Single Stock Futures

Discussions about the testing and simulation of mechanical trading systems using historical data and other methods. Trading Blox Customers should post Trading Blox specific questions in the Customer Support forum.
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Chelonia
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Single Stock Futures

Post by Chelonia » Tue Jan 22, 2019 1:50 pm

Evening All,

Does anyone has experience with testing/trading Single Stock Futures? Looking to build a SSF system for further diversification if testing pans out. I downloaded the SSF from One Exchange on CSI but volume doesn´t seem that great. I would appreciate your input. Thank you so much.

jklatt
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Re: Single Stock Futures

Post by jklatt » Sun Mar 17, 2019 1:51 am

I’ve looked into it. Never traded SSF at One Chicago, but I came to the same conclusion you did: anemic volume (which also appears to be declining year over year too).

A few questions:

Why SSF and not the underlying securities? Do you need leverage above and beyond what a margin account offers? Do you need to put leverage into a retirement account?

Have you looked at SSF listed on Eurex. Volumes seem to be growing over there, but there still isn’t much volume on US securities.

Chelonia
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Posts: 523
Joined: Mon Apr 30, 2007 3:37 pm

Re: Single Stock Futures

Post by Chelonia » Tue Mar 19, 2019 5:19 am

Thanks for your reply jklatt.

Have a listen to this episode in which Jerry Parker talks SSF and how he trades them.

https://www.toptradersunplugged.com/sys ... series-26/

I´m not convinced in what he says. Obviously you can´t test on SSF data due to lack of liquidity/insufficient data, so I guess you have to test the stocks themselves which is what I´m going to do, and stay away from SSF

Putting in bids and offers to wait for a fill like Jerry describes makes me uncomfortable. If the system wants me to get out, I want to get out asap, especially on losing trades.

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