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Modeling Maximum Trading Profits with C++ by Valerii Salov

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CHAPTER 10

Comparing Markets

Contract specifications, margin requirements, trends, the volatility of prices, and liquidity differ with each market. It is interesting to have some idea of the size of the potential profits that can be expected for different markets. This chapter will create those results.

TIME FRAME AND PRICES

In the following comparison, only one week of daily open, high, low, and settlement prices are used. This means that we cannot take advantage of intraday tick opportunities. The prices for the five business days December 19 through 23, all in 2005, were accurately retyped into text files from futures market tables in the daily issues of the Wall Street Journal. All prices are used as they are presented in the Wall Street Journal except for Treasury bonds. Bonds are quoted in thirty-seconds of a point. This means that the quote 113-09 must be translated into the decimal number 113 + 9 / 32 = 113.28125.

SELECTED CONTRACTS

In order to operate with a longer list of contracts and get a diversified test, the number of contract specification classes and the function Prices::create() were expanded (see Chapter 1). The contracts where maxprof3 and evaluate have been applied include: CH06—March 2006 corn, SH06—March 2006 soybeans, WH06—March 2006 wheat, LCG06—February 2006 live cattle, GCG06—February 2006 gold, HGH06—March 2006 copper, CCH06—March 2006 cocoa, KCH06—March 2006 coffee, SBH06—March 2006 #11 sugar, CTH06—March 2006 cotton, LBH06—March 2006 lumber, CLH06—March ...

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