RTS

RTS + MICEX

Some non-trend day. All four are negative.

There were no signals on the MICEX. In portfolio only “Gazprom ao”

RTS Index Futures

As already mentioned, the first trade was opened in my absence. When I returned, the price ran away due to the lack of a stop.

Notes of a Newcomer to RTS Index Futures. Part 1. Backpack collection.

Well, since there is WLD6 with schedules from Finam and a residence permit in the Russian Federation, it is a sin not to trade futures on the RTS index if it is so popular among Russian traders. In fact, I have an abandoned trading account at VTB24 bank, in which a small portfolio of shares was purchased somewhere in 2005 year. But looking more closely, found that there were no futures in my account — probably they opened an account for me only for the MICEX, but not sure exactly — at least, apart from the MICEX instruments, I did not find anything in the terminal, although in fact in this terminal the devil himself will break his head…. Apparently you will have to open an account somewhere else. Basically, I don't need a terminal — I need a window where I could enter orders and press the OK button and to show the position and profit or loss in real time and nothing else. I tried to download Kvik for Juniors some time ago — well that's something — after American simple and logical terminals, this is too hard for me, especially the abundance of specialized Russian scientific and commercial words, the meaning of which I do not know. Therefore, it would be necessary to choose a broker with a simple and logical terminal or a simple web interface..

here you go, if you trade futures on the RTS index, first you need to familiarize yourself with how it trades. We open the FORTS website and immediately see the trading time schedule — it is very important:

Duration of a trading session on the FORTS futures and options market with 10:00-18:45, 19:00-23:50 MSC

One inconvenience — too early to get up — aj k 10:00. :(

Farther, looking for the specification of the RTS index futures. Important parameters:

Code in the trading system RIZ0
The amount of the underlying asset in the contract 1
Last day of treatment 15.12.2010
Guarantee provision (GO, rub.) 7 942,57 — this, I understand so, analogue of collateral margin, on American exchanges. I.e, to buy 1 RTS Index futures contract, must have at least 7 942,57 rubles on the trading account.
Price step 5
Price step cost 3,04363
but, I guess, it is a variable, since they write the following:
The cost of the minimum step of the Contract price corresponds to 10 % from the US dollar against the Russian ruble
I.e, I understand so, today the cost of the price step 3,0463, maybe tomorrow, for example 3,0111

here you go, perhaps all you need to know, before you start playing the RTS Index futures. Who's not on FORTS yet, start with me!!!!!!!! :)
The next step is to choose a broker for this business. :)

Portfolio of Russian Shares

For interest, I decided to calculate the profitability of a small portfolio of Russian stocks, who bought and forgot. I have it with 2005 of the year. A large share was occupied by RAO, which then broke up into several components.

So here, portfolio during this time has grown in 3 Times, доходность за 5 years, at the moment, is about +200% or about +25% in year. For comparison, the RTS index during this time increased by 130% or 19% in year.

Systems for stock indices.

Here is an example of a well-known system for SP500 futures., which is impeccable, brought profit almost without drawdown 10 years, from about 1985 to 1995 of the year. Then something changed in the market and the end of the system, and very unexpected and cruel for those, who believed that this was just a temporary drawdown.

I heard that any trend system also earns on the RTS futures. Think, you should be careful and watch the market closely so as not to miss a moment, when there are no housewives left who do not trade futures on the RTS according to the trend system on hourly timeframes :)

Joe Krutsinger for the Russian market

Continuing the previous topic, we can say that its systems do not work for western markets, but for Gazprom and futures on the RTS on H1 it is quite suitable. True, I have incomplete data on these tools. — absent for 2009 year, but it's also better — check on 2009 as out of sample :)

Yes, completely forgot — this system is called “Time Any”. Here is her code for WealthLab4:

——————————————–
was Bar, p: integer;
PlotSeries( HighestSeries( #High, 5 ), 0, #Red, #Thin );
PlotSeries( LowestSeries( #Low, 5 ), 0, #Blue, #Thin );

for Bar := 20 to BarCount – 1 do
begin
if LastPositionActive then
begin
p := LastPosition;
if PositionLong( p ) then
begin
if LastBar( Bar ) then
SellAtClose( Bar, p, ‘EOD’ )
else
SellAtStop( Bar + 1, Lowest( Bar, #Low, 5 ), p, ‘Stop’ );
end;
if PositionShort( p ) then
begin
if LastBar( Bar ) then
CoverAtClose( Bar, p, ‘EOD’ )
else
CoverAtStop( Bar + 1, Highest( Bar, #High, 5 ), p, ‘Stop’ );
end;
end
else
begin
if not LastPositionActive then
begin
if (PriceHigh(bar) – PriceLow(bar)) < ATR(bar, 10) then
BuyAtStop( Bar + 1, Highest( Bar, #High, 5 ), ” );
end;
if not LastPositionActive then
begin
if (PriceHigh(bar) – PriceLow(bar)) < ATR(bar, 10) then
ShortAtStop( Bar + 1, Lowest( Bar, #Low, 5 ), ” );
end;
end;
end;
—————————————————

Stock ticker

Ticker (English. ticker symbol) - short name of quoted instruments (Shares, bonds, indices) in stock information. Is a unique identifier within one exchange or information system. Used for that, so as not to constantly print in the bulletins the full name of securities or other objects of trade. A short name is usually one to six characters long and is assigned to a security when it is listed. Capital letters of the Latin alphabet are traditionally used.. These are usually abbreviations or short names. (International Business Machines — IBM), abbreviations or truncations of names (Microsoft — MSFT, RAO UES of Russia - EESR). Numeric and alphanumeric tickers are commonly used on Asian exchanges, adapted for international trade. For example, Toshiba ticker on the Tokyo Stock Exchange - 6502.

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