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Correlation between index futures
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Correlation between index futures

  #21 (permalink)
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ok.. if you say so... go ahead and blindly try it.. I wish you success..

btw, posting others work as "substance" to your argument just says that one does not have a grasp on the concept and cant provide one's own work substantiating the argument.. IMO of course.. and also, the articles prove my argument as well.. but it doesnt really matter I guess..

this is now officially boring to me... so I will just unsubscribe from the thread as I am not learning anything new... no sense on the whole back and forth..

good luck...


Zondor View Post
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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  #22 (permalink)
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sysot1t View Post
ok.. if you say so... go ahead and blindly try it.. I wish you success..

btw, posting others work as "substance" to your argument just says that one does not have a grasp on the concept and cant provide one's own work substantiating the argument.. IMO of course.. and also, the articles prove my argument as well.. but it doesnt really matter I guess..

this is now officially boring to me... so I will just unsubscribe from the thread as I am not learning anything new... no sense on the whole back and forth..

good luck...

@sysot1t,

I have rarely met someone with so much vigor to be right and prove others wrong. I don't want to change who you are, but just asking you to tone it down some and be nice! Your posts are like watching a train wreck in slow motion as you can hear the steel grind into itself and it is painful to read. Not meant as an insult to you personally, and don't want you to tell me how stupid I am, but your posts are just painful to read lately.

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  #23 (permalink)
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bluemele View Post
@sysot1t,

I have rarely met someone with so much vigor to be right and prove others wrong. I don't want to change who you are, but just asking you to tone it down some and be nice! Your posts are like watching a train wreck in slow motion as you can hear the steel grind into itself and it is painful to read. Not meant as an insult to you personally, and don't want you to tell me how stupid I am, but your posts are just painful to read lately.

not following, I wasn't the one who used big words to address and argument or that said ppl responding were blowing hot air, so if you are going to ask anyone to be nice, it should be the person who made those comments. as to calling you stupid? why in hell would I care to do that considering I don't know you at all, and more importantly you haven't raised any arguments that don't make any sense. again, not following you.

as to being wrong; I am plenty wrong all the time, I actually seek challenges to disprove my own ideas to make sure they are correct and if not adjust them. also, not really looking to price anyone wrong. if someone raises an argument, they should have factual data to back it up and enough conviction to either do proper research and understand things as well as being willing to admit if they have no clue. anyone going into an argument with an opinion and standing behind it without data, is merely a fool.

but if you disagree, please show me how am incorrect and I will gladly see your point of view.

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  #24 (permalink)
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sysot1t View Post
not following, I wasn't the one who used big words to address and argument or that said ppl responding were blowing hot air, so if you are going to ask anyone to be nice, it should be the person who made those comments. as to calling you stupid? why in hell would I care to do that considering I don't know you at all, and more importantly you haven't raised any arguments that don't make any sense. again, not following you.

as to being wrong; I am plenty wrong all the time, I actually seek challenges to disprove my own ideas to make sure they are correct and if not adjust them. also, not really looking to price anyone wrong. if someone raises an argument, they should have factual data to back it up and enough conviction to either do proper research and understand things as well as being willing to admit if they have no clue. anyone going into an argument with an opinion and standing behind it without data, is merely a fool.

but if you disagree, please show me how am incorrect and I will gladly see your point of view.

Well, my point is that there are better ways to convince people that you have a difference of agreement then calling them 'things' like fool or whatever.

You have a lot of knowledge, but I bet a lot of people are like me and get turned off by your 'challenge stance' of you are with me or against me.

Some of your posts are brilliant, but a great many lately are very aggressive. Let's be and make friends. All I am saying is that doing it constructively is better in my opinion. Do what you need to do as I am sure, just giving you my worthless opinion.

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  #25 (permalink)
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bluemele View Post
Well, my point is that there are better ways to convince people that you have a difference of agreement then calling them 'things' like fool or whatever.

one, I didnt called anyone in specific a fool... so only someone without proper backup to their statement would take offense to that comment as the statement was specifically categorizing anyone arguing with opinions only a fool.. I dont know what else to call that type of person without being disrespectul... so I used the word fool..

two, I try to convince people with valid arguments, not my opinions... when it is my opinion, I make sure to state it so... and heck, I always say that things are IMO anyhow.. .. I dont have to resort to using words like "specious omniscience" to try to add validity to my argument..

but with that said, I understand your point of view... dont take me wrong... I should take people's "feelings" into account.. but I am not very good at that... I surround myself with people who challenge me and are not afraid to tell me "you're full of sh*t" when I say something stupid or do something stupid.. anyone who tippy-toes around me is always gone very quickly from my circle of friends... dont need anyone that cant stand their ground and face one and speak truth.. goes to the person's character and what they would do under pressure... IMO of course.


bluemele View Post
You have a lot of knowledge, but I bet a lot of people are like me and get turned off by your 'challenge stance' of you are with me or against me.

thanks for thinking I have a lot of knowledge, but I personally never think that... there is always something new to learn and in comparison to others, I am rather ignorant.. furthermore, I never said it was with me or against me, my arguments are not about creating division or sides... I care less about any of that... I am not running for a popularity contest to get lots of "thanks" like many do.. I dont need that kind of validation... I merely ask for proper arguments and substance behind them... if my argument is wrong, i ack I am wrong and correct it ... I dont know how else to make that transparent to you...


bluemele View Post
Some of your posts are brilliant, but a great many lately are very aggressive. Let's be and make friends. All I am saying is that doing it constructively is better in my opinion. Do what you need to do as I am sure, just giving you my worthless opinion.

hmmm... I am by nature aggressive... and by that I mean, I have conviction on what I believe and follow it... I understand that can be abrasive to some.. again, goes back to why I have a small, but very close, circle or friends... more like brothers and sisters.. as I said, I dont make friends with those that cant admit they dont have a clue, or try to impose their factless opinions... it all goes to how they will fail you and your brothers/sisters when you need them... but now I am rambling on.. so I will get off my soapbox...

anyhow, as I stated above.. I do get your point... and I will to soften how I point out invalid arguments to those that raise them...

anyhow, EU is opening soon.. so bug you later..

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  #26 (permalink)
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  #27 (permalink)
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I don't want to get in the middle of something here, but I just wanted to say that this kind of research is not difficult, nor is it the holy grail. I think almost every aspiring quant starts off with cointegration tests, thus there is (probably) very little edge to be found there. At least if applied traditionally...

You have people trading off planetary alignments, Murrey Math, Hurst Cycles, VSA and what not, but simple correlation analysis is described as too complex?

It is just another way of viewing the market(s)... I just like to measure things against one another...

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  #28 (permalink)
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The YM, ES, TF and NQ are related.

Here is how I use the relationship between the YM, ES, TF and NQ.
I trade all four.

1st Rule: Look for the Market leader by direction form the Open to the 10:00 to 10:30 area.
2nd Rule: Look for the morning reversal. Compare those that turned together and the Indices that have lagged behind.
3nd Rule: Look for a Buy or Sell signal of the Leader(candlestick pattern.) if the reversal holds and expands from the turn.
4th Rule: Look to enter on a candlestick pattern for the Lagging index. Most of the time the Leader will pull the Lagging indice in their direction especially if the reversed at the same time.
5th Rule: Prepare to Exit both trades when the Leader begins to lose momentum at or near previous Support/Resistance as well as previous days Highs and Lows.
6th Rule: Look for the Market Leader by direction from 10:30 to 11:30 area and the next Market Reversal.

More to come!

Trade Well!

Bronco

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  #29 (permalink)
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Example of high correlation

Continuous contract of Aussie Dollar vs Dow Futures over a period of about a week. I'm not saying how, or even whether, to try to use this in your trading. But it's good to be aware of it.

The second chart of Aussie Dollar vs Light Sweet Crude shows a correlation that is still significant, although not as extreme.

Attached Thumbnails
Correlation between index futures-6a-compared-ym.jpg   Correlation between index futures-6a-vs-cl.jpg  

Last edited by Zondor; December 15th, 2011 at 12:33 PM.
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  #30 (permalink)
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Could someone please direct me to some source of information where could I find the actual correlation between markets? I used to look at correlation between ES, TF, NQ and YM. I was trading TF. Now I would like to trade ES and can´t decide which markets to use. I am trading the US trading hours (NY 9:30AM). Some people suggest to look for the correlation between ES, DAX and FESX. But somehow I feel uncomfortable using those european indexes together with ES even when I know that ES has pretty good volume also during the night (which is European main trading session for DAX and FESX).

So basically I would like to see something like a table with percentage of correlation between markets to have some starting point where I will start my research.

Any ideas?

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