jfutures

Hi there, I was wondering if anyone would know the answer to the following: I have charts set up of 30yr, 10yr, 5yr and 2yr treasury bond futures (24hour). I also have yields charts (day session) corresponding to the relevant bond next to my futures charts. If you know the current futures prices for each bond, is there a way of converting the futures prices into the approximate yields so I can view yields during the night session?? Replies would be much appreciated. Thanks, J

That's a valid point Blowfish. In fact, I've tried to locate a decent online execution only broker that provides spread betting on treasuries (with the option of doing stock indexes also) but haven't had much luck as yet. Would you be able to recommend any??? When you say calendar spreads, are you referring to intramarket contract spreading?? (i.e. newer contract to older contract). Can you please give some advice on the subject?? Would really appreciate it if so. To spread effectively over time, yes you would need a large account in order to leverage your positions. Comms can be manageable, as long as you are prepared to use a low cost execution-only service. The best way I've found to wring out the juice would be to try to identify which bond for treasuries, or which market in stocks (NB still investigating stocks at time of writing) is setup to move 'the most' in your direction. This trade qualification may be based on a number of things, say trend lines, channeling, OS/OB, market profile, or whatever tools you can find to identify the setup. Then once you trade the spread, assuming you're correct, the trade can show profit. The key (and this is the real key) is to not overtrade, but rather concentrate on picking the cherries, even if they occur 4 or 5 times a month, which is the number of trades I place on average in a month. For anyone interested in spreading treasuries, I found a good article here which sums it up: - Current Issue

I'm not sure I entirely understand the question Fishing, would you mind clarifying please?? In treasuries, spread trading would simply be longing 1 and shorting 1 pretty much instantaneously (i.e. hitting market orders in both markets at the same time) in order to get yourself in. If you get the direction right, then the longer bond out of the 2 should start to show you profit at some point (whilst the other bond showing a loss which would be less than the profit on the longer bond). I was hoping this would be the case with the ES/YM spread, hence my original post. It looks fine, but then again I'm going through the tesing stage at the mo. Actually I started to use spread trading strategies because I too used to take big hits on many occasions because of doing single futures directional trades. I have found that spread trading really does reduce my risk, but naturally it can reduce your profit per trade on a single contract basis but I'm fine with this, I'm more concerned with making modest consistent gains over time. I'm afraid I have no docs on the subject otherwise I would have been happy to forward them to you.

To be honest, I'm still experimenting. I have a strategy based on assessing futures and cash markets whilst combining market profile and swings on different timeframes in order to identify potential opportunities. Knowing how to spread trade stock indexes is essentially to enable me to reduce my risk as & when the opportunities appear, because I don't like to make outright single directional plays in the underlying futures. I guess I'm trying to identify how stock indexes move in terms of value per tick. With treasuries its clear that e.g. 10 year has more value per tick than the 5 year (I should really say more price movement in 10 year compared to 5 year generally) so a short spread trade would be short one 10 year and long one 5 year if you believe 10 year will decline. With stocks, it seems 'generally' speaking, whatever your bias may be for e.g. ES, it would be best to spread ES/YM or YM/NQ combos according to the rules mentioned in your post (which I will be testing when I get some time). What methods do you employ if you don't mind me asking Fishing and which markets do you trade??

Thank you very much Fishing. This really is excellent information and will prove to be most useful. Thanks again.

Hi there, I was wondering if anyone could point me in the right direction of how to effectively spread trade stock indexes, specifically es, nq & ym. So for example if I wanted to go long 1,2 or 3 contract ES, how many contracts of YM or NQ would be best to go short to effectively hedge my position?? What other combinations provide good spreads in your trading experiences for trading YM and NQ also?? Im by nature risk averse therefore I like to trade conservatively and look to make consistent modest gains over time, therefore spread trading is the best route for me. I have found spread trading treasuries quite straight forward in terms of trading 2/5 years, 5/10 years & 10/30 year combos, however spreading stocks is unclear to me. Replies would be much appreciated. Thanks.

Hi Blue-Ray Yes I came across this particular thread before. It contains a spreadsheet for the original MP that uses letters to denote prices. Im after a spreadsheet that can calculate the value areas using volume at price instead. Thanks for looking into it all the same.

Hi, I've been using market profile, particularly the volume profile aspect of the technique for a while now and I'm finding it to be an extremely valuable tool. I was wondering if anyone has an excel spreadsheet that calculates the value areas and developing value areas of the 'volume' profile and is willing to share it?? Replies would be much appreciated. Thanks. J