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oops! What was I thinking? The bottom line is
Gary's point is right: being "long and short" is the
same thing as being flat. Many years ago we
spent HOURS trying to explain this to a trader:
he thought he'd figured a way to always win,
which ever way the market went.
He never did understand, and changed brokers.
BW
----- Original Message -----
From: "Bill Wynne" <tradewynne@xxxxxxxxxxx>
To: <fritz@xxxxxxxx>; <ianwaugh@xxxxxxxxxxxxxxxxxxx>
Cc: <omega-list@xxxxxxxxxx>
Sent: Wednesday, October 17, 2001 11:33 AM
Subject: Re: Buying without selling
> > Profit-wise and in just about any other way I can think of, going
> > flat in a commodity is functionally identical to being simultaneously
> > long AND short in that commodity.
>
> Except there's double slippage and commissions.... :)
>
> BW
>
> ----- Original Message -----
> From: "Gary Fritz" <fritz@xxxxxxxx>
> To: <ianwaugh@xxxxxxxxxxxxxxxxxxx>
> Cc: <omega-list@xxxxxxxxxx>
> Sent: Wednesday, October 17, 2001 11:23 AM
> Subject: Re: Buying without selling
>
>
> > > Ah! A most intriguing idea which I have implemented and which
> > > works better than my original code (although not as well as
> > > running the two systems concurrently).
> >
> > ?? As mike@xxxxxxxxxxxxxxxxx pointed out, an actual broker/FCM would
> > interpret a Buy followed by a Sell as a closed-out position, even if
> > you intended it to be a long in one system and a short in another.
> >
> > Profit-wise and in just about any other way I can think of, going
> > flat in a commodity is functionally identical to being simultaneously
> > long AND short in that commodity.
> >
> > So how could your system work better by running two systems
> > concurrently (holding simultaneous long & short positions) than by
> > netting out the positions?
> >
> > I suspect you have an error or a misunderstanding somewhere...
> > Gary
> >
> >
>
>
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