I'm trying to set up a basket with the Nasdaq and all of its major weightings to get a better idea of the flow of it all. Does anyone have any suggestions or material in regards to setting up the weightings for something like this...?
I;m not looking to do HFT arb. I'm simply looking to make a basket from the 10-15 largest weightings in the nasdaq to help me decide when I should go long or short the index. I swing trade so i use EOD data to backtest. I read an article that basically says you need to figure out what assets cointegrate with the index in order to figure out the weightings. I was wondering if there was an easier way to do this since i don't know R and don't own matlab is there a way to test for cointegration in excel?
advise would be simple-don't bother. i tried track all major ETF's with their components(to see,if there is any discrepancy)-they are in perfect sync. at least during the day. maybe you can find something during the open,but it will be offset by limited liquidity,execution and your fill ratio. at least that what i've seen. here- http://www.sectorspdr.com/spdr/composition/?symbol=XLF keep in mind-they changed weightings daily
Lol your going to have to give some support for your argument to really not research this further. The last 2 times the Nasdaqs had a decent drop in the past month the major weightings all gave me sell signals on my system but I havn't backtested this idea yet so I would never place a trade As I said, i'm not looking to microscalp, i;m looking to make a basket to help me gauge where the NQ is trading at in relation to its major weightings in addition to my system
Another thing I should add... I'm not looking to trade it based on imbalances, I'm looking for other things that I can't really disclose on the thread. What I can say why I am targeting the nasdaq is because what moves it (i.e. tech) really move it and theres 2 other sectors that also contribute. Every now and then a divergence does occur between the sectors which can provide a trader with some insight
Get dirty and dive in.... your wanting to do quant methods... so learn R... if you end up continually doing stuff like this there will be no getting around it... excel will only get you so far
http://www.etfchannel.com/lists/?a=stockholdings&symbol=QQQ % weight is given. you can do the rest in excel. ----Every now and then a divergence does occur between the sectors which can provide a trader with some insight---- yeah..divergence..today was s good example IWM vs QQQ. but this particular example is imo based on simple beta. dunno what you looking at,but good luck with your research