Good Spread to Automate?

Discussion in 'Energy Futures' started by comintel, Aug 31, 2011.

  1. Would anyone be able to suggest a good energy (or other) spread trade to automate for automated day-trading?

    I am writing software to do automated trading.

    I do not need to know how to trade the spread - I can figure out that for myself - just the suggestion of a spread or spreads or even markets to look at.

    Of course I understand if people do not want to reveal this, but I thought I would ask anyway.
     
  2. Read everything bone has posted on this site.
     
  3. I pretty well have and these posts are outstanding and do give me some ideas, but most of bone's spreads currently seem to be slightly longer duration than I might want for automated trading.
     
  4. rosy2

    rosy2

    cracks
     
  5. March/April natural gas spread. Very benign. Nothing ever happens.

    Really though, try U12/V12, Z11/F12, or M2/N2/Q2 fly (all natural gas)
     
  6. drm7

    drm7

    +1

    Cracks move a lot during the day. Look at Gasoil/Brent as well as RB/HO/CL.
     
  7. Fantastic, guys!

    I was thinking of cracks and will look closely at them now.

    Thanks!
     
  8. bone

    bone ET Sponsor

    Well, careful what you wish for - that is most definitely an adult swim. Maybe shine just enough light on your strategy to get some constructive feedback about the efficacy.

    Momentum, perhaps ? There is no arbitrage or market-making in there, per se because of the extreme volatility.

    [​IMG]
     
  9. Thanks very much!

    I am pasting charts of a number of these below (sorry for the gaps).

    Is March/April too volatile in general? The hourly does not look too bad in the limited period below for trading mean reversion.

    Daily March 12 / April 12
    [​IMG]
    Hourly March 12 / April 12
    [​IMG]
    Daily Oct 12 / Nov 12 (woops you said Sept/Oct but maybe these will do)
    [​IMG]
    Hourly Oct 12 / Nov 12
    [​IMG]
    Daily Dec 11/Jan 12
    [​IMG]
    Hourly Dec 11 / Jan 12
    [​IMG]
     
  10. I would rather trade mean reversion / reversals if possible. I take it from your comments that the crack spread might not be good for that.

    Maybe the natural gas inter-month spreads would be better as per the other post?
     
    #10     Sep 1, 2011