Anyone here hedge indices spread with another spread?

Discussion in 'Strategy Development' started by scalpmaster, Nov 8, 2007.

  1. I am trying to implement dynamic ratio hedges of indices spread with another spread. For example, hedging S1 with S2

    Long 2NQ, Short 1 ES : let spread ratio chart NQ/ES be S1

    against

    Short 2 YM, long 1 Er2 : let spread ratio chart YM/ER2 be S2

    Anyone wants to discuss more on how to go about analysing and perform dynamic rebalancing of S1/S2 oscillation chart as market goes up or down?
     
  2. use a simple channel breakout out - optimize for the best period or length. law of motion theory, it will most likely work. i have just such a system.

    good reading a book i love is

    --------------------------------

    goldberg - advanced commodity spread trading - windsor

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    maybe you will find it has no value, mb
     
  3. What is the law of motion theory in trading? :p