how correlated are ES, YM, and NQ?

Discussion in 'Index Futures' started by IronFist, Dec 23, 2008.

  1. Eyeball comparisons of their charts look like they pretty much match most of the time.

    Has anyone run any analyses on them to see if one is in fact "more trendy" than the others?

    Or if they ever don't move together, and how often and by what amount?
  2. Or even better, arb them pairs trading style.
  3. you've got PM
  4. MGJ


    Excel has a correlation function "CORREL" which might be able to tell you

    how correlated are ES, YM, and NQ
  5. very much correlated
  6. Good question. Generally they're correllated. But obviously some things can knock them out of wack, like earnings announcements.

    There are some time when the Nasdaq and the Russell will strongly out perform the SandP and the Dow, and that's at the end of a beark market and beginning of a reversal. At such a time you should consistently see the Nasdaq and Russell do better. We're almost seeing that now.

    In general I've also heard that at most time the Nasdaq tends to be the leader of the group, but like most things, that changes too I'm sure.

    Like for example, at one time the BANK index was leading the market, and at another time it was oil. I think it's important to always know the correlations that do exist. You can throw up a quick comparison chart to see which one's leading the way.
  7. i know you can throw up two charts and look, but what is the best way to quantify their correlation when they trade in different tick/point intervals?