SGX Rubber TSR20

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ptan54
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SGX Rubber TSR20

Post by ptan54 » Thu Sep 11, 2014 11:11 pm

Singapore rubber TSR20, quoted in USD, is available on Interactive Brokers. Daily volume goes into the 300 - 500 range, kind of on par with lumber on CME. Backtesting also shows "good" results. Has anyone traded this contract?

I realize TOCOM rubber is a lot more liquid but Interactive doesn't cover TOCOM unfortunately. Many thanks.

Uncle Fester
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Post by Uncle Fester » Fri Sep 12, 2014 11:24 am

My system triggered an entry in Singapore Rubber a few weeks ago...

Pros:
There's plenty of OI, so the bid-ask spread stays pretty constant, and doesn't generally fish around intraday to take out stops.
It adds great diversity. In my correlation studies it stands out as being very loosely correlated with pretty much everything else. And it's for that reason why I chose to include it in my portfolio.

Cons:
The bid-ask spread is high: >1% usually
Trades are pretty thin and infrequent
Rolls are (roughly) monthly (I roll on OI, currently in X4). I haven't found it suitable to skip months and keep roll costs lower.
It's not 24hr, so an automated MOO order can be a shot in the dark.

I would suggest that any backtests have a generous "slippage %" and "roll slippage %" set in Global Parameters.

Also, CSI had the incorrect minimum tick settings up until a few months ago. They corrected it after I highlighted it, but anyone using UA would need to do a symbol refresh.

b-cat
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Post by b-cat » Fri Sep 12, 2014 12:35 pm

A few more things:

-In addition to being illiquid, TSR20 is also a small contract. While it may trade the same number of contracts as LB, a single contract is roughly 1/5th the value of LB (~40K for LB, vs. ~8K for TSR20). As such, all else equal, the number of contracts you're likely to trade would be higher in rubber than lumber.

-The liquidity is reasonably even across the first few contract months, so you may be able to split exposures across a few different expirations, if you're so inclined.

ptan54
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Post by ptan54 » Sun Sep 14, 2014 1:11 am

Thanks for the responses! Very helpful information!

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