bonds easier than index?

[Dr. Zhivodka]

Quote from nitro:


Actually, the concept is cross-correlation.

nitro

Negative.

The concept is autocorrelation.

It's basic undergraduate Univariate Probability.

Autocorrelation detects the degree of randomness in a time series. Bonds and Currencies tend to exhibit a high degree of autocorrelation. The higher the autocorrelation found in a time series the lower degree of randomness therein. Simply said Bonds and Currencies tend to trend well and this is shown by their high degree autocorrelation and this in itself makes them fantastic trading vehicles.

Obviously this why trend following systems tend to work well on Bond and Currencies. Conversely, a lower degree of autocorrelation is one of the reasons trend following systems work much less well in the Share market (i.e Shares tend to exhibit a higher degree of randomness).

With regard to cross-correlation, I don’t really care how the Bonds and S&P’s correlate with each other because it’s not reliable. Sometimes they’re highly correlated and sometimes they’re highly negatively correlated, but this is based on other macro factors. And this is exactly where the “art” of the trader trumps the “science” of probability.


Regards,
Dr. Zhivodka

 

[spreadem]

the bonds seem to trend better than stock indicies.

 

[nitro]

When speaking of more than one symbol and the way they relate to each other, the term is cross-correlation. Auto-correltion is nearlly worthless as a measure of "randomness," which you seem to be using as a measure of how well a marktet "trends."

It is "standard" knowledge that maybe 4% of a time series from any market (diversified index) is described by any lag of it's self, which is the measure that AC is giving you. However, shorten the timeframe, and add cross-correlated markets, and the situation changes drastically.

However, if you meant AC and not CC, to describe a single market, then I misparsed your sentence above.

nitro

Quote from Dr. Zhivodka:




Negative.

The concept is autocorrelation.

It's basic undergraduate Univariate Probability.

Autocorrelation detects the degree of randomness in a time series. Bonds and Currencies tend to exhibit a high degree of autocorrelation. The higher the autocorrelation found in a time series the lower degree of randomness therein. Simply said Bonds and Currencies tend to trend well and this is shown by their high degree autocorrelation and this in itself makes them fantastic trading vehicles.

Obviously this why trend following systems tend to work well on Bond and Currencies. Conversely, a lower degree of autocorrelation is one of the reasons trend following systems work much less well in the Share market (i.e Shares tend to exhibit a higher degree of randomness).

With regard to cross-correlation, I don’t really care how the Bonds and S&P’s correlate with each other because it’s not reliable. Sometimes they’re highly correlated and sometimes they’re highly negatively correlated, but this is based on other macro factors. And this is exactly where the “art” of the trader the trumps the “science” of probability.


Regards,
Dr. Zhivodka

 

[Dr. Zhivodka]

Quote from nitro:

When speaking of more than one symbol and the way they relate to each other....

I was referring to only one market. Not how two or more markets relate to each other.

However, if you meant AC and not CC, to describe a single market, then I misparsed your sentence above.

Yes, you misunderstood my first reply.


Dr. Zhivodka

 

[Walther]

Quote from ADX_trader:



Yes. Among the bonds futures, the ZF is the slowest and the ZB can be quite volatile. Do you think it is better to start with ZF first?

if you trade bonds, you have to watch them all anyway, try to match your method with either one to se which gives you better signals. Papertrade both of them for one month and pick one which suits you better.
Walter

 

[JT47319]

Partial sidenote: The majority of CTAs employ a trend following strategy. And the least popular futures to trade are the indices while bonds and currencies are the most popular amongst commodity pools.

 

[Mr. Bollinger]

Doesn't the ZN have more volume than ZF and ZB?

 

[Pabst]

Quote from Mr. Bollinger:

Doesn't the ZN have more volume than ZF and ZB?

Yes.

 

[ADX_trader]

Quote from JT47319:

Partial sidenote: The majority of CTAs employ a trend following strategy. And the least popular futures to trade are the indices while bonds and currencies are the most popular amongst commodity pools.

Are the currencies trend well? I mean the intraday trends. They seem to be very choppy.

 

[SethArb]

do you ever average down

in bond complex ?

maybe once ?
or not at all ?

do you risk 4 ticks / 8 ticks / 16 ticks
on a typical daytrade ?

ever trade overnight or find it better during daytime hrs ?