Is the correlation very high like 99%? Also, is there usually any lead between these markets? Like futures leading cash or vica versa? THANKS.
There are three real time items to corrolate. The two futures items lead the cash. because of the contrast in liquidity in the indexes you can also use their differences as well. The smarter money is in the DJ and the more liquid YM sometimes screws up because of the dumber players "show" with their out of line plays. If you playthe leader lagger game; you can gain a terrific advantage using the NYSE stuff above to play the larger (# of components in the measure) based indexes. It is best to trae on the smoothest fractal possible and monitor the delta stuff on fast fractals of the leading indexes.