Futures contract selection · TradersWeek

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Output: Market-regime classification
Input: Cross-market prices, volatility, carry and portfolio weights
Horizon: Weeks to months
Best use: Put a single trade into a diversified or regime-aware context.

Input: Cross-market prices, volatility, carry and portfolio weights.
Output: market-regime.
Use boundary: Put a single trade into a diversified or regime-aware context.

The archive

Where the method has been read

Read in the archive24 of 91 readings

1988Classifying primary futures for regime-aware tradesIntermarket and spreads 1990Synthetic option parity in limit-locked futuresOptions and volatility 1992Portfolio beta overlays with index futures and putsPortfolio construction 1992Sizing index futures to retarget portfolio betaPortfolio construction 1996Match a technology position to an index-proxy, then to a listed futures contractPortfolio construction 2002Single-stock futures: contract selection and the margin boxOptions and volatility 2002Single-stock futures as a month, margin, and hedge overlayIntermarket and spreads 2002Selecting the single-stock future as the short-sale switchOptions and volatility 2002Multiplier, margin, and stop discipline on cash-settled index minisSizing and leverage 2002Single-stock futures and the sleeve that belongs on the ticketOptions and volatility 2004Capping futures leverage to intended share exposureSizing and leverage 2006A commodity sleeve is a contract-design choiceIntermarket and spreads 2007Ethanol futures liquidity lagged the policy boomLiquidity and costs 2008Placing early 2008 grain futures on a historical range mapIntermarket and spreads 2010Relative liquidity ranking for futures contract selectionLiquidity and costs 2010Currency futures versus forex on spread, margin, and microsLiquidity and costs 2010A liquidity filter for executable futures contract selectionLiquidity and costs 2010Screening futures by liquidity, open interest, and equal-dollar sizeLiquidity and costs 2010Ranking futures liquidity for executable contract choiceLiquidity and costs 2010Choose mini or standard futures before the first fillSizing and leverage 2010Liquidity and open interest screens for futures selectionLiquidity and costs 2010Ranking futures by open interest and equal-dollar liquidityLiquidity and costs 2011Liquidity filter for futures contract selectionLiquidity and costs 2011Dollar travel, afternoon sessions, and a 1:2 first-loss bound in equity-index futuresIntermarket and spreads

This registry entry describes a research method. It is not investment advice and does not make a performance claim.