Strategy based on 30 minute moving average cross of GEM11
GE1YR SPREAD
trades + 1.28
Mar 10 - buy 6 GEM0/sell 6 GEM1 at + 1.19
Mar 8 - sell 6 GEM0/buy 6 GEM1 at + 1.22
Mar 4 - buy 6 GEM0/sell 6 GEM1 at + 1.20
Mar 4 - sell 6 GEM0/buy 6 GEM1 at + 1.20
Strategy based on daily moving average cross
ZBM0 30yr vs GEZ2
trades 1.29
Mar 10 - Buy 1 ZBM0/ sell 5 GEZ2 at 1.36
Mar 9 - sell 1 ZBM0/ buy 5 GEZ2 at 1.37
Mar 8 - Buy 1 ZBM0/ sell 5 GEZ2 at 1.36
Feb 23 - sell 1 ZBM0/ buy 5 GEZ2 at 1.18
ZNM0 10yr vs GEZ2
trades .53
Mar 8 - Buy 2 ZNM0/ sell 7 GEZ2 at .58
feb 23 - sell 2 ZNM0/ buy 7 GEZ2 at .44
Strategy based on daily moving average cross
ZNM0 - SRM0 10yr Swap spread
trades 15 29 /32's
Feb 22 - sell 5 ZNM0/ buy 5 SRM0 at 16-11, Mar 4 exit at 15-28
ZFM0 - SAM0 5yr Swap spread
trades 10 2/32's
feb 23 - sell 5 ZFM0/ buy 5 SAM0 at 10-17/32's,
Jun10 FedFund - Jun10 Euro$
trades .18
Mar 11 - buy 5 ZQM10/sell 8 GEM10 at .175,
Mar 4 - buy 5 ZQM10/sell 8 GEM10 at .17,Mar 9 exit at .155