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Correlation between index futures
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Correlation between index futures

  #31 (permalink)
Elite Member
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@Pepe2000, thanks for the question. Got me curious. I recalled seeing a nice correlation study available on the ThinkOrSwim platform. Correlation ? Resource Center

Then I tried lining it up under a /CL chart for the past 20 years. Interesting outlay where it's noticed that /NQ and /6E started around the same year; /NQ late 2003, /6E, Euro at beginning of 2004. (Leading up to 2nd term of the "Bush" years & post 911) And correlation % of /CL with the /ES and /NQ significantly dropped off big time just this past summer after being steady at a high correlation % the past few ("Obama") years. Hmm, the "globalists" at work?

And another chart of /ES in correlation comparison with the other futures. Recent significant rise in positive correlation with gold, /GC after being negative within this year. Happened also in the 2007 election year. And in reverse in the 2000 election year.

Attached Thumbnails
Correlation between index futures-cl_correlations_17_years.jpg   Correlation between index futures-es_correlations_17_years.jpg  

Last edited by Cloudy; September 29th, 2012 at 10:00 AM.
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  #32 (permalink)
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Not sure if this will help. This uses comparison study. Make sure to Show Price as percentage under settings -> price axis.

Attached Thumbnails
Correlation between index futures-2012-09-29_0835.png  

Last edited by Skidboot; September 29th, 2012 at 09:49 AM.
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  #33 (permalink)
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  #34 (permalink)
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I got some help from a fellow trader on other forum. So I will post it here if somebody will be looking for correlation info in the future:

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  #35 (permalink)
Trading Apprentice
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I'm not sure if this will be helpful but I'll share it anyway.

I watch the YM, ES, TF and NQ at the same time. I trade the relative strength leader or laggard obviously depending on the direction of the trade. I'm primarily a swing trader.

I use IBD definition of whether the market is in a bull trend or not. When in a bull trend I buy the relative strength leader on pullbacks to intraday support areas.

I generally go long using options that have at least 2 months to expiration

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  #36 (permalink)
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Correlation of everything

Skynet buys and sells all instruments on all exchanges at the same time.

I want to show readers something that is extremely disconcerting and representative of the dystopian world we currently live in. Above in blue is the price of Caterpillar, the U.S. heavy equipment and engine manufacturer. On the same chart in red is the Dow Jones Asian Basic Materials Index. In other words, it is an index of Asian companies, ex-Japan, that are involved in the basic materials industry in Asia.

Do you see anything strange? Well, you most certainly should. The correlation is essentially 100%.

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  #37 (permalink)
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Skynet Masterpiece: ES vs Inverted FAZ

Undoubtedly this is just a coincidence....

FAZ is a 3x leveraged financials bear ETF.

Uh oh, it seems to LEAD the ES sometimes. Keep those PPA blindfolds on!

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  #38 (permalink)
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Correlation of Drawdowns

Regarding to the original post from the TS i want to mention that i've started with correlation analysis at my focused instruments too, to get an insight which one to choose to don't multiply the risk when trading them. But then i've learned that isn't reliable to my kind of trading, because correlation can vary and we can't make any predictions. For me it was much more informational to look at the correlation of drawdowns, because that is, in the end, whats important and the complete strategy is already considered.

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  #39 (permalink)
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Kiev Ukraine
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simple question simple answer

You do not need to ender discussion with other why you need, what is their opinion on corelation, you must do homework or not on and on...
write google "futures markets correlation" enter first web site thats all here it is last 180 days trading corelations for all futures

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