.05 LMT
10/18/2018 10:25 SINGLE BUY 1 TO OPEN SLV 17-Jan-20 10 PUT 0.06 0.06 LMT

Thursday, October 11, 2018

+$200, flat bond futures puts

Exec Time Spread Side Qty Pos Effect Symbol Exp Strike Type Price Net Price Order Type
10/11/2018 14:27 SINGLE BUY 1 TO CLOSE /ZBZ18 1/1000 DEC 18 /OZBZ18 133 PUT 0''12 0''12 LMT

+$400, Long Crack Spread

The trade was posted live @tfo_medved

10/16/2018
Flat , P/L   +$400


Exec Time Spread Side Qty Pos Effect Symbol Exp Strike Type Price Net Price Order Type
10/16/2018 10:25 FUTURE SELL -1 TO CLOSE /RBZ18 18-Dec FUTURE 1.9582 1.9582 MKT
10/16/2018 10:25 SINGLE BUY 1 TO CLOSE /CLZ18 1/1000 DEC 18 /LOZ18 70.5 CALL 2.73 2.73 LMT


10/12/2018 
/CLZ18  future was replaced by ATM put.  
Current P/L:  realized    +$420; pending  -$990.


Exec Time Spread Side Qty Pos Effect Symbol Exp Strike Type Price Net Price Order Type
10/12/2018 10:51 FUTURE BUY 1 TO CLOSE /CLZ18 18-Dec FUTURE 71.11 71.11 MKT
10/12/2018 10:26 SINGLE SELL -1 TO OPEN /CLZ18 1/1000 DEC 18 /LOZ18 70.5 CALL 2.53 2.53 LMT
                  
When a pair trade goes wrong.

10/11/2018

Exec Time Spread Side Qty Pos Effect Symbol Exp Strike Type Price Net Price Order Type Spread
10.5538
10/11/2018 12:26 FUTURE SELL -1 TO OPEN /CLZ18 18-Dec FUTURE 71.51 71.51 MKT
10/11/2018 12:26 FUTURE BUY 1 TO OPEN /RBZ18 18-Dec FUTURE 1.9539 1.9539 LMT


Wednesday, October 10, 2018

+$200, flat gas-oil pair

Exec Time Spread Side Qty Pos Effect Symbol Exp Strike Type Price Net Price Order Type Spread
11.8572
10/10/2018 15:08 FUTURE BUY 1 TO CLOSE /CLZ18 18-Dec FUTURE 72.84 72.84 MKT
10/10/2018 15:08 FUTURE SELL -1 TO CLOSE /RBZ18 18-Dec FUTURE 2.0166 2.0166 LMT

The trade entry was posted live on https://twitter.com/tfo_medved.

Long Simple Crack Spread


 How to calculate and trade Simple Crack Spread using RBOB and WTI Futures. 

Exec Time Spread Side Qty Pos Effect Symbol Exp Strike Type Price Net Price Order Type Spread
11.6296
10/10/2018 11:16 FUTURE SELL -1 TO OPEN /CLZ18 18-Dec FUTURE 73.16 73.16 MKT
10/10/2018 11:16 FUTURE BUY 1 TO OPEN /RBZ18 18-Dec FUTURE 2.0188 2.0188 LMT

Monday, October 8, 2018

Long Bonds

 /ZBZ18 futures: sold naked 133 Put -

Exec Time Spread Side Qty Pos Effect Symbol Exp Strike Type Price Net Price Order Type
10/8/2018 10:09 SINGLE SELL -1 TO OPEN /ZBZ18 1/1000 DEC 18 /OZBZ18 133 PUT 0''26 0''26 LMT

Sunday, September 30, 2018

algorithmic day trading : -15.5 /ES points

8/31/2018 -9
9/4/2018 -11.5
9/5/2018 -4.75
9/6/2018 -3
9/7/2018 -5.25
9/10/2018 2.5
9/11/2018 0
9/12/2018 -8.25
9/13/2018 0
9/14/2018 -1.75
9/17/2018 6
9/18/2018 2.75
9/19/2018 0
9/20/2018 9.75
9/21/2018 8.75
9/24/2018 -4.25
9/25/2018 1.75
9/26/2018 0
9/27/2018 0
9/28/2018 0.75
Total: -15.5

The previous period was posted here.
Starting March 2018 the algorithm made 80 /ES points per contract.

Algorithmic Day Trading How To.

Tuesday, September 25, 2018

+$250 flat soy puts

Exec Time Spread Side Qty Pos Effect Symbol Exp Strike Type Price Net Price Order Type
9/25/2018 9:48 SINGLE BUY 1 TO CLOSE /ZSX8 1/50 NOV 18 /OZSX8 800 PUT 3 3 LMT

The entry was posted live here and @tfo_medved.

Monday, September 24, 2018

+$330, flat WTI RBOB pair

Exec Time Spread Side Qty Pos Effect Symbol Exp Strike Type Price Net Price Order Type Crack
13.5426
9/24/2018 12:55 FUTURE BUY 1 TO CLOSE /CLX8 18-Nov FUTURE 72.15 72.15 MKT
9/24/2018 12:55 FUTURE SELL -1 TO CLOSE /RBX8 18-Nov FUTURE 2.0401 2.0403 LMT

The entry was posted live here and @tfo_medved.