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Strategies & Market Trends : Classic TA Workplace
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To: the-phoenix who wrote (130609)3/12/2006 12:12:42 PM
From: the-phoenix  Read Replies (1) of 209892
 
The Couch Potato Portfolio

A bit more on trading off this ratio. Back in January I posted this trading idea, of selling the NDX when the ratio hit 1.38:

Message 220858

If one had sold Nasdaq E-minis and bought S&P E-minis in directionally neutral proportions when the ratio first hit this level on January 12th, he/she would have roughly a 300% return in two months.

Example, selling 20 NQs and buying 10 ES, requires a bit less than $10,000 in performance bond. The profit on the position through Friday would have been $38,600.
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