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.
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.
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)
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.
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 Hourly March 12 / April 12 Daily Oct 12 / Nov 12 (woops you said Sept/Oct but maybe these will do) Hourly Oct 12 / Nov 12 Daily Dec 11/Jan 12 Hourly Dec 11 / Jan 12
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?