Just a suggestion but http://www.market-topology.com/ is a searchable database. You can very easily compare correlations of stocks and ETFs to build combos and pairs ideas. You could also look into building baskets or spreading baskets against ETFs to do similar types of trades. The problem is that these are strategies that require significant capital to deploy under Regulation T margins. This is one of the reasons that I have chosen to focus on the index futures. Similar things can be done with index spreads and the margin is much less, since futures are margined according to the net historical volatility of all open positions. So for example a long NASDAQ 100 and short DOW 30 equally weighted spread (dollar volatility adjusted) can be put on for much less total margin than the cash equity instruments. There is a reason that professional traders spread and hedge and/or cross hedge. There is money in it and the risk adjusted returns can be very good. Good luck and good trading!
%% If you are ken calhoun, sounds like you are; nice article, Tek Analysis Stocks & Co..................................................................................................SQQQ is a trading ETF for sure,LOL. Wisdom is profitable to direct. SPXL, UPRO have some nice investment trends; all liquid.
Thanks realmoney re http://www.market-topology.com/correlation/sqqq?etf=1 excellent tool; thats exactly the type of resource that can help. re capital, i often trade 100 shares or less, when testing. the biggest pita is calculating volatility/#shares to trade of each, to be equal; i should use excel; auto-calc eg 100 shares SQQQ = __ of TQQQ etc thx Murray re my TASC articles http://technical.traders.com/archive/combo/display5.asp?author=Ken Calhoun currently with sustained trends i'm looking to swing arb NUGT vs DUST; I'm long 100 dust slightly in the red, will buy nugt if it breaks out
I read your articles in TASC and like the swing trading idea. What option strategies did you have in mind here? I'm not sure how you could properly pick strikes to capitalize on the spread between TQQQ/SQQQ for example.
step 1: calculate # of shares needed for near breakeven (these still need adjusting; LABD/LABU closest): step 2: figure out traling stop/scaling strategy to produce winning daily P&L
Hi Ken, Hope you're well and safe? Came across this post and looks like not much action since Sept 2019 (now 2020 amidst the Corona virus pandemic). I have been using this strategy for quite some time. Are you still using it? I do quant work. I read your article. Be good to chat sometime. Jay
%% I trimmed most , not all of my TWM. Even though the main trend in oil + DAL/LUV sector is still down. Longs look like a V, as in Virus bottom. And a W type bottom is more common........................................................................................
Right, was slow going til lately, now I'm using it with TQQQ/SQQQ VXX/SVXY. A couple weeks ago DWT/UWT JNUG/NUGT. It's a moving target, which pairs to arb/hedge Scanning criteria is to sort a dedicated quote box by biggest percent gainers from open and trade outliers
%% That is most likely bearish for Russia+ oil market +may hurt them worse than US market ?? They voted to reduce RUSL from 3x to 2 times.LOL/True