What is its difference from Spot + “synthetics”?
Firstly, there is no GMKN in it, which “does not fit” into the minimum amount of 100 thousand rubles …
Secondly, since the amount on the strategy is always less than 100 thousand, so that clients do not have problems with repetition, 6 lots are traded per system and this number does not change with price changes. Why is that? Because with the “shoulder filter” turned on, volumes should increase by 1.5 times, and shorts with the “shoulder filter” turned off are 3 times less than longs. From here we get that the number of lots per system should be divisible by 6.
Thirdly, the “synthetic” on this account always consists of a short 1 contract of futures and 10 lots of a long spot. Simply because it is impossible to trade a fractional number of contracts, and 1 contract is 10 spot lots for both SBER and GAZP.
What happened? That’s what
As we can see, without February 22-25 and June 30, in terms of the ratio of Profit-drawdown, it turned out better than on Spot + Spot + “synthetics”: Profitability 10.3%, drawdown -3.6% (see the link at the beginning of the topic), and in reality, it is worse: Yield -22.8% vs. -20.7%, drawdown -36%, vs. -28.3% — the drawdown increased more than the loss increased, i.e., this cannot be explained by a simple “shoulder”.
In general, unambiguous conclusions about the advantages or disadvantages of trading with a constant number of lots compared to the calculated one from the NAV cannot be drawn from these figures.
