Correlation between /ES and /CL + /ES and /GC

A

anycolour

What is the significance when /CL and /ES are trading in divergence?

What is the significance when /ES and /GC are trading in convergence?

Any simple edges to extract from such convergence/divergence?

Thanks
 
Facts are, these markets have been positively correlated over the past 180 days on a closing basis 51% and 53% of the time respectively suggesting a "Random Walk" relationship. If you would like more information about that data please ( free trial), don't hesitate to PM.
 
There are edges to be exploited only with very positive or negative (90% or better close-on-close) correlators. A couple examples would be GC and AUD or GC and CHF.

anycolour said:
What is the significance when /CL and /ES are trading in divergence?

What is the significance when /ES and /GC are trading in convergence?

Any simple edges to extract from such convergence/divergence?

Thanks
More...
 
bone said:
There are edges to be exploited only with very positive or negative (90% or better close-on-close) correlators. A couple examples would be GC and AUD or GC and CHF.
More...

Thank you! On -/+ 90% correlations cases, could you please help me go fish for these edges and how to exploit them? (Not asking for the fish here, just need some pointers on where/and how to go fish).
 
The easy and most expensive way is with a Bloomberg Professional Terminal. Your alternative is math.

anycolour said:
Thank you! On -/+ 90% correlations cases, could you please help me go fish for these edges and how to exploit them? (Not asking for the fish here, just need some pointers on where/and how to go fish).
More...
 
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