Sorry about this, the ER2 - NQ pairs trade should be short 1 ER2 and long 2 NQ which puts the profit at $820.
I'll get the hang of this yet!
Charles
I'll get the hang of this yet!
Charles
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Pair trading ES/NQ
- Thread starter Trend Fader
- Start date
Three cheers for Charles for indulging our curiousity!!
What software do u use to calculate the deviations
Plugged some numbers into a spreadsheet. Real quick calculation just to see if I could spot some profitable trades.
Charles
Charles
7 trading days. It is a 60 min chart and each division is a day.
Charles
Charles
Wish I was good enough to modify the Tradestation Easylanguage file for the Spread Ratio to automatically calculate and plot an average and 1 standard deviation. I'll have to practice. Will take a while - not a very good programmer.
Charles
Charles
If you do a 2nq to 1es.. you will notice that when the general market goes up you will make money.. and when it goes down you will lose... so basically assuming the nasdaq lead the market lower and underperformed relative to S&p500... and you think the market technically is bottoming out.. thats probably the ideal time to spread 2nq to 1es.
I don't trade the NQ and Es, however i did do a free trial with a vendor that does. They have cool way of calculating the spreads...
check it out for yourself...
http://www.ftacademy.com/spread-system.php
Of course, this is all just my opinion.
check it out for yourself...
http://www.ftacademy.com/spread-system.php
Of course, this is all just my opinion.
Quote from CharlesTrader:
Wish I was good enough to modify the Tradestation Easylanguage file for the Spread Ratio to automatically calculate and plot an average and 1 standard deviation. I'll have to practice. Will take a while - not a very good programmer.
Charles
Here is the code for a 2 to 1 ratio spread. I always use the dollar value of a contract as opposed to closing price when calculating a spread.
Code:
inputs: AvgLength(20), NumDev(2);
vars: spread(0), avg(0), stdev(0),
DataSeries1( Close of data1 ), DataSeries2( Close of data2 ) ;
DataSeries1=( Close of data1 )*bigpointvalue;
DataSeries2=( Close of data2 )*bigpointvalue *2;
spread=DataSeries1 / DataSeries2;
avg=average(spread, AvgLength);
stdev=stddev(spread, AvgLength);
Plot1( spread, "SprdDiff" ) ;
plot2(avg, "Average");
plot3(avg+(NumDev*stdev), "UpperBand");
plot4(avg-(NumDev*stdev), "LowerBand");