NexusFi: Find Your Edge


Home Menu

 





Synthetic Commodities Market


Discussion in Commodities

Updated
    1. trending_up 2,644 views
    2. thumb_up 3 thanks given
    3. group 1 followers
    1. forum 7 posts
    2. attach_file 0 attachments




 
Search this Thread

Synthetic Commodities Market

  #1 (permalink)
 ausstone 
Miami, FL / USA
 
Experience: Intermediate
Platform: MultiCharts
Trading: Futures, Forex
Posts: 14 since Feb 2013
Thanks Given: 0
Thanks Received: 2

I was looking into trying to reduce market noise for strategy development and I read the best way to do that is to create a synthetic index market, such as (Gold + Silver + Platinum). In your guys opinion what do you think the best formula for creating this market? its not as simple as Gold + Silver + platinum due to the way they move and silver being drastically different in price.

any suggestions or pointers?

thanks

Started this thread Reply With Quote

Can you help answer these questions
from other members on NexusFi?
Exit Strategy
NinjaTrader
Better Renko Gaps
The Elite Circle
The space time continuum and the dynamics of a financial …
Emini and Emicro Index
My NT8 Volume Profile Split by Asian/Euro/Open
NinjaTrader
NexusFi Journal Challenge - April 2024
Feedback and Announcements
 
Best Threads (Most Thanked)
in the last 7 days on NexusFi
Get funded firms 2023/2024 - Any recommendations or word …
61 thanks
Funded Trader platforms
38 thanks
NexusFi site changelog and issues/problem reporting
27 thanks
GFIs1 1 DAX trade per day journal
18 thanks
The Program
18 thanks
  #3 (permalink)
 
Big Mike's Avatar
 Big Mike 
Manta, Ecuador
Site Administrator
Developer
Swing Trader
 
Experience: Advanced
Platform: Custom solution
Broker: IBKR
Trading: Stocks & Futures
Frequency: Every few days
Duration: Weeks
Posts: 50,397 since Jun 2009
Thanks Given: 33,173
Thanks Received: 101,537


Define "market noise" and elaborate on exactly what your goals are for the synthetic product.

Mike

We're here to help: just ask the community or contact our Help Desk

Quick Links: Change your Username or Register as a Vendor
Searching for trading reviews? Review this list
Lifetime Elite Membership: Sign-up for only $149 USD
Exclusive money saving offers from our Site Sponsors: Browse Offers
Report problems with the site: Using the NexusFi changelog thread
Follow me on Twitter Visit my NexusFi Trade Journal Reply With Quote
  #4 (permalink)
 ausstone 
Miami, FL / USA
 
Experience: Intermediate
Platform: MultiCharts
Trading: Futures, Forex
Posts: 14 since Feb 2013
Thanks Given: 0
Thanks Received: 2

market noise:
the actual definition is to complex for me to try to explain but a simple example is if you take Gold and Silver and create an index and for example you have a 1min bar that goes up on GC and a 1 min SI bar that goes down on the same 1 min bar a properly scaled index should be able to take that into consideration and create a chart that is less noisy than looking at two separate charts. add three or four commodities and the less noisy it can get.

goals :
the easiest way would be to compare it to something like the S&P 500 except with a few commodities and not stocks. To combine stock its much easier but with futures you have big point value/ contract size and price to try to figure out how to properly create a synthetic market.

So my end goal would be a index where when the strategy buy's 1 contract of it, in reality its buying 1 GC 2 SI and 1 PL or what ever the current sizing would be.

so the question being how to properly create the index when it comes to commodities.


Big Mike View Post
Define "market noise" and elaborate on exactly what your goals are for the synthetic product.

Mike


Started this thread Reply With Quote
Thanked by:
  #5 (permalink)
 ausstone 
Miami, FL / USA
 
Experience: Intermediate
Platform: MultiCharts
Trading: Futures, Forex
Posts: 14 since Feb 2013
Thanks Given: 0
Thanks Received: 2

one idea might be:

NewIndex = Gold + (Silver * beta)



Big Mike View Post
Define "market noise" and elaborate on exactly what your goals are for the synthetic product.

Mike


Started this thread Reply With Quote
  #6 (permalink)
 
Big Mike's Avatar
 Big Mike 
Manta, Ecuador
Site Administrator
Developer
Swing Trader
 
Experience: Advanced
Platform: Custom solution
Broker: IBKR
Trading: Stocks & Futures
Frequency: Every few days
Duration: Weeks
Posts: 50,397 since Jun 2009
Thanks Given: 33,173
Thanks Received: 101,537

I've also created synthetic products, but I wouldn't say it was to eliminate noise exactly.

One reason is to actually trade the synthetic product, if it's made up of 3 other products you scale and weight them and then when a signal is produced on the synthetic you take positions in the underlying accordingly.

Is this what you are trying to accomplish? Will you take both a gold and a silver position in your example, or are you interested in using this synthetic product as some sort of "filter" where you would take only a position in one product?

Mike

We're here to help: just ask the community or contact our Help Desk

Quick Links: Change your Username or Register as a Vendor
Searching for trading reviews? Review this list
Lifetime Elite Membership: Sign-up for only $149 USD
Exclusive money saving offers from our Site Sponsors: Browse Offers
Report problems with the site: Using the NexusFi changelog thread
Follow me on Twitter Visit my NexusFi Trade Journal Reply With Quote
Thanked by:
  #7 (permalink)
 ausstone 
Miami, FL / USA
 
Experience: Intermediate
Platform: MultiCharts
Trading: Futures, Forex
Posts: 14 since Feb 2013
Thanks Given: 0
Thanks Received: 2

it will be used as an index where if a signal is made then the underlying will be bought or sold according to the proper size.




Big Mike View Post
I've also created synthetic products, but I wouldn't say it was to eliminate noise exactly.

One reason is to actually trade the synthetic product, if it's made up of 3 other products you scale and weight them and then when a signal is produced on the synthetic you take positions in the underlying accordingly.

Is this what you are trying to accomplish? Will you take both a gold and a silver position in your example, or are you interested in using this synthetic product as some sort of "filter" where you would take only a position in one product?

Mike


Started this thread Reply With Quote
Thanked by:
  #8 (permalink)
 
Big Mike's Avatar
 Big Mike 
Manta, Ecuador
Site Administrator
Developer
Swing Trader
 
Experience: Advanced
Platform: Custom solution
Broker: IBKR
Trading: Stocks & Futures
Frequency: Every few days
Duration: Weeks
Posts: 50,397 since Jun 2009
Thanks Given: 33,173
Thanks Received: 101,537


ausstone View Post
it will be used as an index where if a signal is made then the underlying will be bought or sold according to the proper size.

I cannot offer any advice, I've played with this idea but never followed thru with it in live trading due to a long list of "wish list" items that I never seem to have time to get to.

But keep us posted on your findings, because I do believe this has value.

Mike

We're here to help: just ask the community or contact our Help Desk

Quick Links: Change your Username or Register as a Vendor
Searching for trading reviews? Review this list
Lifetime Elite Membership: Sign-up for only $149 USD
Exclusive money saving offers from our Site Sponsors: Browse Offers
Report problems with the site: Using the NexusFi changelog thread
Follow me on Twitter Visit my NexusFi Trade Journal Reply With Quote




Last Updated on November 3, 2013


© 2024 NexusFi™, s.a., All Rights Reserved.
Av Ricardo J. Alfaro, Century Tower, Panama City, Panama, Ph: +507 833-9432 (Panama and Intl), +1 888-312-3001 (USA and Canada)
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.
About Us - Contact Us - Site Rules, Acceptable Use, and Terms and Conditions - Privacy Policy - Downloads - Top
no new posts