wti maket maker simulation model john ,
we finished the version 2 of the simulation model which deals with the
open - close trading versus the continuous trading in the previous version .
i added the cummulative p / l as an output . there are a few apparent trading
strategies from this model :
1 ) higher bid / offer spread , more profit
2 ) more daily # of trades , more profit
3 ) smaller net open positions allowed , more profit
1 ) and 2 ) are obvious , but 3 ) is more interesting . it means that we are
better off
if we do not allowed net open positions at end of the day . in a trending
market ,
this makes an intuitive sense , for example , in the case of bull market we are
short as a market maker and we can avoid the loss at the higher openning price
by keeping zero or small net short positions .
i have attached the model with this mail , and i ' ll be happy to discuss the
model
in more details with you .
zimin
wti maket maker simulation model
john ,
we finished the version 2 of the simulation model which deals with the
open - close trading versus the continuous trading in the previous version .
i added the cummulative p / l as an output . there are a few apparent trading
strategies from this model :
1 ) higher bid / offer spread , more profit
2 ) more daily # of trades , more profit
3 ) smaller net open positions allowed , more profit
1 ) and 2 ) are obvious , but 3 ) is more interesting . it means that we are
better off
if we do not allowed net open positions at end of the day . in a trending
market ,
this makes an intuitive sense , for example , in the case of bull market we are
short as a market maker and we can avoid the loss at the higher openning price
by keeping zero or small net short positions .
i have attached the model with this mail , and i ' ll be happy to discuss the
model
in more details with you .
zimin