Nasdaq Index Arbitrage

cdcaveman · Mar 2, 2013

Quote from Busta21:

Dude you're making this WAY to hard.

lets here your simplistic suggestion..

Busta21 · Mar 3, 2013

Quote from cdcaveman:

lets here your simplistic suggestion..

You're trading the futures? Day trading or position? The answer depends on this.

cdcaveman · Mar 3, 2013

Quote from etfarb:

I;m not looking to do HFT arb.

I'm simply looking to make a basket from the 10-15 largest weightings in the nasdaq to help me decide when I should go long or short the index.

I swing trade so i use EOD data to backtest. I read an article that basically says you need to figure out what assets cointegrate with the index in order to figure out the weightings. I was wondering if there was an easier way to do this since i don't know R and don't own matlab

is there a way to test for cointegration in excel?

theres the OP stating your answer

Busta21 · Mar 3, 2013

Quote from cdcaveman:

theres the OP stating your answer

Thanks. Ok, so swing trading. Use RSI on a 1 hour chart, or a daily, pending where the RSI is then just apply basic trend following principles. Add water then stir.

cdcaveman · Mar 3, 2013

Quote from Busta21:

Thanks. Ok, so swing trading. Use RSI on a 1 hour chart, or a daily, pending where the RSI is then just apply basic trend following principles. Add water then stir.

umm
The RSI is classified as a momentum oscillator, measuring the velocity and magnitude of directional price movements

Relative strength is a ratio of a stock price to a market average.

two different things..

Busta21 · Mar 3, 2013

Quote from cdcaveman:

umm
The RSI is classified as a momentum oscillator, measuring the velocity and magnitude of directional price movements

Relative strength is a ratio of a stock price to a market average.

two different things..

I know idk man im just trying to make a dollar out of 15 cents out here so..

Daring · Mar 3, 2013

Quote from Lintagoose:

Yes, don't waste your time. You cannot do index arbitrage manually.

Worst thing he can do is accept a "can't be done" from someone on the Internet.

Research, Research, research.

cdcaveman · Mar 3, 2013

Quote from Busta21:

I know idk man im just trying to make a dollar out of 15 cents out here so..

keeping it simple is not a bad idea respectively..

i mean you could plot every constituents strength on one chart..

or you could take the basket he is talking about turn it into a ticker and plot it over the index

or you could take the baskets/etf's moving average and just plot those against the index in percentage changes instead of price

cdcaveman · Mar 3, 2013

Quote from Daring:

Worst thing he can do is accept a "can't be done" from someone on the Internet.

Research, Research, research.

+11111111

etfarb · Mar 3, 2013

Quote from cdcaveman:

Coursera provides a free class... there is tons of backing to the language. Its a great tool... I'm in the same place as you.. just baby steps ahead of you...

Caveman,

I took a look at coursera for their class on R and couldn;t find anything in programming with it. is it "Data Analysis" with Jeff Leeks?