Finding spread trading opportunities

0.6760350472054119
 
One metric that i try to look for on any spread or outright is that blowout day in the historical data. Going back to 2007-2009 is helpful to see what one can expect.
Nice links that you are posting.
Tedious indeed. I have used free data from Quandl for eurodollar calanders and butterflies.
However, if i remember right, eod data was not available til 10pm EST. anyway managing
hundreds of eurodollar spreads was too much for me.
Manually charting with barchart, stockcharts, or plugging symbols into any service does not seem feasible.
 
I can only manage a small universe. I decided to start with equity indexes and equities vs indexes (some baskets). The retail tools I have support that. Once I get a handle on the technical details, I'll move onto more of the energies, fixed income etc..
 
eurusdzn said:
One metric that i try to look for on any spread or outright is that blowout day in the historical data. Going back to 2007-2009 is helpful to see what one can expect.
Nice links that you are posting.
Tedious indeed. I have used free data from Quandl for eurodollar calanders and butterflies.
However, if i remember right, eod data was not available til 10pm EST. anyway managing
hundreds of eurodollar spreads was too much for me.
Manually charting with barchart, stockcharts, or plugging symbols into any service does not seem feasible.
More...

Thanks for the tip. If you have any code or links you are willing to share, please do. We are all frenemies here ;)
 
I have no secrets or edges. Getting data is step one. I use free eod data . I crunch it and end up with 50 or unlimited amount of text files. Each is date, open,high,low,close,volume format.
This data can be imported into any charting package as it is ascii data. Once you have the data
In your charting package you are limited to packages features such as backtesting etc...
Do you have familiarity with Excel VBA?
 
eurusdzn said:
I have no secrets or edges. Getting data is step one. I use free eod data . I crunch it and end up with 50 or unlimited amount of text files. Each is date, open,high,low,close,volume format.
This data can be imported into any charting package as it is ascii data. Once you have the data
In your charting package you are limited to packages features such as backtesting etc...
Do you have familiarity with Excel VBA?
More...
I didn't mean share anything proprietary. I mean anything to make the data management aspect easier. I can learn excel vba. I'm trying to learn python now.
 
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Are you learning python to get, format and store the data or are you taking it further and
writing a charting or backtesting application. The reason i ask is that if your needs are basic/standard wouldnt most off the shelf products be sufficient?
I am all about simple. I get the data each night to new files overwiting last nights files.
(No appending, no database), simple flat files. Each spread is a file that can be imported
to any packagesuch as esignal, tradestation etc.., and charted and backtested etc...
If you want some sample stock or etf spread files then list the spreads here.
I can post the charts or post the ascii files for the spreads here.

Ps. I would give you the code. No big deal. But theres a lot of specific methods, folders, etc that would make it difficult for others to use. Not to mention the flaws and work arounds. I am content i have my way of getting this daily task done.
I dont mind talking about my crude methods with a few other members.
 
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