Stock Index Spread Trading Opportunities

Quote from bone:

Gabfly:

I am simply not smart enough to take flat-price directional risk with one product, but I can do very well with relative value. Most successful spreaders are terrible scalpers.

The more common and obvious U.S. equity spreads get arbed to death, you should also be looking at the European and Asian flavors. FTSE vs. DJ EuroStoxx50 for example.
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to Bone...if you are going to trade any DAX or FTSE related spreads...better on Eurex or LIFFE?
 
Quote from increasenow:

to Bone...if you are going to trade any DAX or FTSE related spreads...better on Eurex or LIFFE?
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to clarify...if one was going to trade the FTSE vs DAX spread actual contract...what exchange would that be offered on?
 
FTSE is on Liffe and Dax is on Eurex. CAC is on Euronext/Liffe. DJ EuroStoxx 50 is on Eurex. Russell 2000 mini is on ICE. Dow mini is on CBOT/Globex. Nikkei (the good one that trades) is on SGX. I have clients who trade the Kospi.

There are a gazillion different ETF index combinations you can trade on any major listed stock exchange.
 
Quote from bone:

FTSE is on Liffe and Dax is on Eurex. CAC is on Euronext/Liffe. DJ EuroStoxx 50 is on Eurex. Russell 2000 mini is on ICE. Dow mini is on CBOT/Globex. Nikkei (the good one that trades) is on SGX. I have clients who trade the Kospi.

There are a gazillion different ETF index combinations you can trade on any major listed stock exchange.
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yes Sir...I understand that FTSE is on LIFFE and DAX is on Eurex...BUT...my question is this to clarify...if you were going to trade the DAX vs FTSE...what exchange would you prefer to trade it on?...through LIFFE or EUREX?
 
my indicators are showing a sell ES vs YM buy SPREAD trade now...entered it now via demo...2 contracts each...will update tomorrow...IMO
 
Hello all. I just found this very interesting thread.
Bone has openned my eyes. I've done some statistics study with SPX/DOW daily price data since last night. If you plot daily close spread between SPX and DOW, it is a unbelievably amazing divergency indicator for SPX/DOW price movement (daily). This is much better than MACD/OBV/NY updown vol, or whatever you name it.
In terms of trading ES and YM, I did a brief study based on SPX/DOW inraday open/high/low/clsoe data and very limited future data. With a automated system and some statistically generated triggering threshold value, the spread pair trading can have extreme high winning percentage.

Onething is very interesting. If you trade ES/YM spread for intermediate term, you probably still need knowledge about market trend in order to profit on spread increase or dicrease. Anyway, if you know for sure what the trend is, you can trade anything. The beauty is, if you trade intraday only, you don't care what the trend is based on my statistics study at the moment. However, there are some small technicallity things you have to take care of, such as slippage, execution timing, etc.. There are just virtually infinite possibility to trade spread.

I did a ES/YM spread paper trade today and had a little more than 50 USD less 14 USD commission by market close(2 RTs 7 USD each RT in ThinkorSwim paper account). It was much less stressful than scalping.

I'll try to get some intraday 1 minute data for ES/YM and conduct some more rigorous study/backtesting.
 
What platform/broker do you guys use to spread trade? Do the trades have to be automated? So, I can't trade them unless I have some programs? Are Interactive brokers ok? Basically, r u guys trend following or trading mean reversion?

Thanks a lot.
 
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