Trouble finding a market that correlates to cash DJIA

[ymtrader]

Hi Everyone;

So I've been developing a strategy based on the cash DJIA. I have historical prices that I've developed a model around based on regular trading hours (930am-4pm EST). I think my strategy has decent results; but the problem I've run into is I can't find a futures index that correlates. I've tried both the mini (YM) and full size (ZD) dow contracts. Has anyone had any luck finding a 'trade-able' product that follows the price action of the cash DJ?

My Strat #'s

34% win rate
4.98 reward/risk ratio

thank you for your time!
-ym

 

[Sancho]

Both products that you mentioned should track the DJIA, maybe your data is off or delayed. There is a lot of people doing index arb between those to keep it at 99% correlation. Try the ES mini, the correlation is about .96 and is more liquid.

 

[jeb9999]

Hi Everyone;

So I've been developing a strategy based on the cash DJIA. I have historical prices that I've developed a model around based on regular trading hours (930am-4pm EST). I think my strategy has decent results; but the problem I've run into is I can't find a futures index that correlates. I've tried both the mini (YM) and full size (ZD) dow contracts. Has anyone had any luck finding a 'trade-able' product that follows the price action of the cash DJ?

My Strat #'s

34% win rate
4.98 reward/risk ratio

thank you for your time!
-ym

What time frame are you using - milliseconds, seconds, minutes, hours?
Please provide data that shows your alleged lack of correlation between DJIA and YM.
As has been stated arbitrage keeps DJIA and YM in line during RTH just as SPX and ES are kept in line.