Good Spread to Automate?

C

comintel

Would anyone be able to suggest a good energy (or other) spread trade to automate for automated day-trading?

I am writing software to do automated trading.

I do not need to know how to trade the spread - I can figure out that for myself - just the suggestion of a spread or spreads or even markets to look at.

Of course I understand if people do not want to reveal this, but I thought I would ask anyway.
 
Quote from trading spaces:

Read everything bone has posted on this site.
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I pretty well have and these posts are outstanding and do give me some ideas, but most of bone's spreads currently seem to be slightly longer duration than I might want for automated trading.
 
March/April natural gas spread. Very benign. Nothing ever happens.

Really though, try U12/V12, Z11/F12, or M2/N2/Q2 fly (all natural gas)
 
Quote from comintel:

Fantastic, guys!

I was thinking of cracks and will look closely at them now.

Thanks!
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Well, careful what you wish for - that is most definitely an adult swim. Maybe shine just enough light on your strategy to get some constructive feedback about the efficacy.

Momentum, perhaps ? There is no arbitrage or market-making in there, per se because of the extreme volatility.

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Quote from ogarbitrage:

March/April natural gas spread. Very benign. Nothing ever happens.

Really though, try U12/V12, Z11/F12, or M2/N2/Q2 fly (all natural gas)
More...

Thanks very much!

I am pasting charts of a number of these below (sorry for the gaps).

Is March/April too volatile in general? The hourly does not look too bad in the limited period below for trading mean reversion.

Daily March 12 / April 12
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Hourly March 12 / April 12
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Daily Oct 12 / Nov 12 (woops you said Sept/Oct but maybe these will do)
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Hourly Oct 12 / Nov 12
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Daily Dec 11/Jan 12
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Hourly Dec 11 / Jan 12
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Quote from bone:

Well, careful what you wish for - that is most definitely an adult swim. Maybe shine just enough light on your strategy to get some constructive feedback about the efficacy.

Momentum, perhaps ? There is no arbitrage or market-making in there, per se because of the extreme volatility.
More...

I would rather trade mean reversion / reversals if possible. I take it from your comments that the crack spread might not be good for that.

Maybe the natural gas inter-month spreads would be better as per the other post?
 
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