ggscott
commented
3 years ago It is a good thought exercise and definitely worth the time to expand the code base if needed. Couple of addl thoughts:
depending on the brokerage house, leverage / margin is different on different future instruments. So unless you’re doing (like you mention below) a fully secured contract - leverage on each different contract will need to be taken into account price / liquidity manipulation of the underlying future is rampant when the volume is low - so there may need to be safety breakers (much like low volume options, just saying) - not so much on the currently active majors like /ES&/CL but when you hold after the volume moves to the next active month it could be a concern
On Dec 26, 2020, at 6:33 AM, Brenden Matthews notifications@github.com wrote:
Leaving this issue here as a request for comments. If I decide to get around to this, it probably won't happen for a while. Alternatively if you have a lot of money and want me to implement this, you can hire me (send me an email).
I'm considering creating a futures version of this, which would allow you to specify a leverage ratio and use futures instead of stocks or ETFs to accomplish the same thing on major indices.
The main advantages of using futures rather than ETFs are that:
they're slightly more efficient than using ETFs in most cases (i.e., lower fees) Bitcoin futures are available you can relatively easily obtain arbitrary leverage factors (up to the maximum leverage per the contract) if you have enough capital, with low costs futures are taxed at 60/40 long/short cap gains The main downside of futures are that:
the contracts are HUGE: the nominal value for the NASDAQ-100 is around $250k at the time of writing, so you'd need to set aside $250k to hold 1 contract and 20x that amount to write puts or calls option volume is not great, due to the massive size of the contracts you can never get 100% long term cap gains, you must roll the contract every quarter (or whatever the contract requires) Thoughts?
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Leaving this issue here as a request for comments. If I decide to get around to this, it probably won't happen for a while. Alternatively if you have a lot of money and want me to implement this, you can hire me (send me an email).
I'm considering creating a futures version of this, which would allow you to specify a leverage ratio and use futures instead of stocks or ETFs to accomplish the same thing on major indices.
The main advantages of using futures rather than ETFs are that:
The main downside of futures are that:
Thoughts?