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Thanks for posting the Excel VBA corr. matrix code. Along sililar ideas.... It wouldnt surprise me that a time series of daily or weekly correlation between two products can provide trade signals for mean reversion.

Yeah, i keep telling myself that more is not better.

Are you learning python to get, format and store the data or are you taking it further and writing a charting or backtesting application. The reason i ask is that if your needs are basic/standard wouldnt most off the shelf products be sufficient? I am all about simple. I get the data each...

I have no secrets or edges. Getting data is step one. I use free eod data . I crunch it and end up with 50 or unlimited amount of text files. Each is date, open,high,low,close,volume format. This data can be imported into any charting package as it is ascii data. Once you have the data In your...

One metric that i try to look for on any spread or outright is that blowout day in the historical data. Going back to 2007-2009 is helpful to see what one can expect. Nice links that you are posting. Tedious indeed. I have used free data from Quandl for eurodollar calanders and butterflies...

Really? ......."NAAAAHHHH..AAAAHHHHHH...AAAH"

I wrote a program that creates daily or weekly price ratio spreads for stocks and etfs. I can do a runs for stock sectors, commodity etfs/stocks, and other groupings. This falls under getting and organizing data. Trend or mean reversion traits can be seen on these charts. Tedious and way to much...

Does the sheep daytrade?

You know how markets change and have a different reaction to well known inputs. The sentiment has been that a fed rate hike is not certain and that a rate hike is bad for stocks. It will be interesting to watch for any change in those perceptions. Price action after NFP was stong in gold, US...

http://www.barchart.com/charts/futures/EDM15 This is the June 2015 chart. The reaction to the last 3 NFP's are seen on the fourth trading day of the month and have been significant for a few day then reversed. Big + revisions to previous NFP's so maybe this a catalyst to move this short term...

I read that you dont trade cross correlations of assets ( such as gold-euro) as you did years ago. Do you still watch them? , and if so how do they help you? For example, Maybe that experience gives you uncommon range and flexibility in selecting which relationships to trade at a given time...

You mad Bro? There is no crying in football.

Thanks for your answer. Your examples make sense. I was referring to a program of mine that will neutralize volatility in spreads. An extreme example would be a two year treasury over crude oil using an 11:1 ratio. The spread is not industry standard, no one else is trading it, commissioms are...

Ballsofgold, You mentioned ratios to create custom time series. Whats the point of this if you are the only one trading it? Wouldnt the trader be fooled by randomness in attempts to apply levels and other technicals that depend on traders behavioir in markets where you, or only a scant...

Seems to me that the - rates in the euro area are "taking them down to take them up later." The down leg is a very profitable trade for those who are long euro sovereign debt with borrowed euros. The ECB has told the traders they will provide the monthly liquidity to close this trade. Ths front...

Long tech / short financials, QQQ/XLF may work here as well. Financials probably weak here. http://stockcharts.com/h-sc/ui. Type in QQQ:XLF as symbol Another example of a trade idea that has been working since the break in the euro and oil last summer. Momentum and trend at work here that...

Complacent , muted market response initially. Years ago this would have mattered. Years ago it would have been a surprise. Let the leash out a bit . Concede enough to calm markets and avoid moral hazzard. Showem how painful there way is after the champagne dries.

A simple minded opinion problaly unshared, that the security of Saudi Arabia is served by maintaining US dependence on Saudi oil. The US oil industry would have to be consolidated/re-structered at lower oil prices. US production would fall in response,tipping the balance back to Saudi oil...

Nice one regarding EUO. UUPT is a Powershares 3x USD ETN. It is a weighted basket of 6 currencies. Volume has doubled recently . Relatively unknown at this time.

Down to $40. I dont know.