How to develop pairs trading strategies with e-mini futures

Discussion in 'Index Futures' started by Junkou, Jul 11, 2021.

  1. Junkou

    Junkou

    Some users have sent emails to ask about the future spread trading, or pairs trading with e-mini futures.

    I have spent the last 15 months in developing future spread trading strategies both in pairs day trading and longer horizons. Followings are some thoughts that should be useful:

    1. Understanding the driven forces of the indices
    An index is a group of stocks that meet some criteria. While individual stock's news can drive the its stock price, the real force that drives one index apart from other indices is the style. A style is the common characteristic that stocks in the index share most. For example, the NASDAQ 100 Index is usually classified as a growth index as most stocks in the index are growth oriented companies. On the other hand, the Russell 2000 Index is a collection of value stocks.

    2. Picking the right pairs

    Not any combination of e-mini futures can be a good pair candidate. For example, NQ and ES is not a good pair, but NQ and RTY is.

    3. Combining strategies

    We can develop several unit strategies, and then combine them together with certain algorithms to reach a more stable and consistent strategy.
     
    MACD and tayte like this.
  2. traider

    traider

    Why did it take you so long ? The basic strategy should not take that long unless you implemented some special features
     
  3. tayte

    tayte

    so which pair
    So besides NQ and RTY, what other pairs, or bigger combinations did you find alright?
     
  4. R1234

    R1234

    trend following or mean reversion (of the spread)?
     
  5. SunTrader

    SunTrader

    "Some people are saying ...." ;)

    My own personal preference of pairings taking advantage of intermarket divergences are Russell with eMini and Nasdaq with Dow.
     
  6. Overnight

    Overnight

    Nas with Dow makes sense. But what is "Russel with eMini"? Heh.

    P.S. I think I get it, you mean Russel with ES.

    Guys, the ES is not the only eMini. They are all minis, they are all Britons! (and you don't vote for kings, etc. Not going to post that vid. No sir.)
     
  7. kmiklas

    kmiklas

    Any comment on classic pairs, like gold/silver (IAU/IAG), VZ/T, Ford/GM, maybe AAPL/MSFT, etc
     
  8. SunTrader

    SunTrader

    Yes they are all minis. But no there is only one eMini. At least to those of us who have traded it since day one.

    And BTW another side note, soon the "big" S&P will be no longer Sept 17th.
     
    Last edited: Jul 12, 2021
  9. MACD

    MACD

    OK you have expertise and perhaps proprietary software. Pricing Please
     
  10. Overnight

    Overnight

    If that is true, that should push a lot of volume to the "eMiniā„¢" Oy!
     
    #10     Jul 12, 2021