Correlations - Bonds and Interest Rates Trading | futures io social day trading
futures io futures trading


Correlations
Updated: Views / Replies:930 / 9
Created: by bgrosse Attachments:1

Welcome to futures io.

(If you already have an account, login at the top of the page)

futures io is the largest futures trading community on the planet, with over 100,000 members. At futures io, our goal has always been and always will be to create a friendly, positive, forward-thinking community where members can openly share and discuss everything the world of trading has to offer. The community is one of the friendliest you will find on any subject, with members going out of their way to help others. Some of the primary differences between futures io and other trading sites revolve around the standards of our community. Those standards include a code of conduct for our members, as well as extremely high standards that govern which partners we do business with, and which products or services we recommend to our members.

At futures io, our focus is on quality education. No hype, gimmicks, or secret sauce. The truth is: trading is hard. To succeed, you need to surround yourself with the right support system, educational content, and trading mentors Ė all of which you can find on futures io, utilizing our social trading environment.

With futures io, you can find honest trading reviews on brokers, trading rooms, indicator packages, trading strategies, and much more. Our trading review process is highly moderated to ensure that only genuine users are allowed, so you donít need to worry about fake reviews.

We are fundamentally different than most other trading sites:
  • We are here to help. Just let us know what you need.
  • We work extremely hard to keep things positive in our community.
  • We do not tolerate rude behavior, trolling, or vendors advertising in posts.
  • We firmly believe in and encourage sharing. The holy grail is within you, we can help you find it.
  • We expect our members to participate and become a part of the community. Help yourself by helping others.

You'll need to register in order to view the content of the threads and start contributing to our community.  It's free and simple.

-- Big Mike, Site Administrator

Reply
 
Thread Tools Search this Thread
 

Correlations

  #1 (permalink)
Irvine
 
Trading Experience: Beginner
Platform: thinkOrSwim
Favorite Futures: ZB
 
Posts: 18 since Oct 2016
Thanks: 11 given, 33 received

Correlations

Hello all,

Do any of you know of instruments/markets that to one extent or another are correlated or inverse-correlated to the treasury bonds (ZB)? I'm aware that DX and ES often move in an inverse correlation with ZB. And SOMETIMES, GC is correlated. Just wondering if there are any others than I know about?

I know no single instrument is 100% correlated, and if it was, that would be of little use. I'm looking to compile as many of the "sometimes correlated" together to watch for confirmation of ZB movements.

Thanks!


Last edited by bgrosse; October 25th, 2016 at 02:57 PM.
Reply With Quote
 
  #2 (permalink)
Quick Summary
Quick Summary Post

Quick Summary is created and edited by users like you... Add FAQ's, Links and other Relevant Information by clicking the edit button in the lower right hand corner of this message.

 
  #3 (permalink)
Super Moderator
London UK
 
Trading Experience: Beginner
Platform: CQG
Broker/Data: S5
Favorite Futures: Futures
 
xplorer's Avatar
 
Posts: 4,851 since Sep 2015
Thanks: 12,012 given, 10,655 received



bgrosse View Post
Hello all,

Do any of you know of instruments/markets that to one extent or another are correlated or inverse-correlated to the treasure bonds (ZB)? I'm aware that DX and ES often move in an inverse correlation with ZB. And SOMETIMES, GC is correlated. Just wondering if there are any others than I know about?

I know no single instrument is 100% correlated, and if it was, that would be of little use. I'm looking to compile as many of the "sometimes correlated" together to watch for confirmation of ZB movements.

Thanks!

hi bgrosse - not sure when you say treasure bonds whether you mean only one duration, but the 5, 10 and 30 years Treasuries are all directly correlated.

As well as ES, you also have NQ that is typically inversely correlated to Treasuries.

On some days CL tends to be inversely correlated to Treasuries as well, given it goes hand in hand with ES but that's more sporadic and not as straightforward as the others I would say.

Reply With Quote
 
  #4 (permalink)
Irvine
 
Trading Experience: Beginner
Platform: thinkOrSwim
Favorite Futures: ZB
 
Posts: 18 since Oct 2016
Thanks: 11 given, 33 received

Thanks, xplorer! Yeah, I'm watching the 30 year.

I will add NQ to the mix. Thanks for the suggestion!

Reply With Quote
 
  #5 (permalink)
Miami Lakes
 
Trading Experience: Beginner
Platform: Multicharts
Broker/Data: Interactive Brokers
Favorite Futures: Emini ES
 
Posts: 19 since Oct 2016
Thanks: 2 given, 3 received

If you trade currencies, the canadian and australian dollars are a good choice, they are highly correlated, selling the outperformer and buying the underperformer any given day is almost always a sure win.

Sent using the futures.io mobile app

Reply With Quote
The following user says Thank You to alex20037 for this post:
 
  #6 (permalink)
Kyoto, Japan
 
Trading Experience: Intermediate
Platform: TW TOS LiveVol
Broker/Data: TD, TW, IB, Saxo
Favorite Futures: UVXY, VXX, VIX, /VX
 
suko's Avatar
 
Posts: 1,207 since Oct 2013
Thanks: 778 given, 1,184 received

There must be a better platform for figuring correlations than this, but I like to use TLT as a proxy for ZB and check out ETF correlations, at the bottom of this page. (I do not know how often this is updated)

ETF Chart :: ETFScreen.com

Note that as volatility increases every asset class becomes more correlated to SPY, except volatlity products, which become less correlated.

Follow me on Twitter Visit my Facebook Visit my futures io Trade Journal Reply With Quote
The following user says Thank You to suko for this post:
 
  #7 (permalink)
Kyoto, Japan
 
Trading Experience: Intermediate
Platform: TW TOS LiveVol
Broker/Data: TD, TW, IB, Saxo
Favorite Futures: UVXY, VXX, VIX, /VX
 
suko's Avatar
 
Posts: 1,207 since Oct 2013
Thanks: 778 given, 1,184 received

Also, here is a kinda cool correlation matrix for TLT from dough.com.

As the IV numbers in the row down the center diagonal increase, the green colors should get lighter and the reds fade to green.

Please register on futures.io to view futures trading content such as post attachment(s), image(s), and screenshot(s).

Follow me on Twitter Visit my Facebook Visit my futures io Trade Journal Reply With Quote
The following 2 users say Thank You to suko for this post:
 
  #8 (permalink)
New Waverly
 
 
Posts: 17 since Jan 2016
Thanks: 3 given, 8 received

MRCI's Inter-Market Correlations

That is for longer term type correlation trading. However, if you are looking for intraday correlations most platforms have a correlation coefficient study. I know sierra charts has one. If your platform does not, it is a relatively simple calculation if you use excel, matlab, wolfram alpha, etc. Plus there is a lot of information on it out there. \

How to Calculate the Correlation Coefficient

Goodluck!

Reply With Quote
The following user says Thank You to awaddle for this post:
 
  #9 (permalink)
Irvine
 
Trading Experience: Beginner
Platform: thinkOrSwim
Favorite Futures: ZB
 
Posts: 18 since Oct 2016
Thanks: 11 given, 33 received

Thanks so much for the replies, guys! These are all great resources for further exploring the correlations question.

Reply With Quote
 
  #10 (permalink)
Sydney
 
 
Posts: 1 since Oct 2016
Thanks: 0 given, 0 received


You'd want to watch crude oil (CLE) as well when any significant releases come out. Its inversely correlated and affects the 30s and ultras much more than notes and fives. Also might want to watch the NoB.

Reply With Quote

Reply



futures io > > > > Correlations

Thread Tools Search this Thread
Search this Thread:

Advanced Search



Upcoming Webinars and Events (4:30PM ET unless noted)
 

futures io is celebrating 10-years w/ over $18,000 in prizes!

Right now
 

$250 Amazon Gift Cards with our "Thanks Contest" challenge!

Right now
 

Show us your trading desks and win over $5,000 in prizes w/Jigsaw Trading

September
 

The Spirituality of Trading w/Dr Brett Steenbarger

Elite only
     

Similar Threads
Thread Thread Starter Forum Replies Last Post
Correlations and Inverse correlation ES sixsmith07 Emini and Emicro Index Futures Trading 18 September 7th, 2015 10:41 PM
Creating multi-sector correlations DarkPoolTrading Sierra Chart 2 March 18th, 2015 02:28 AM
Bund and US Treasuries-correlations between indices/currencies Keab Commodities Futures Trading 1 February 27th, 2015 01:11 PM
Evaluating correlations keymoo Reviews of Brokers and Data Feeds 1 July 6th, 2013 03:52 AM
Guest Post: The Greatest Short - Why All Correlations Are Moving To 1 Quick Summary News and Current Events 0 October 30th, 2011 06:35 PM


All times are GMT -4. The time now is 07:36 AM. (this page content is cached, log in for real-time version)

Copyright © 2019 by futures io, s.a., Av Ricardo J. Alfaro, Century Tower, Panama, +507 833-9432, info@futures.io
All information is for educational use only and is not investment advice.
There is a substantial risk of loss in trading commodity futures, stocks, options and foreign exchange products. Past performance is not indicative of future results.
no new posts