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I see the following (based on spot measure): 1000 Schatz contracts = 399 Bobl contracts = 222 Bund contracts For the fly, then it should be 2 * belly - wing1 - wing2. You should use the same weights to chart.

There's a Eurex presentation that I think I attached in one of the threads. It talks about the rationale behind the the ratio calculations. http://www.elitetrader.com/vb/showthread.php?s=&threadid=173859&perpage=6&highlight=eurex&pagenumber=2

http://www.elitetrader.com/vb/showthread.php?s=&threadid=181522 On the subject of the recent GDP print: http://econompicdata.blogspot.com/2009/11/japanese-gdp-worst-48-gdp-print-ever.html

Mkt makers...

The most common way to do it would be based on DV01 weights. If you have gotten the ratios from CME, they should be the right ones. It certainly wouldn't be right to use 30 - 5. Essentially, just chart the thing you're intending to trade...

It's up to you... If you don't use the appropriate ratios, you'll get a chart of something that will be directional, to one degree or another.

This is also interesting: http://econompicdata.blogspot.com/2009/11/just-one-super-secular-mean-reversion.html

Well, you'd do it the same way as you would exploit the knowledge that there's a crowded trade out there. Except in this case it's not a crowded trade, but rather a crowded methodology that forces certain synchronized behavior. One of the best, most dramatic examples sometimes offered is the...

I would agree with this. And that is yet another 'fad'/herding/crowding bias that can potentially be exploited. I am not sure whether my argument coincides with MAESTRO's, but all I was trying to say was that a lot of my problems with TA are not about the premise per se, but with the...

Arguably, while very successful overall, he actually has a track record of failure in these sort of trades.

Here's a good graphical look at the question of long yields: http://econompicdata.blogspot.com/2009/11/where-are-long-bond-yields-going-late.html

Try here maybe (although the quote will be delayed): http://www.euronext.com/trader/summarizedmarketderivatives/regulardetail-21421-EN.html?selectedMepDerivative=7&mnemo=R&idMaturity=1259622000000&contractType=9

I think you might want to look into the situation in Japan before suggesting it should be the other way round...

There's research that seems to confirm what MAESTRO suggests.. I also think it's one of the coolest, as well as most famous, papers in behavioral finance, so I thought I'd attach it here.

Economies of scale and scope and leverage.

Fourier transforms represent a standard, most well-known method to transform a signal (such as a price time series) from time domain into the frequency domain. DFT and FFT are just special cases for particular types of signals. DCT, which is another variant, is used, for example, by the JPEG...

There's a few threads dedicated to this question in the Econ forum.

http://www.global-derivatives.com/index.php?option=com_content&task=view&id=173 There's a lot of various implementations there. As to the back of the envelope calc for an ATM straddle, it just comes out of the BS pricing formula.

Personally, I would agree with your 'strict' definition of non-random, jem. Since we know that various human behavioral biases are manifested in the mkt, they are not random. Therefore, as you suggest, we can presume that good traders are able to systematically take advantage of these biases...

You gots to ask yerself one question... What is the price of gold, i.e. what is gold denominated in?