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Correlation between index futures
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Correlation between index futures

  #11 (permalink)
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josh View Post
Sounds way too complicated for a simpleton like me.

not everyone is willing to do the homework I guess...

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sysot1t View Post
not everyone is willing to do the homework I guess...

I'm willing to do lots of homework, that's why I'm at my trading desk since earlier today. I just don't prefer this type of market analysis. It's overly complicated in my opinion, and may yield good results, but it's not my style. I tend to overthink things as it is, and this would not help me. If you knew anything about me, you wouldn't imply that I'm not willing to do the work. Keep your judgments to yourself, and if you're going to judge, come right out and say it.

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josh View Post
I'm willing to do lots of homework, that's why I'm at my trading desk since earlier today. I just don't prefer this type of market analysis. It's overly complicated in my opinion, and may yield good results, but it's not my style. I tend to overthink things as it is, and this would not help me. If you knew anything about me, you wouldn't imply that I'm not willing to do the work. Keep your judgments to yourself, and if you're going to judge, come right out and say it.

first, you are right, I dont know you.. dont have a clue who you are.. etc... also, you are making an assumption that i was passing judgement on you... when I was not... because as I said, I dont know you, dont have a clue as to who you are, what you are all about, etc.

let's look at your answer..


josh View Post
Sounds way too complicated for a simpleton like me.

it doesnt convey that you are hard working, or that you spend much time doing homework to prepare for your trading day on monday, etc... it merely screams... "I dont want to do homework"... which is why I stated very simply... based on your reply... that I guess not everyone is willing to do homework... which btw, isnt it true? how many threads or posts are in this forum about finding the "magic" indicator? go figure...

as an FYI... passing judgement on your would have been more along the lines of:

"that is exactly what is wrong with traders today, people like you that are unwilling to do homework or put in the hard work"

that would have basically judged you to be lazy...

now, because I dont know you, and have no idea why you are making that statement, is that I stated what I did in very generic terms... not sure how you believe that is passing judgement on you... but I would say that based on your reaction, perhaps you need to look inwards, as I assume that your jump to "I am being judged" might have to do with insecurities.. and please note that I am clearly stating that I am making an assumption, which is based on my experience when dealing with individuals that jump to that conclusion, as I once would have done long, long ago..

now, back to your statement... if you had stated instead:

"Sounds way too complicated for a simpleton like me. I don't prefer this type of market analysis. It's overly complicated in my opinion, and may yield good results, but it's not my style."

then I would have responded, plain and simple: "it is not for everyone, but it enables you an understanding of the markets from a different view"...

if you knew me personally, you would realize that what you said in the end, to come out and say things, is what I do and what I believe everyone should do... I dont really pay much attention to feelings (others or my own) as I prefer to have honesty and truth about all things when it comes to communications... there is enough conflict in the world created from people following the school of SMU (shit made up) in their heads due to missunderstanding one another.. (just my belief)..

in any event, you claim performing correlation and covariance calculations to be complicated, when in fact.. it is not. Yes, it does requires some effort to be put in at the beginning to setup things, but once done.. it is as simple as updating the time series, and it will help you stay on the right side of the markets if you have an understanding of how they are all related(or not)...

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Correlation? See for yourself.

Ninjatrader can plot multiple data series on one chart. If all are time based, the bars will be equally spaced and the chart will be usable.

It is well known that there is an extreme amount of correlation between almost all asset classes in the current pathological market climate. Instead of empty pontification and blowing of hot air based on nothing, those who responded on this thread would do well to plot multiple instruments on a time based chart and see the correlations for themselves.

Don't forget Treasury Bonds, the log of the TRIN, and the Dollar Index, which move inversely to equities.


Last edited by Zondor; October 8th, 2011 at 08:51 PM.
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josh View Post
Sounds way too complicated for a simpleton like me.

We all like complicated.

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Zondor View Post
Ninjatrader can plot multiple data series on one chart. If all are time based, the bars will be equally spaced and the chart will be usable.

It is well known that there is an extreme amount of correlation between almost all asset classes in the current pathological market climate. Instead of empty pontification and blowing of hot air based on nothing, those who responded on this thread would do well to plot multiple instruments on a time based chart and see the correlations for themselves.

Don't forget Treasury Bonds, the log of the TRIN, and the Dollar Index, which move inversely to equities.

hmmm... ok... so here is the thing with that argument, it lacks a solid foundation... for example... lets take what you stated, 30 Year vs S&P500, which have a negative correlation... there will be times intraday(and daily) during which said correlation wont be as strong as you paint it to be... so if I went by your argument I would blindly buy one/sell the other without much thought.. and then wonder why all of the sudden I might be losing on both trades.

anyhow, yes.. one can try and use timebased bars and compare both to determine correlation, but that is the simple way that doesnt really communicate anything of actual value (statistically speaking) which will tend to get someone in trouble when trying to execute...

besides that.. not sure why you think those responding on this thread "are blowing hot air"... thus far, your argument about what is strongly correlated is rather flawed.. so go figure why you would jump into the conversation the way you are doing, without adequate foundation to your statement..

in any event, I might just be blowing hot air as well.. so anyone reading this, should just ignore it if they think so...

PS. The chart shows US vs ES 5m time series with the light gray boxes showing how there is a breakdown in correlation, more than once.. and that is from just looking at the chart ... the other figure is an application i use to quickly determine and find spreads I might want to investigate..

Attached Thumbnails
Correlation between index futures-usvsescorr.png   Correlation between index futures-usvses.png  

Last edited by sysot1t; October 9th, 2011 at 12:33 AM.
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Thank you for your specious omniscience...


Quoting 
so here is the thing with that argument, it lacks a solid foundation...


Oh, really now?

Attached Thumbnails
Correlation between index futures-ym-12-11-31-seconds-10_7_2011.jpg   Correlation between index futures-cl-trin.jpg   Correlation between index futures-cl-zb.jpg  

Last edited by Zondor; October 9th, 2011 at 01:41 PM.
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Zondor View Post
Oh, really now?

I fail to see how my argument is superficial.. once more... I provided actual/factual data.. not just comparing a chart and allowing the eye to "view" it to gauge it.. but actually % of correlation, what the spread was worth, the ratio, etc... i even did the same thing you did, posted charts..

if there is "extreme correlation", please document it.. dont just show me a chart that anyone can pull up and claim anything they want.

also, when did I said I knew everything? I think you are now wasting my time with rather foolish replies to a valid argument.. so unless you got something more solid.. I will just move on...

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Zondor View Post
It is well known that there is an extreme amount of correlation between almost all asset classes in the current pathological market climate.

Thanks for the post Zondor. Though markets are correlated, some at times more tightly or loosely than others, this really only helps us if one market at some time is "leading"; is that correct in your view?

* For example, even though on a chart two markets may be moving together, this can only help us if one provides a heads up as to how we can expect the other to respond, correct? This has always been my challenge with multiple markets. Can you provide any direction as to how to use one market to make decisions on another market?

* And, if I see one market turning, for example, would it not be just as good to simply take a trade in that market? In other words, why involve another market, if I have a good read on one to begin with?

Thanks for any insight you can provide with these basic questions.

I suppose in the end that it's a case of putting the charts up, and watching them move together. However, in case there are any general rules that may guide my learning on this, I thought I would ask. Thanks and have a great day!

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Correlation? What correlation?


Kindly entertain my assertions that the correlations on the charts I posted are indeed useful in short timeframe trading. However to support my earlier statement about well known extreme correlations of almost everything, I offer the following references, based on an exhaustive search that took about five minutes.


Stock Correlations Soar To 97.2%: Here's Why | ZeroHedge

Hailing All Correlation Freaks: UBS' John Clemmow Provides A Surprising Explanation For Surging Correlations: China | ZeroHedge

As Stock And Sector Correlation Hits Fresh 20 Year Highs, Here Is Who Is Benefiting | ZeroHedge


The Definitive S&P-IG-VIX Time Series, Cross Asset Arb Chart | ZeroHedge

Charting The ETF And HFT-Derived Record Correlation Bubble | ZeroHedge

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