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Cmefutures

Celestial Pair Spread Hello friends, after a very long time! Today, I tried to put into code an idea that came to my mind spontaneously and suddenly. Note : This script is experimental and improvable. I haven't had a chance to try it yet. TIMEFRAME : 1D (Daily Bars) CELESTIAL SPREAD The spread moves in a very limited area and is consistent within itself, especially on days far from the end of the contract. That's why there is a reassuring sky atmosphere. That's why this name was given completely improvised. Basic logic of the script We enter the name of the CME Futures contract we want to enter: Ex : CL1! , ES1! , ZC1! , NQ1! The script creates us a pair trade parity divided into secondary contracts. Example : ES1!/ES2! What is pair trading? I will explain briefly here. For users who are wondering: www.investopedia.com Let's get back to our topic. Now we have created a parity that does not actually exist. This parity is the manifestation of the relative movements of two contracts. When the parity rises, ES1! increased,ES2! has fallen. In the opposite case, We can say: ES1! Contract has been dropped ES2! has increased. Pair trading is generally a trade that needs to be kept in mind from time to time. It is a method preferred by professionals who can process very quickly. Market risk is minimal, but since 2 contracts are purchased, more money is paid and very low percentage profits are made. It is very expensive to do pair trading, especially with oil and its derivatives and interest security derivatives. The contract we are considering has micros. (small-item contracts tied to the same value) So when we switch to our broker MES1!/MES2! We will trade. For all CME futures : www.cmegroup.com Anyway, let's continue: The script created the parity showing its relationship with the next contract and plotted it as bars. Celestial bands are just like Bollinger bands, but they consist of 3 bands based on percentage changes rather than standard deviation. The middle band is obtained from moving averages. The upper and lower bands are the middle band subjected to a threshold value. The threshold value can be changed. 0.15 percent was charged for this script. CAUTION : As can be seen in the example below; The most important thing is not to make any transactions when the contract switch dates are approaching. Therefore, it is recommended to use it just below the main chart. The blue bars in the parity are Values ​​that outside the upper and lower threshold values ​​are colored blue. For this condition Alerts has been added. Don't forget to add alert and edit. MAIN PURPOSE It is aimed to start a pair trade when such conditions come and to quickly close the trades when the parity basis reaches the value. OTHER IMPORTANT POINTS Other issues are broker related issues. Difference between initial margins and maintanence margins of contracts (between 1! and 2!) It shouldn't be too high. The commission should not be too high. Leverage must be high because the profit percentage is very low. To calculate leverage you must divide your contract size by the relevant margin requirement. Sample margin requirement table: www.interactivebrokers.com RISKS It is an experimental and intellectual script, the risk of contract price differences (maybe it will not leave a profit except for very extreme values) I remind you of the quickness risk that comes from a two-legged trade. Alerts definitely synchronized with an audible alert sent to a smartphone as an e-mail notification and displayed on the locked screen for quick action. Best regards!
Pine Script™ indicator
by Noldo
2
iGapFinderHi everybody! I decided to release this script to help traders keeping track of market gaps on the CME. The script works in general for any market and at any timeframe. The script allows the user to: - Identify price gaps of a customized amplitude (Gap Width) - Compute the probabilities of filling them (specific for bullish and bearish gaps or cumulative) - Visualize gaps on the chart through red and green price areas. - Visualize the last N unfilled bullish and bearish gaps together with their time of creation.
Pine Script™ indicator
by iCryptoScalper
2
Bitcoin CME Retail vs Professionals MACD This is an interesting study using the data provided by the Bitcoin CME Commitment of Traders report. The MACD plot the difference between the Retail Traders positions and the Professional Traders positions. The general idea is that Professional Traders have a better read on the market than Retail Traders. The signal line helps to identify the trend that it is moving in. I believe that this plot helps to visualize the overall market sentiment better than the raw COT data. Try it out and let me know what you think!
Pine Script™ indicator
by AzureKn1ght
1
Gap Trading Strategy: CME BitcoinI created a strategy which finds gaps on CME Futures market for Bitcoin, BTC1! and opens a long or short position on the crypto exchange depending on what kind of gap was found (up or down) on CME. Up gap: today open price > previous day high price Down gap: today open price < previous day low price Two lines below the main chart show when gaps appear. The green line represents the size of up gaps, when it crosses zero it gives a long signal. The red line - represents the size of down gaps, when it crosses zero - short signal. Instead of having to look between multiple charts, this simply overlays the past weeks open and close should a gap appear. Usage: Strategy flips long / short depending of indicator signals. It could cut the position by stop loss or take profit. Features: ability to set stop loss and take profit in % ability to set delta for gaps (if you want to filter small ones) ability to choose strategy type. Standart: Long Up/Short Down || Inverse: Short Up/Long Down. Backtesting: Backtested on BTCPERP ( FTX ) and XBTUSD (Bitmex). It shows a low drawdown, a small number of trades and 50% of profit for the 2020. For example, I set high delta for down gaps to filter small ones Strategy doesn't repaint.
Pine Script™ strategy
by Bitduke
Futures APRFutures basis % for any ticker. Requires: an index to compare against, the futures ticker, and the expiration year/month/day/hour. Optional second ticker to compare with. Example explanation using bitcoin futures: For Deribit, their futures expire at 0800UTC and the ticker will show the date of expiration. For example, BTC27H20's expiration is the 27th of March, 2020, at 0800UTC. For BitMEX, their futures expire at 1200UTC and have the same expiration dates. www.deribit.com "3 and 6 months quarterly of the March, June, September, December cycle; Quarterly futures expire the last Friday of each calendar quarter at 08.00 UTC." www.bitmex.com Archived page here: archive.is "This contract settles on the .BXBT30M Index value as of the Jun 26, 5:00 AM (12:00:00 PM UTC)." Once the June 2020 contract does expire you can always replace "XBTM20" with the currently running contract. Notes on futures charts that never expire: For OKEx, their futures charts are continuous, meaning that the indicator's values won't be accurate past prior expirations. This will be the same for other continuous futures charts such as BTC1!. This is because they are displaying previously expired contracts combined together.
Pine Script™ indicator
by NeoButane
2
CME Equity Futures Price Limits Breakers for CME's futures contracts. Should work on CST/EST/UTC charts. CME says it uses the last 30 seconds of the session to grab a reference price, so I took the open of the last session's candle because it's easier. Out of session breakers: +/-5% Limit downs: -7%/-13%/-20% There are some minor nuances for the later part of the NY session but I don't really care to add that in right now. Options: - Input a manual reference price to override the selected price for accuracy. - Show only the current/last session's limits. This breaks the in session limit down lines. Live prices: www.cmegroup.com Month codes: www.cmegroup.com Reference: www.cmegroup.com It's best to check the last updated reference price to ensure it's correct.
Pine Script™ indicator
by NeoButane
3