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Spread / Pairs Trading - the allure and the reality
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Spread / Pairs Trading - the allure and the reality

  #91 (permalink)
Elite Member
Cape Town South Africa
 
Futures Experience: Beginner
Platform: Zaner 360
Broker/Data: DeCarley
Favorite Futures: Commodities:Grains, Meats, Energy
 
Kruger's Avatar
 
Posts: 19 since Jun 2015
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Kruger View Post
I'm in a similar situation. I eventually moved into profit this month and watching the May 16 Soybean-Corn spread closely to make sure it doesn't tank on me.

Just an update on this. I made a neat profit on the Soybean-Corn spread so I could end of the month on a positive and also pushed the year to date into profit.
Currently in on Lean Hogs Jun-Feb16 spread.

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  #92 (permalink)
Market Wizard
Bangkok
 
Futures Experience: Intermediate
Platform: MultiCharts.NET, S5, Ninj
Broker/Data: AMP, S5, IB
Favorite Futures: ES
 
DionysusToast's Avatar
 
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Kruger View Post
Just an update on this. I made a neat profit on the Soybean-Corn spread so I could end of the month on a positive and also pushed the year to date into profit.
Currently in on Lean Hogs Jun-Feb16 spread.

Exchange traded spread or synthetic?

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  #93 (permalink)
Elite Member
Cape Town South Africa
 
Futures Experience: Beginner
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DionysusToast View Post
Exchange traded spread or synthetic?

Seasonal Commodities :CME - not familiar with synthetic

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  #94 (permalink)
Elite Member
Brisbane, Queensland, Australia
 
Futures Experience: Advanced
Platform: NT8/JIGSAW
Broker/Data: MacQuarie Futures/AMP Clearing/CQG
Favorite Futures: ZB/FGBL/GC/CL/HG/6J/6M/6B/FDAX/NQ
 
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Kruger View Post
Seasonal Commodities :CME - not familiar with synthetic

Synthetic is when you construct the spread your self by simply long one leg, short one leg of a spread, could be calendar intra-market or inter-market. For example, many of the crack spreads are exchange traded now, where as if i wanted to construct a spread from the NK and the ES, i would have to do this by legging into them manually.

XS

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  #95 (permalink)
World'sWorstTrader
Knoxville Tennessee USA
 
Futures Experience: Intermediate
Platform: TOS
Favorite Futures: ES, NQ, CL, /6E futures options.
 
Posts: 275 since Oct 2012
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Spread Charts

This is just an idea and a question. The MACD indicator calculates the difference between typically the 12 EMA and the
24 EMA and then uses a 9 EMA to smooth the difference. (Hope I have this correct.) Is it possible to modify the
MACD to subtract say a (Jan CL 5 unit futures moving average) from a (Mar CL 5 unit futures moving average) (Mar CL 5 unit futures moving average - Jan CL 5 unit futures moving average ) and use a smoothing moving average (probably small) to produce an indicator? (The number 5 is only used as an example.) So instead of the MACD charting a single index or other, it would chart the spread differential (using 2 futures moving averages )? This might produce a better spread chart?

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  #96 (permalink)
Trading Apprentice
Heidelberg, Germany
 
Futures Experience: Beginner
Platform: Interactive Brokers
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Posts: 17 since Aug 2016
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Does anybody trade /ES calendar? /ESH7-/ESM7 ? I'm wondering if it's possible to get any fills on the edges of the range

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  #97 (permalink)
World'sWorstTrader
Knoxville Tennessee USA
 
Futures Experience: Intermediate
Platform: TOS
Favorite Futures: ES, NQ, CL, /6E futures options.
 
Posts: 275 since Oct 2012
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ES


jumpingfella View Post
Does anybody trade /ES calendar? /ESH7-/ESM7 ? I'm wondering if it's possible to get any fills on the edges of the range

These 2 are highly correlated. It would be difficult to obtain much difference between the two, but I have never
traded them. I have traded successfully the spread (ES-YM) . At IB the margin for this is aout 2k.

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  #98 (permalink)
Market Wizard
Houston, TX
 
Futures Experience: Advanced
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The ES spread is theoretically just a function of interest rates and dividends and as such should be arb-able. Hence it doesn't move very much. Also while ES itself trades in quarter points/$12.50 ticks the spread trades in twentieth's or just $2.50/tic and it's one tick wide, hundred's up. So not saying it can't be done, but I think it would be very difficult. Also front spread is basically the only thing that trades.

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  #99 (permalink)
Trading Apprentice
Heidelberg, Germany
 
Futures Experience: Beginner
Platform: Interactive Brokers
Favorite Futures: US equity options
 
Posts: 17 since Aug 2016
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ok, what about the following: /ESH7-/ESM7+/TFM7-/TFH7

this lowers margin requirements, and it seems to stay in the range.

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  #100 (permalink)
World'sWorstTrader
Knoxville Tennessee USA
 
Futures Experience: Intermediate
Platform: TOS
Favorite Futures: ES, NQ, CL, /6E futures options.
 
Posts: 275 since Oct 2012
Thanks: 126 given, 79 received

Spread Chart



kevinkdog View Post
Note that if you use continuous backadjusted contracts, using ratios will be incorrect for all but the current contract. It might not be wrong by much, but it will be wrong.

That statement also applies to any trading system that uses multiplication or division of the continuous, backadjusted price.

Kevinkdog. If you were to plot a ratio of a 5 minute EMA (exponential average) of ES and a 5 minute EMA of NQ,
would this be a reliable spread chart??

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