eol wti historical trade simulation - more profitable trading strategy
please ignor my previous mail regarding the same issue , which contains some
typos .
greg and john ,
i found that by reducing the volume per trade and increasing daily number of
trades ( keeping the
total volume per day constant ) , we can be more profitable . this is partially
because in a trending market
we lose less money by following the market more closely . for example , suppose
market move from
$ 30 to $ 35 . if per trade volume is 10 , 000 bbl and the half bid - offer spread
is $ 1 for simplicity , we take 5
trades of short positions , the total mtm for that day is
( - 5 - 4 - 3 - 2 - 1 ) * 10 , 000 = - $ 150 , 000 and total trading
volume is 50 , 000 bbl short . if per trade volume is 50 , 000 bbl , we take one
trade , the total mtm is
- 5 * 50 , 000 = - $ 250 , 000 . thus the net difference between the two trading
strategies is $ 10 , 000 for that
particular day .
therefore it seems that by reducing per trade volume and increasing the
number of trades , we can be more
profitable as a market maker .
i rerun a scenario that stinson sent to you on dec . 27 where he used per
trade volume of 30 , 000 bbl .
i reduce the number of trade to 10 , 000 while increasing the number of trades
by factor of 3 . almost in all
cases , i saw increased profitability . see the colume marked " change " for
dollar amount change in millions .
please let stinson or me know your thoughts on this .
regards ,
zimin lu
x 36388
as compared to
eol wti historical trade simulation - more profitable trading
strategy
please ignor my previous mail regarding the same issue , which contains some
typos .
greg and john ,
i found that by reducing the volume per trade and increasing daily number of
trades ( keeping the
total volume per day constant ) , we can be more profitable . this is partially
because in a trending market
we lose less money by following the market more closely . for example , suppose
market move from
$ 30 to $ 35 . if per trade volume is 10 , 000 bbl and the half bid - offer spread
is $ 1 for simplicity , we take 5
trades of short positions , the total mtm for that day is
( - 5 - 4 - 3 - 2 - 1 ) * 10 , 000 = - $ 150 , 000 and total trading
volume is 50 , 000 bbl short . if per trade volume is 50 , 000 bbl , we take one
trade , the total mtm is
- 5 * 50 , 000 = - $ 250 , 000 . thus the net difference between the two trading
strategies is $ 10 , 000 for that
particular day .
therefore it seems that by reducing per trade volume and increasing the
number of trades , we can be more
profitable as a market maker .
i rerun a scenario that stinson sent to you on dec . 27 where he used per
trade volume of 30 , 000 bbl .
i reduce the number of trade to 10 , 000 while increasing the number of trades
by factor of 3 . almost in all
cases , i saw increased profitability . see the colume marked " change " for
dollar amount change in millions .
please let stinson or me know your thoughts on this .
regards ,
zimin lu
x 36388
as compared to