Thursday, February 6, 2020

The Russell 2000 -Nasdaq 100 Algo Trade #7

Exec Time Spread Side Qty Pos Effect Symbol Exp Type Price Order Type Spread
2/6/2020 14:03 FUTURE SELL -1 TO OPEN /NQH20 20-Mar FUTURE 9442 MKT -20990
2/6/2020 14:03 FUTURE BUY 2 TO OPEN /RTYH20 20-Mar FUTURE 1678.5 MKT

Wednesday, February 5, 2020

$500 Win, The Russell 2000 - Nasdaq 100 Algo Trade #6

The trade entry was posted here.

Exit:

Exec Time Spread Side Qty Pos Effect Symbol Exp Type Price Order Type Spread
2/5/2020 14:07 FUTURE SELL -2 TO CLOSE /RTYH20 20-Mar FUTURE 1680.5 MKT -18885
2/5/2020 14:07 FUTURE BUY 1 TO CLOSE /NQH20 20-Mar FUTURE 9346.75 MKT

Thursday, January 30, 2020

The Russell 2000 -Nasdaq 100 Algo Trade #6

Exec Time Spread Side Qty Pos Effect Symbol Exp Type Price Order Type Spread
1/30/2020 16:08 FUTURE SELL -1 TO OPEN /NQH20 20-Mar FUTURE 9216 MKT -19400
1/30/2020 16:08 FUTURE BUY 2 TO OPEN /RTYH20 20-Mar FUTURE 1649.2 MKT

Monday, January 27, 2020

$500 Win, The Russell 2000 - Nasdaq 100 Algo Trade #5

Exec Time Spread Side Qty Pos Effect Symbol Exp Type Price Order Type Spread
1/27/2020 11:06 FUTURE SELL -4 TO OPEN /RTYH20 20-Mar FUTURE 1645.7 MKT -14695
1/27/2020 11:06 FUTURE BUY 2 TO OPEN /NQH20 20-Mar FUTURE 8963.25 MKT
1/23/2020 22:41 FUTURE SELL -1 TO OPEN /NQH20 20-Mar FUTURE 9264 MKT -16580
1/23/2020 22:41 FUTURE BUY 2 TO OPEN /RTYH20 20-Mar FUTURE 1687 MKT
1/21/2020 8:40 FUTURE SELL -1 TO OPEN /NQH20 20-Mar FUTURE 9141.75 MKT -13375
1/21/2020 8:40 FUTURE BUY 2 TO OPEN /RTYH20 20-Mar FUTURE 1694.6 MKT

Thursday, January 23, 2020

Scaling in: The Russell 2000 - Nasdaq 100 #5

The Russell 2000 - Nasdaq algo trade #5.

Exec Time Spread Side Qty Pos Effect Symbol Exp Type Price Order Type Spread
1/23/2020 22:41 FUTURE SELL -1 TO OPEN /NQH20 20-Mar FUTURE 9264 MKT -16580
1/23/2020 22:41 FUTURE BUY 2 TO OPEN /RTYH20 20-Mar FUTURE 1687 MKT

Tuesday, January 21, 2020

The Russell 2000 - Nasdaq 100 algo trade #5

Exec Time Spread Side Qty Pos Effect Symbol Exp Type Price Order Type Spread
1/21/2020 8:40 FUTURE SELL -1 TO OPEN /NQH20 20-Mar FUTURE 9141.75 MKT -13375
1/21/2020 8:40 FUTURE BUY 2 TO OPEN /RTYH20 20-Mar FUTURE 1694.6 MKT

Thursday, January 16, 2020

$700 Win, Russell 2000 - Nasdaq 100 Algo Trade # 4

Trade entry was posted here (live).

Exec Time Spread Side Qty Pos Effect Symbol Exp Type Price Order Type Spread
1/16/2020 11:15 FUTURE BUY 1 TO OPEN /NQH20 20-Mar FUTURE 9086 MKT -11420
1/16/2020 11:15 FUTURE SELL -2 TO OPEN /RTYH20 20-Mar FUTURE 1703 MKT
1/9/2020 0:10 FUTURE SELL -1 TO OPEN /NQH20 20-Mar FUTURE 8955.5 MKT -12140
1/9/2020 0:10 FUTURE BUY 1 TO OPEN /RTYH20 20-Mar FUTURE 1669.7 MKT
1/9/2020 0:10 FUTURE BUY 1 TO OPEN /RTYH20 20-Mar FUTURE 1669.7 MKT

Wednesday, January 8, 2020

Russell - Nasdaq Algo Trade #4

Exec Time Spread Side Qty Pos Effect Symbol Exp Strike Type Price Order Type Spread
1/9/2020 0:10 FUTURE SELL -1 TO OPEN /NQH20 20-Mar FUTURE 8955.5 MKT -12140
1/9/2020 0:10 FUTURE BUY 1 TO OPEN /RTYH20 20-Mar FUTURE 1669.7 MKT
1/9/2020 0:10 FUTURE BUY 1 TO OPEN /RTYH20 20-Mar FUTURE 1669.7 MKT

Friday, January 3, 2020

Correlation: Statistical Arbitrage of the Russell 2000 - Nasdaq 100


 "Though the Russell 2000 and Nasdaq 100 are highly correlated, these indexes do not form a cointegrated time series..."

+$800, Russell - Nasdaq Algo Trade #3

The entry was posted here.

Exec Time Spread Side Qty Pos Effect Symbol Exp Strike Type Price Order Type Spread
1/3/2020 15:45 FUTURE BUY 1 TO CLOSE /NQH20 20-Mar FUTURE 8823.5 MKT -10120
1/3/2020 15:45 FUTURE SELL -2 TO CLOSE /RTYH20 20-Mar FUTURE 1663.5 MKT

Thursday, January 2, 2020

Russell - Nasdaq Algo Trade #3

Long Russell short Nasdaq trade using  2*/RTY -/NQ ratio:

Exec Time Spread Side Qty Pos Effect Symbol Exp Strike Type Price Order Type Spread
1/2/2020 12:32 FUTURE BUY 2 TO OPEN /RTYH20 20-Mar FUTURE 1657.9 MKT -10940
1/2/2020 12:32 FUTURE SELL -1 TO OPEN /NQH20 20-Mar FUTURE 8836.5 MKT

Friday, December 13, 2019

Update: DJI - SP500 Pair Trade #2

The DJI - SP500 pair trade #2 was rolled to the new expiration.  Z19 cycle ended with $200 loss.

Exec Time Spread Side Qty Pos Effect Symbol Exp Type Price Order Type Spread
12/13/2019 12:27 FUTURE SELL -2 TO OPEN /MESH20 20-Mar FUTURE 3172.25 MKT 17897.5
12/13/2019 12:27 FUTURE BUY 2 TO CLOSE /MESZ19 19-Dec FUTURE 3169 MKT
12/13/2019 12:27 FUTURE SELL -2 TO CLOSE /MYMZ19 19-Dec FUTURE 28139 MKT
12/13/2019 12:27 FUTURE BUY 2 TO OPEN /MYMH20 20-Mar FUTURE 28143 MKT
11/27/2019 12:43 FUTURE BUY 2 TO OPEN /MYMZ19 19-Dec FUTURE 28101 MKT
11/27/2019 12:43 FUTURE SELL -2 TO OPEN /MESZ19 19-Dec FUTURE 3148 MKT 16895

Friday, December 6, 2019

$200 Win, F20 Simple Crack Spread

Exec Time Spread Side Qty Pos Effect Symbol Exp Type Price Order Type CrackSpread
12/6/2019 11:27 FUTURE BUY 1 TO CLOSE /CLF20 20-Jan FUTURE 58.99 MKT 9.9068
12/6/2019 11:27 FUTURE SELL -1 TO CLOSE /RBF20 20-Jan FUTURE 1.6404 MKT

The entry was posted here.