Anyone here trade correlations?

[stochastix]

Sounds intricate. What is a good outcome for your model e.g. maximum risk adjusted return, max drawdown given risk etc...

What are you trying to achieve via the correlation and how do you model it.

My model doesn't have anything to do with the positions I take other than to inform me of probable outcomes . My risk reward ratio is like 0.02 or so usually, whatever that's worth

 

[mikeriley]

Almost every day.

NQ + ES + DOW

Crude OIL + GOLD

 

[heispark]

Futures calendar spread trading is very lucrative.

 

[sebking1986]

Not solely but I always compare EURUSD to DXY and look for discrepancies as they tend to try and pull back in line when they diverge.

 

[zdreg]

Making a living by earning money what kind of question is that? The quadratic super rough lifted heston process .[/QUOTE
"In finance, the Heston model, named after Steven L. Heston, is a mathematical model that describes the evolution of the volatility of an underlying asset.[1] It is a stochastic volatility model: such a model assumes that the volatility of the asset is not constant, nor even deterministic, but follows a random process."

 

[PeterNguyen]

i will trade major pairs and gold. Their correlation is negative so if the USD is doing poorly then it is better to start investing in gold and vice versa

 

[globalarbtrader]

I'm working on Calibrating a model where there is a parameter that specifies the correlation between spx and vix . You are probably thinking of something like pairs trading tho. In practice this coefficients is usually -0.76 meaning vix pops when spx drops 75% of the time

Non linear relationship so maybe correlation not the most appropriate figure.

EDIT except for short time frames then obviously linear approximation is fine

GAT

 

[stochastix]

Non linear relationship so maybe correlation not the most appropriate figure.

EDIT except for short time frames then obviously linear approximation is fine

GAT

Yes, the model actually has 6 parameters it's not a linear effect , it fits short and term term maturities

 

[murray t turtle]

Greetings, Just wondering if anyone here trades currency or other asset correlations as a main strategy.

How do you currently approach it?

%%
YES something like that, except not much very short term trading on that.
It's something like the profitable Dow derivatives trader noted ''Dow is correlated to itself.''
NOT really an ad for the DOW, but still a wise correlation statement.
Besides even some past hi correlations can easy diverge way off\oil has no earnings so that would not surprise me @ all.....

 

[Overnight]

Futures calendar spread trading is very lucrative.

A futures calendar spread is like any other instrument. It goes up and down! How is it more lucrative than any other instrument?