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Oct
15
comment How to trade a Ratio?
To use pnl as my objective function and varying the H, or the H*, as a unique choice to one rolling length N? Also the band of oscillations, are your referring to bollinger bands? Many thanks for your reply in advance, mate.
Oct
15
comment How to trade a Ratio?
Thanks bushmanov, could you be more precise on "as the ratio moves up and down within a range".
Oct
7
comment How to trade a Ratio?
First, thank you very much for your kind reply @arodrisa. To further elaborate your answer, suppose you long 1 lot of corn contracts, given the ratio is 2.5, in order to "trade" this ratio, how many lots of soybeans contracts are you going to short here? And what are your expected pnl, if you know only the ratio not the underlying movement, e.g. ratio is expected to be 2.8 in one month's time, can you have a view of the pnl then? If yes, how?
Oct
6
comment How to trade a Ratio?
@ user32416, I know, i am just wondering if there is anything systematic to investopedia.com/articles/trading/09/gold-silver-ration.asp
Oct
6
comment How to trade a Ratio?
My question is to find a linear combination of x and y to replicate f(x,y) it seems my f(x,y) is just x/y, although I tried some linear approximation, it doesn't seem good enough.
Oct
6
asked How to trade a Ratio?
Jun
21
awarded  Student
May
27
comment How to find the upper bound of a digital option given some market data?
Hi chrisaycock, it's not a homework. To SRKK, it's obvious $\mathcal{N}\in[0,1]$ but it doesn't help on solving the sup, any idea on it?
May
27
asked How to find the upper bound of a digital option given some market data?