Can someone explain exactly what is going on in this compression trade?

Discussion in 'Trading' started by Algo_Design_Kid, Jul 20, 2011.

  2. It's not a trade... You can't buy the other side, since it's a regression-weighed basket of a whole bunch of stuff (not sure what, although someone in the comments has an idea). So it's a signal that ES might be overvalued, but that's about it. Moreover, as many such regression-derived signals, it's likely got all sorts of issues, so you should always take it with a big pinch of salt.

    P.S.: these might be the ingredients of the "secret sauce", apparently: AUDJPY, EURJPY, Gold, Oil, 10Y UST yield, 2s10s30s UST fly level, DXY and 2Y UST-DBR.
  3. Yeah. I saw those listed in the comments as well, but it just seems like by the time you pay commissions and slippage on all this bullshit it is going to be worthless.

    Figured it couldn't be that easy.
  4. Yep, as Kevin says, there's also other suspect stuff going on... On balance, I would have to agree that this is just more ZH nonsense.
  5. Isn't it Capital Context or something like that?