TheEconomist

We at least escaped the risk of burning our cash on a daily basis... Can't ask for more... 100% ROE seems a good profit for you. Perhaps I could have got for real the same profit with the Swap Arbitrage, but it's far from enough for my cash. Bogdan

Nu era folosit pentru ca schimbasei appletul cu unul care nu prea mergea...

Eu stiu sa folosesc WSFTP dar tot n-am datele de login.

Sunt destul de maricele dar am sa dau link-ul de unde se pot downloada: http://avaxhome.org/ebooks/ si dati cu "Search" arbitrage si Hedge Fund. Mai sunt si alte lucruri interesante pe acolo. O am pe aia "An Arbitrage Guide to Financial Markets"...tot asa, n-am putut sa fac upload. Ce sa zic, e scrisa destul de sec, pentru finantisti ca mine....care sunt, normal , angajati in hedge funds nu incearca sa faca asa ceva de acasa Pana la urma am priceput de ce la televizor le zice "finantisti" la aia cu taxe si impozite... Absolventii de finante, in tarile civilizate, nu in jaful asta pseudoeuropean, se numesc "quants"

No. I'd include an Oil arb. I also could do a Gold and Silver arb, if it would work with Gold and Silver Minis. However, these could still be damaged at execution, when the long arb is pretty safe. Bogdan

Thanks, Andi The arb now is: MarginUsage set at 50% of the 500 leverage available (initial equity ~ $1.250) Trades: Short 1.50 6j @0.8725 aug 27, 22:44 commission $30 Short 1.60 usdjpy @ 115.67 aug 27, 22:45 spread 2 pips Regards, Bogdan

I feared sending my hard gained $500 in this shithole where I work, so I got help from Matt... he put money, arbed them, and got money wired back, so he trusted them and me too. Now his B-style arbitrage doesn't work any longer, cause they put him on manual. But mine works...sleeps and makes money. And by the way, before opening the account, when I asked about swap-free accounts, I also asked about trade length limit and they said there are no limits! (So I can keep the mail almost like an opposable contract clause )

Bun! si Andi si Juangecko fac chestia asta "desteapta", dar ei au ceva bani. Eu sunt un amarat de roman (ca de, desteptii nostri de economisti de cas-uri semnaturisti pe la firme nu-s in stare sa conceapa mecanisme de castig si salariile trebuie sa fie mici). Am 500 de dolari. Ce sa fac? Impart in doua conturi. Unul cu, unul fara swap. Ca sa se simta la buzunar, levier enorm. Am 500, sa zicem, folosesc 250. 62500 volum total, 31500 per tranzactie. Adica aproximativ 3$/pip fluctuatie. Prinzi o fluctuatie de 50 de pipsi. Unul ajunge la 400$, celalalt la 100$ . Vine swapul. Sa zicem, 15$. Sa zicem ca vine pe contul cu 100$, care devine 115. Media acum este (400+115) / 2 = 257 . Acum, ca sa rezisti maine, trebuie sa virezi 257-115 = 142$. Cat te costa SWIFTul? Acu m-a costat cam 80$ la 1000 virati (care nici macar nu erau ai mei). Cand mi-am deschis cont la Oanda, m-a costat 40 de EUR la 300 virati. Si cat timp dureaza? Aaa, ce sa mai zic daca fluctuatia e prea mare si-ti arunca in aer unul dintre conturi! Va fi oprit inainte, si vei avea un castig pe celalalt. Bine, daca esti in fata calculatorului...Dar daca nu esti, se intorce inapoi si-ti distruge si acest cont? (probabil ca o sa faci doi experti care folosesc fisiere text ca sa-si comunce unul altuia ce se intampla) E o metoda lenta, periculoasa, si dincolo de toate, urata! Dupa mine, nici nu seamana cu arbitrajul! Problema ta e ca tu nu vrei sa castigi. Vrei sa simti thrill-ul pietei. Eu vreau banii. Linistit, si fara riscuri. Mi-am ros coatele in facultate si am o slujba de doi bani. ASTA AM INVATAT , ASTA AM ASTEPTAT SI MERIT! Daca voi vreti sa va falfaie inima la 3$ sau 10$ la pip cand spui "ah...e mai mult decat un retracement Fibonacci"... continuati. Fiecare, cu stilul lui. Sa va dea Dumnezeu ce nu vine de regula la casa romanului : NOROC! Eu nu vreau noroc. N-am avut noroc niciodata in viata. Pentru mine norocul e un lucru blestemat, pentru ca il cauti toata viata, si nu vine! Iar cand vine, se intampla ceva grav, care sa-l compenseze. Sa-si pastreze Dumnezeu norocul pentru el. Eu vreau sa castig la sigur. Din Gordon Gecko: "I don't throw darts at a board. I bet on sure things" "You know why fund managers can't beat S&P 500 ? Because they're sheep. And sheep get slaughtered" Bineinteles, Gecko era chiar un om rau. Dar principiul general de a castiga fara risc ramane corect. Si am prieteni cu tehnologie similara hedge funds care nu fac altceva decat arbitraj. Matt a aplicat un arbitraj similar cu spot-to-futures B (el doar compara miscarile spot si futures) si a scos cam 50% intr-o luna, pana l-a trecut fxindia pe executie manuala. Cati dintre voi pot spune: "Am atat% stabil pe luna" ? O alta parte proasta a speculatiei e ca nu te poti bucura de bani. Nu stii cat sa retragi, pentru ca nu stii nici daca sa folosesti fondurile ca sa amplifici efectul, nici daca sa retragi, in ideea ca s-a terminat cu norocul. O alta caracteristica nenorocita a speculatiei! Munca , nervi si backtesturi in zadar! In incheiere, ganditi-va mai intai "Ce vreau eu de la forex."

I didn't knew and I don't care. I don't wanna slalom thru the swaps. I want any possible spot-to-futures arb to be used equally. What should I do anyway with GBP/USD, at a 1% differential, when I have 4.25% between USD and JPY ? Bogdan

Bine, mai simplu n-are tati ce sa va faca. Am scotocit netul sa gasesc niste poze mai usor de inteles http://img222.imageshack.us/img222/1466/forwardspotconvergencepq5.jpg O sa va explic arbitrajul spot-to-futures de tip A, pe care-l gasiti in blog cu tot cu exemplul de calcul pentru yen si pe care-l aplic eu acum. Dupa cum vedeti in ambele cazuri, contractul futures se misca in acelasi sens cu spotul, dar apropiindu-se incet de spot. Diferenta dintre ele e diferentiala de dobanda (formula aia urata de la inceputul articolului de pe blog). Concluzia pe care o tragem din poza: INDIFERENT unde se duce spotul, TRAGE FUTURES dupa el. In prima poza avem cazul forward > spot. Este de exemplu cazul EURUSD, al carui futures (6E), care expira pe 13 decembrie , ora serverului 22:55, coteaza mai mult. Acum cand scriu articolul e EURUSD este 1.4135 iar 6E este 1.4155 . Deci pe 13 (later edit:decembrie), cam pe la 22:50 , cele doua or sa coteze la fel, indiferent unde vor fi (de fapt, se vor invirti in jurul punctului aluia cu mai multe zile inainte). E recomandabil sa inchizi din timp. La ora magica, 6E mai sare cu vreo 50 de pipsi (ma rog, calculati cu formula cam cat trebuie sa dea) si incepe un nou ciclu, care se termina prin martie. Deci daca eu cumpar acum EURUSD la 1.4135 si vand 6E la 1.4155 o sa castig 20 de pipsi - spreadul - comision la futures , indiferent in ce directie se duce EURUSD. Trebuie sa tin cont de unele aspecte: 1: lotul 6E e mai mare (125000 USD),deci egalitatea miscarilor se realizeaza la 4/5 raport intre loturile 6E si EURUSD (pentru 1 lot EURUSD sunt 0.8 loturi 6E ca sa egalizeze valoarea pipului); al doilea aspect.. sa nu cumva sa-i vina lui Trichet in cap sa reduca dobanda la euro. Daca face asta, diferentiala EUR-USD se mareste, si ma pune in pierdere. Totul e sa nu ma arunce complet in aer in momentul ala, pentru ca la scadenta profitul tot se realizeaza. Acum, de ce sa folosesc EURUSD ? ECB are rata 4%, iar FED la 4.75%, deci diferentiala e micuta. Pe de alta parte, BoJ e la 0.50%. E, asta da diferentiala intre USD si JPY. Datorita faptului ca dobanda la JPY e mai mica decat la USD, USDJPY futures nu e mai mare, ca la EURUSD, ci mai mic (se aplica cazul din a doua poza). Daca acum USDJPY e 116.47, USDJPY futures ar fi 115.55, exact ca in poza. Deci, teoretic, ar trebui vandut USDJPY si cumparat USDJPY futures. Dar, USDJPY futures (6J) e cotat INVERS. Adica, in loc sa fie 115.55, e 0.8654 (inversul lui 115.55 x 100). Intrucat e cotat invers, in loc sa-l cumparam, il vindem si pe el, si avem doua tranzactii de vanzare. Intalnirea, la scadenta, a USDJPY cu 6J se face virtual, invizibil (se intalneste practic cu inversul). Nu revin asupra metodei de calcul, o aveti pe blog. Aa, era sa uit: NU MERGE DECAT DACA AVETI CONT SWAP FREE. Altfel, dobanzile care curg la pozitia spot va baga in pierdere din prima zi, pentru ca ceea ce platiti pe swapul zilnic e mai mult decat castigul zilnic (restrangerea zilnica a basis-ului futures - spot). Sper ca a fost mai clar de data asta.

Well, I'm using FXI*/Beaver* with swap free regime and long arbitrage trades (type A). To me the long run is so serious I'm already dreaming at limos, parties and women On the other hand, if you want the B type arbitrage, it's not so important for the futures to be "fair" calculated, since the B type relies on fluctuations of the discounted futures - it's not important for this discounted futures to FLUCTUATE AROUND THE SPOT, but TO FLUCTUATE ENOUGH around an average in order to be usable. Bogdan

Oh , I guess Michal knows better I don't think MT brokers are reliable for that; perhaps sometimes it will trade, but nothing guaranteed; now if you say MBTrading is not good, you could try InteractiveBrokers. If neither that is good, you are left with Currenex and Dukascopy - but you need lots of cash; these are the best of the forex. However, their automation requires the hell of a programmer, cause it's FIX based... However, among all the strategies, Intercross is the hardest to implement. I'm not even thinking about it anymore!

Imi aduc aminte, anul trecut cand invatam MetaTrader, zisese Billy sa facem un expert care nu face nimic. Ei ar fi pierdut iar noi am fi castigat cu zero profit!

Ii urez si eu bafta, mai ales pentru convingerea ca poate infringe chichitele forexului cu expertii lui de trading directional. Eu mi-am pierdut increderea, am devenit arbitrajor si pot sa sforai linistit la levier 300. Candva si eu aveam placerea asta de a surubari expertii, de a intoarce parametrii pe toate partile doar-doar oi obtine expertul care sa nu se desincronizeze de piata. E drept, eu nici nu am avut timpul de a lasa expertii sa se deruleze pe forward test, nici curajul sa-mi las banii pe asa ceva. Daca un expert nu dadea bine pe toate felurile de backtest, nu avea sens. Ma bucur ca am scapat din iadul forexului obisnuit fara bani pierduti, metatrader insa mi-a luat un an de viata, iar toata experienta forex pe ansamblu, doi ani (deh, am pierdut pe Oanda, dar m-am jurat sa nu reintru decat cand o sa fiu sigur de ceea ce fac) . Am toata consideratia insa pentru toti cei care sunt inca acolo, in linia intai , luptandu-se cu un inamic mult mai puternic si mai siret...

O idee buna...sa vedem ce iese, cine se mai anunta...

Very smart So we could just modify the parameters area of the indicators.

No, I am asking why the discounted futures already is distant from the spot...(as if it's not completely discounted). P.S. If you have trouble running futures.mq4 , slide the MarginUsage to 85.

I would really like someone to explain me why there is a difference between the discounted futures and the spot... I don't see why it exists, why the discounted futures isn't 90% of the time 2-3 pips around the spot...

I repaired and placed back for download the DiscountedBasis and DiscountedFutures indicators, because 6C wasn't treated as a reversed futures of USDCAD (also modified expiries and interest rates). However USDCHF - 6S is not displaying right and I don't have a clue where the mistake is.

Matt did a similar thing but with correlations (picked a common point and displayed movements of spot and futures from that one). He made cash.... now they put him on manual execution. I'd think about an EA if I'd have a pip spread. I'd be confortable with that. I see there is this lure... that passive trading gives the impression money are not really used, while active trading gets the full consideration. However, I'd consider a combinated strategy, with a long hedge to generate interest, both trades being hedged by another pair of hedges (when basis gets big), in order to get the b. type arbitrages (of course this pair of trades is closed when arbitrage window closes). Bogdan

As I promised to my readers, I am returning with an article about the "new" currency futures contracts introduced by the non-NFA regulated brokers. Together with arbitrageable commodities, currency futures prove to be some of the most valuable contracts to be found in a broker's datafeed. 1. Basics of Currency Futures ====================== Currency futures are the standardized, transferrable version of currency forwards. Currency forward contracts lock in the price at which an entity can buy or sell a currency on a future date. But how is a currency futures priced? A spot forex rate is the rate at which two currency amounts are equal : for example, 10000 USD are (at a moment, "spot") equal to 1.230.000 JPY at 123 JPY/USD rate. Since the time value of a currency is given by the interest, the currency futures rate which equalizes them incorporates the differential rate. Suppose we have two currencies, A and B, both equal now, as A/B = 1 spot rate. A interest in 20%, while B interest is 5% so there is a rate which equalizes 1.20 with 1.05 , and that rate is 0.875 , as 1.20 x 0.875 = 1.05 Hence the futures formula: http://img514.imageshack.us/img514/6458/futuresformulaax8.jpg In our case, the spot rate didn't had any effect, since it was 1. We must know 2 elements: 1. The interest rates 2. Futures expiry dates 1. The interest rates That's an easy one. A reliable source for this can be found here on FXStreet . 2. Futures expiry dates This can be done in a few ways: a. Download WHC's MetaTrader. Then point to Market Watch, right click, (Show All if they are not already) , Show All, then Properties, then expand the Currencies top folder. b. Directly from CME website (see below) Of course, when you use the formula you must calculate the time to expiry as precise as possible , because it influences the interests put inside the formula. For example, if we have 90 days to expiry, that 1+C2 Interest Rate % from the formula transforms in 1 + (0.5/100) / 365 x 90 = 1.001232876 Almost forgot: depending on the strategy you'll decide to use, it may be useful to check when the next meetings of the central banks officials will take place and also what's the expectation about the interest rates. 2. Spot-to-Futures Arbitrage ===================== Since the futures are linked to the spot by the interest to expiry, and futures at expiry equalizes the spot (this equalization is a feature of all futures contracts that have a spot counterpart) there are two possible spot-to-futures arbitrages: http://img128.imageshack.us/img128/4825/eurusdarbitragebigfa2.jpg a. exploiting the difference between spot and futures (often called basis) and cashing it in while paying interest on spot position (the "Covered Interest Arbitrage" in finance books) ; or, depending on the broker's feed , the reverse : paying the basis and getting interest on spot position (which is ockward and not likely to happen for real, but never say never) b. exploiting missalignments of the converted futures to the spot (or of the real futures to the calculated futures , which is the same thing) using interest rates. However, type b. arbitrage is not as seldom as that picture lets to be understood. You don't have to be a genius to see that a misprice happens not only when futures is on the wrong side, but also when futures is not where it should be: We could also discount (let's call it like that the conversion of futures to spot, even if some futures are discounted, e.g. USDJPY) the futures and see how far is from the real spot. We should also have a neat time conversion on hand to have a continuous time, not a jumpy one (e.g. not the time that decreases by one day when a day passes, but a time in real number format). The discounted futures is calculated using the reversed upper formula (get the spot from the equation to find it out). Discounted futures to spot basis fluctuation http://img517.imageshack.us/img517/2136/eurusdarbitrage2te3.jpg The overlay indicator : DiscountedFutures The window indicator : DiscountedBasis As you can see, with 5-6 pips in magnitude of arbitrage windows, you could cover the 4 pip costs of arbitrage (2 pips on EURUSD, 2 pips 6E equivalent commission in pips). But is MetaTrader fast enough? However, with a pretty superior account trading at 1 pip spread it might work smoothly... With a regular case of EURUSD - 6E you could, for example, when DiscountedBasis has a higher value, sell the futures and buy the spot, and close when it reaches a lower than regular value... Now let's return to the a. arbitrage type ("Covered Interest Arbitrage") The picture below depicts the basis and swaps consuming reciprocally (in the normal swap rate regime), while the new, swap-free accounts based on brokers arrangements with islamic banks provide new, outstanding arbitrage opportunities: Parameters : Account equity about 450 USD; Account leverage about 200 ; Margin usage = 90% ; http://img524.imageshack.us/img524/7725/spottofuturesarbitrageme1.jpg from Futures.mq4 script This example was run on WHC (although WHC doesn't offer swap free accounts). How are the calculations done? Below is a picture with the implementation made by Beaverhea Financial. Although it's an untrustable broker, the implementation is useful for calculus and demo. http://img166.imageshack.us/img166/9504/beaverheadfuturesyf1.jpg The real currency futures implementations on CME The ones that can be found with brokers are: CME Euro FX CME Australian Dollar CME Canadian Dollar CME British Pound CME Japanese Yen CME Swiss Franc WHC comes also with these two, but they don't seem to work properly: CME EC/JY Cross Rate CME EC/SF Cross Rate Now the arbitrage is pretty simple to understand if it's about EURUSD and 6E. Provided that EURUSD's lotsize is 100K and 6E's lotsize is 125K, the ratio : EURUSD traded lots / 6E traded lots = 5/4, as 5 x 100K = 4 x 125K to equalize pip movements. But what if it's a reversed futures, such as USDJPY to 6J ? This is a calculus example, using the Impeccable Hedge algorithm that powers FPI, Intercross Arbitrage and Swap Arbitrage We consider: USD - 5.25% JPY - 0.25% USDJPY right before old futures expiry: 123.00 6J right before old futures expiry = 100/123.00 = 0.8130 New futures, in the first moments, with expiry in 3 months: http://img64.imageshack.us/img64/6761/futurescalculation6jcd5.jpg Actually tested the formula on june 15 data and it was accurate on a range of 6 pips (of course I used 92 days period instead of dividing to 4) Prepairing the hedge : USDJPY spot > transformed USDJPY futures : Sell USDJPY, Sell 6J Sold 100000 (1 lot) USDJPY @ 123 Sold 100000 USD Bought 12300000 JPY Sold 12300000 (0.98 lots) JPYUSD (6J) @ 0.8232 (/100) Sold 12300000 JPY Bought = 101253.6 USD That 1253.6 must be the embedded interest in the futures. Supposing now USDJPY=127 on expiry ; 6J is right reversed = 0.7874 Sell 100000 USDJPY @ 123 -> (1 pip = 10*100/127 = 7.87 USD) : -400 pips x 7.87 = -3148 USD Sell 1230000 6J @ 0.8232 -> (1 pip = 12.3 USD) : 358 pips x 12.3 = 4403.40 USD Result = 1255.40 Supposing now USDJPY=119 on expiry ; 6J is right reversed = 0.8403 Sell 100000 USDJPY @ 123 -> (1 pip = 10*100/119 = 8.40 USD) : 400 pips x 8.40 = 3360 USD Sell 1230000 6J @ 0.8232 -> (1 pip = 12.3 USD) : -171 pips x 12.3 = -2103.30 USD Result = 1256.70 As you see, arbitrage holds no matter the direction. And if the regime is swap free, pocket all of it... about 200K USD in traded volume, this would be tradable with a 500 USD account at about 450 leverage! This means more than double! Of course it is advisable to review articles on central banks monetary policies especially if their meetings happen close to the beginning of futures. Create scenarios about what might happen if interest differential enlarges. Calculate the damage done to the equity, add 20-30 pips or more of market "missalignments" and see at what leverage it is sustainable (also include here the issues about not trading microlots - see the Intercross Arbitrage article). If you're heavy leveraged and faint hearted, better close positions before central bank meetings, and , most important, don't EVER forget to close positions before expiry or your account will likely be blown up due to violent futures shift on expiry change (or hopefully you'll just lose the profit!) . You could even test broker's vigilance by reversing positions with a day before expiry in order to make the entire profit on the expiry shift moment... Whatever, the method is a great progress from leaving the forex madness for a slow paced and profitable trading with controllable risks! 3. Warnings about Attachments ======================== Be very careful about how you set up DiscountedFutures and DiscountedBasis, especially with the interest rates and the expiries! Look close at the SwapFree parameter when running Futures.mq4 script! And be extremely careful when running on real accounts! Measure ten times and cut once! The script supposes all margin requirements are the same, however with some brokers margins for futures are bigger. Experiment first on demo.

Articolul este gata. Enjoy!

Updates list: > Swap2Interest_Volume function now supports swap type 1 also; > "Swap Functions" block renamed to "Financial Math"; > "Financial Math" block expanded to include functions for calculation or discount of currency futures; > GetCurrency() now works when market is closed too; > Added optimization types OPTIMIZE_SWAP_ONLY_VIRTUAL , OPTIMIZE_PRICE_ONLY_VIRTUAL to BcArb as possible parameter values for GetBestCross(); > Added variable bool SupportOneAtomCrosslists = false that can work as a switch to influence CreateCrosslist() and CreateCrosslistsTable() to discard or not one-atom crosslists; ...and perhaps others which I don't remember. Check also the new and repaired SwapFinder_script that uses everywhere UnitsToLots().

Interesant de citit! vedeti atasamentul... The_regulation__taxation_and_distribution_of_hedge_funds_in_Europe.pdf

Ai dreptate, strategiile si implementarea sunt cele care conteaza... intotdeauna se gaseste o forma juridica multumitoare, pana la urma. Pe de alta parte, sa fim seriosi 10% pe an putem sa scoatem si de la Vanguard... Facem un fond de nivel mic pentru a obtine procentaje ametitoare... Sunt strategii simple care scot 50-100% pe an (cum e Swap Arbitrage), dar la banii nostri de amariti e tot egal cu 0. Puterea arbitrajului e aproape "magie neagra", de aceea nici nu se vorbeste exact cam cat poate scoate. Orice student care n-a trecut prin facultatea de finante ca gasca prin apa stie ca aceasta putere e in mainile institutiilor financiare, dar vorbim de Romania, tara in care nu exista banci de investitii, si singurele locuri in care se vorbeste de asa ceva sunt doar Serviciile de Arbitraj ale bancilor... dar, ce sa te faci cu stalinistii de romani, cum sa le explici asta unor capete patrate... Romanii... ei vor niste angajati, niste furnicute, nu niste parteneri de afaceri... Cu oameni de genul asta nici sa nu-ti racesti gura de pomana. De aceeam am pus ideea pe forum, numai niste oameni care vor SA-SI SCHIMBE VIATA pot face un hedge fund aici. Cat despre marii si tarii cu zeci de milioane pe luna... au ei sforariile lor. O auzi pe Ghervasiuc si ramai timpit: 70 de milioane pe luna pentru un bugetar! Oamenii astia nici n-ar trebui acceptati in hedge funds... Lor le raman zeci de milioane pe luna din salariu (nu vorbesc de cei care castiga din PROFIT)... Iar tie, indiferent cat castigi de mult, aproape nimic. Cum sa le vorbesti lor de investitii, de piata, de hedge funds, cand ei au salarii grase, de la cei care i-au pus in functii ? Pe ei nu-i intereseaza decat cum sa ramana in functii sau cum sa aterizeze in alte functii de bugetari privilegiati. E hilar... Cat despre rentabilitate, e adevarat, un investitor care pune 50 de milioane de dolari ar fi multumit cu 10% cand ia 2.5% de la banca... Dar noi suntem oameni saraci... O sa vedeti numai cand o sa public articolul despre futures... Trebuie sa ne dam peste cap la capitolul rentabilitate ca efortul asta sa merite...