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Since I'm using this strategy, I observe that sometimes the account stays a lot constant, then jumps suddenly. Finally found the catch. Here is also my account status for november 8:

 

http://img258.imageshack.us/img258/9493/marketineficienciesej2.jpg

 

As you can see in the first red circle, before Globex shut down hour on Nov 7 , the discounted USDJPY futures was under USDJPY value. During this time, USDJPY moved down. Once the Globex started up, the discounted futures had to come towards USDJPY from its upward position, and it was stopped by the market's evaluation nearby USDJPY but in the upper side, since it came from up. It started to fluctuate around this value, this is why we see the DiscountedBasis average jump from negative to positive.

 

This second picture is to answer Juan's request to see how much basis modified since last month:

 

http://img210.imageshack.us/img210/1460/basisreductionya4.jpg

 

As you can see, the basis reduced from about 98 pips on Nov 9 to almost 43 pips now. Isn't that cool ?

 

 

I appeal again at my readers to help me with the parameters of T-notes, as I want to check about arbitrage windows forming between the three T-note classes (2 years, 5 years, 10 years).

5 Comentarii

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Vizitator Andi

Vizitator Andi

Guests

Postat

Bog, can we use this fact (the future is fluctuating when coming back to its real value after CBOT break) for any arbitrage?

 

Andi.

juangecko

Traders

Postat

thxs Bog! I saw strange basis yesterday that is why asked you for it. You got it!

At that time the CFD is closed you cannot trade it ( Open 2:00 ? close 1:00 +3GMT) but I see that the basis goes from + to - in trading hours. This is arbitrable.

How have you constructed the discountedbasis indicator?

thxs

JB

TheEconomist

Traders

Postat

Bog, can we use this fact (the future is fluctuating when coming back to its real value after CBOT break) for any arbitrage?

 

Andi.

 

Naughty boy... I thought that someone would spot this... Entry at -2.5 and wait for a 2.5 , for tomorrow, or the day after tomorrow, then close, enter at 2.5 and wait again...but you may have days when USDJPY won't move enough at that particular moment in time when the forex market is sound asleep. Plus that, if no luck, in a few days, the swaps, if using a swap-bearing account, will consume all the profit...

 

Later edit: swap is a double edged sword - if we hedge reversed, we may get swaps and profit for a very little time...

 

Bogdan

TheEconomist

Traders

Postat

thxs Bog! I saw strange basis yesterday that is why asked you for it. You got it!

At that time the CFD is closed you cannot trade it ( Open 2:00 ? close 1:00 +3GMT) but I see that the basis goes from + to - in trading hours. This is arbitrable.

How have you constructed the discountedbasis indicator?

thxs

JB

 

The indicator is pretty easy, uses the same formulas when we talked in that night... You can find it , I think on one of the last updates to BcLib, otherwise on the Currency Futures entry.

Vizitator Mr. H

Vizitator Mr. H

Guests

Postat

Bogdan,

 

Here is a link regarding 5 year Treasury notes Vs 10 Treasury Notes:

http://www.cbot.com/cbot/pub/cont_detail/0...5+12541,00.html

If link does not work try to search for "Yield Curve Shift Makes Trading Opportunities" under Education > Strategies > Interest Rate > Treasury at www.cbot.com

 

Regards,

 

Mr. H

Vizitator
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