CORRELATION EminiS&P-Russel2000

Quote from gekko:

Hello abgan,

I have been making a few trades this past week on the ES/ER spread. For instance, yesterday at about 11:40, I did the following transaction:

Spread difference: 530.50
Long ES @ 1099.00
Short ER @ 568.50


Then at 13:00, when the spread increased by three points I did the following transaction:

Spread difference: 533.50
Close ES @ 1103.50
Close ER @ 570.00

Total profit per spread: $75 not including brokerage fees.

Is it the right way do do it. I was expecting to make $50 per point, instead of $25.00

Am I doing it the right way ?

Thanks
More...

How do you calculate the profit per spread? You didn't report how many stocks to long ES and to short ER.
:confused:
 
Quote from FuturesTrader71:


Again, if you are interested in inter-index or inter-bond spread ratios, I have those also.

Let's share the knowledge. [/B]
More...


Hi FT71, love to see those spreads if can pull them out and put it up.:D

Also, besides expensive charting services like CQG, what other alternative is there for such charts with other vendors - eg eSig,
What about trading platforms? RTS or TT? Do you place out such spreads when it happens or only after it hits a certain level of divergence? Sorry not much a spreader or does not do such trades. Pretty much a single contract guy. Looking to expand my repertoire.

Thanks guys. Looking at these posts has already taught me tons.:p
 
I have been trading ES-ER2 spread since the beginning of the year and am still trying to figure out the best entry and exit points...with the leverage I trade with, it has some wild p&l swings (intraday as well) -- in the back of my mind, I always wonder whether I have a false sense of security with this "supposedly" hedged position (I leave the desk many times during the day with the spread position on w/o any stops). At times it seems I am just trading the noise.

Anyone here consistently make money in these index spread trades?
 
Quote from profutrader:

Hi FT71, love to see those spreads if can pull them out and put it up.:D

Also, besides expensive charting services like CQG, what other alternative is there for such charts with other vendors - eg eSig,
What about trading platforms? RTS or TT? Do you place out such spreads when it happens or only after it hits a certain level of divergence? Sorry not much a spreader or does not do such trades. Pretty much a single contract guy. Looking to expand my repertoire.

Thanks guys. Looking at these posts has already taught me tons.:p
More...
Certainly. I have attached it here. I have omitted the bond/note spread ratios. I hope this hits the spot for you.

I used the TT Autospreader to trade the index spreads. This comes with the X-Trader Pro only ($1400 or so a month). Ecco also has an autospreader. I used to plot the spread on CQG and trade the spread like it is an outright contract. The spread price was equivalent to the one that the autospreader had and it computes what each leg should be based on some parameters.

To trade spreads, you need to be able to trade multiple contracts on at least one of the legs. Good luck.
 

Attachments

Quote from FuturesTrader71:

Certainly. I have attached it here. I have omitted the bond/note spread ratios. I hope this hits the spot for you.

I used the TT Autospreader to trade the index spreads. This comes with the X-Trader Pro only ($1400 or so a month). Ecco also has an autospreader. I used to plot the spread on CQG and trade the spread like it is an outright contract. The spread price was equivalent to the one that the autospreader had and it computes what each leg should be based on some parameters.

To trade spreads, you need to be able to trade multiple contracts on at least one of the legs. Good luck.
More...

You got it right on the money. Thanks for revealing so much.

BTW, heard from a friend in this forum that you are teacher in this field.
Care to elaborate a little. I know this is out of line with this topic. Looking to find more methods of trading as I am moving towards e-trading. Pit will close this coming June 05 for me. Thanks

:p
 
Quote from profutrader:

You got it right on the money. Thanks for revealing so much.

BTW, heard from a friend in this forum that you are teacher in this field.
Care to elaborate a little. I know this is out of line with this topic. Looking to find more methods of trading as I am moving towards e-trading. Pit will close this coming June 05 for me. Thanks

:p
More...
No, I'm not a teacher. I am a full-time trader. I trade under and run a very small prop group of traders who I hire, mentor, train and share profits with. I don't teach outside of the guys I hire and retain under contract. I only know how to scalp a lot of volume and that is what I train the guys to do. I trade through a direct clearing firm.

I have had discussion with a few guys who are trying to transition from the pit. The biggest thing you have to watch out for is your ego and the fact that you need to start over. It is a whole different ballgame on electronic because you can't see who is on the other side of your trade (facial expressions, etc). I would strongly suggest sticking with 1-lots until your win/scratch percentage is in the 70% range.

Good luck.
 
Quote from FuturesTrader71:

No, I'm not a teacher. I am a full-time trader. I trade under and run a very small prop group of traders who I hire, mentor, train and share profits with. I don't teach outside of the guys I hire and retain under contract. I only know how to scalp a lot of volume and that is what I train the guys to do. I trade through a direct clearing firm.

I have had discussion with a few guys who are trying to transition from the pit. The biggest thing you have to watch out for is your ego and the fact that you need to start over. It is a whole different ballgame on electronic because you can't see who is on the other side of your trade (facial expressions, etc). I would strongly suggest sticking with 1-lots until your win/scratch percentage is in the 70% range.

Good luck.
More...

:) Thanks for tip.

Since you are already trading and guiding guys in your prop firm, what is view on expensive charting software (eg CQG) and TT platform. Worth every penny? I am asking because there is a prop offering this kind of setup but cost quite a bit. Frankly, I do not know whether I can cover the cost as easily as I did in the pit. My last question.
:D

Maybe I could join your prop firm.:D :D
Or do you want set up a prop firm here? A possibility?
:p
 
You must log in or register to reply here.
Back
Top