|
PureBytes Links
Trading Reference Links
|
Perhaps its due to a lack of intraday volatility which would normally
"bail-out" most stock index intrday trading systems...
The Bund, Bobl and Schatz are I think separate cases on their own. NO other
major futures market trades so heavily intraday compared to its open
interest.
BUT it would seems to suggest that far from there being a lack of volatility
in these markets there is enough volatility to warrant trading an intrsument
that rarely has a range of > 10 ticks (Schatz).
This volume I think comes from traders using Eurex terminals and trading
with sub 1 euro round-trip costs. They have a significant speed edge and can
afford to sit with resting bids and offers all the way up and down the order
book, trading against themselves as a way of stopping themselves out. Thus
the Schatz mostly trades with around 2000+ contracts bid and offered per
tick 10 ticks out in either direction, the bund less so but still traded in
a similar manner I feel.
Watching them trade you get the sense that the predominant style of trading
intraday is a kind of value trading...where you first estimate the days
range and then scale into buy/sell positions accordingly. I believe there
are a quite a number of Bund/Bobl/Schatz traders who depend on Market
Profile for their trading - this is telling (try reading Mind Over Markets -
Dalton to get a better feel for where they are coming from).
I'd definitely like to know more about what is really going on in Eurex
markets myself...they just seem so different from everything else.
Regards
Robert
-----Original Message-----
From: MarioT [mailto:ekytac@xxxxxx]
Sent: 08 April 2001 19:25
To: omega-list@xxxxxxxxxx
Subject: Tbond daily systemsalways betters then intraday
Testing systems on intraday barcharts usually give more profit then test
same systems on daily charts.
But it is hard for me find systems with intraday better results on
tbond-bund markets.
What i am missing?
Any idea to test?
Thanks
MarioT
|