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Mechanical/System Trading with Statistical Edge
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Statistical Mechanics of Day Trading
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Dow Jones Industrial Average - SP500
I am using micros to create long DJI short SP500 spread. This is a swing trade. Scaling in is welcome.
Exec Time
Spread
Side
Qty
Pos Effect
Symbol
Exp
Type
Price
Order Type
Spread
8/1/2019 13:25
FUTURE
BUY
1
TO OPEN
/MYMU19
19-Sep
FUTURE
27095
MKT
15025
8/1/2019 13:25
FUTURE
SELL
-1
TO OPEN
/MESU19
19-Sep
FUTURE
3010
MKT
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