Cable Cost Basis Reduction

Exec Time	Spread	Side	Qty	Pos Effect	Symbol	Exp	Strike	Type	Price	Order Type
10/5/2016 10:09	SINGLE	SELL	-1	TO OPEN	FXB	18-Nov-16	127	CALL	0.8	LMT
10/5/2016 10:09	FUTURE	BUY	1	TO OPEN	/M6BZ6	16-Dec		FUTURE	1.275	MKT
10/4/2016 9:11	FUTURE	BUY	1	TO OPEN	/M6BZ6	16-Dec		FUTURE	1.2776	MKT

+$350 F7 Crack Spread

Exec Time	Spread	Side	Qty	Pos Effect	Symbol	Exp	Strike	Type	Price	Order Type	Crack
10/5/2016 9:55	FUTURE	SELL	-1	TO CLOSE	/CLF7	17-Jan		FUTURE	50.71	MKT	11.03
10/5/2016 9:55	FUTURE	BUY	1	TO CLOSE	/RBF7	17-Jan		FUTURE	1.47	MKT
10/4/2016 10:33	FUTURE	BUY	1	TO OPEN	/CLF7	17-Jan		FUTURE	50.09	MKT	11.3896
10/4/2016 10:33	FUTURE	SELL	-1	TO OPEN	/RBF7	17-Jan		FUTURE	1.4638	MKT

Long GBP

Exec Time	Spread	Side	Qty	Pos Effect	Symbol	Exp	Strike	Type	Price
10/4/2016 9:11	FUTURE	BUY	1	TO OPEN	/M6BZ6	16-Dec		FUTURE	1.2776

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Short F7 Crack Spread

Exec Time	Spread	Side	Qty	Pos Effect	Symbol	Exp	Strike	Type	Price	Crack
										11.3896
10/4/2016 10:33	FUTURE	BUY	1	TO OPEN	/CLF7	17-Jan		FUTURE	50.09
10/4/2016 10:33	FUTURE	SELL	-1	TO OPEN	/RBF7	17-Jan		FUTURE	1.4638

+$200 SP500 Short

Exec Time	Spread	Side	Qty	Pos Effect	Symbol	Exp	Strike	Type	Price
10/3/2016 15:01	SINGLE	BUY	1	TO CLOSE	/ESZ6 1/50 OCT 16 (EOM)	/EWV6	2200	CALL	4.75
9/14/2016 11:09	SINGLE	SELL	-1	TO OPEN	/ESZ6 1/50 OCT 16 (EOM)	/EWV6	2200	CALL	9

VIX AutoCorrelation

DayTrading Algo

Below is a virtual One Side DayTrading robot tested on SPX.  
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Rules 

1. Every trading day: If no position open SPX position at the end of the trading day. 2. Next day close the position if losses > 0.25%. ----------------------------------------------------------------------------------------
	LONG					SHORT
year	% change	drawdown	win/loss ratio		year	% change	drawdown	win/loss ratio
2005	14.16	-1.60	0.65		2005	1.97	-1.77	0.4
2006	17.26	0.35	0.68		2006	-4.49	-5.3	0.43
2007	31.34	-1.30	0.54		2007	25.7	-2.6	0.45
2008	51.61	-7.10	0.26		2008	99.05	-0.26	0.35
2009	57.07	-2.65	0.39		2009	52.95	-0.67	0.31
2010	39.13	-1.70	0.52		2010	21.76	-1.1	0.37
2011	55.32	-1.30	0.54		2011	61.12	-0.65	0.45
2012	25.88	-1.09	0.53		2012	10.77	-5.08	0.47
2013	30.43	-0.42	0.79		2013	2.97	-2.72	0.47
2014	21.81	-0.75	0.65		2014	0.03	-3.03	0.38
2015	33.40	-0.52	0.53		2015	37.94	1.07	0.63
2016	16.62	-3.16	0.52		2016	18.02	-0.26	0.57