(non)correlation between different futuremarkets

Discussion in 'Automated Trading' started by PietdeWit, Jun 25, 2006.

  1. I'm looking for information about the (non)correlation between different futuremarkets around the world and also the value in dollars of the spread in these markets. Where can i get this information?
    What is the right amount to deduct for slippage and commission in trading the mini's (ES,NQ) when designing trading systems?
  2. nitro


    The B/A spread + say $2.00 per side per contract. So, the (PointValue / MinimimTickSize) + $2.00, per side per contract, in dollar units.

    So for example, in ES assume you are down $14.50 to get in and $14.50 to get out. That means when you enter a trade in ES assume you are down $29 per round turn per contract. That is what you have to overcome. That is the "blind and rake."

  3. Thanks Nitro!

    But isn't Pointvalue/MinimimTickSize for ES: 50/12,50=4?
    I also don't understand that slippage according to your answer has nothing to do with the spread. I thought total costs would be:
    ((bid-askspread)*Pointvalue + commission)*2 for a round turn.
  4. nitro


    Sorry, PointValue/TicksPerPoint, which equals $50/4 = $12.50. Your equation is correct and gives $14.50 per side on ES assuming $2 for comission per side.

    On YM and NQ you have to be a little careful because even in the front month, the B/A spread is not always the min tick value. But it is a reasonable approximation.

  5. rosy


    here's data over the last 85 days of some indexes, energies, ags
  6. hi rosy ... if I read that correctly the correlation between GC and SI is .887 ?

    what is a good source of historical futures correlations going back to 1982 or 1974 ?
  7. rosy


    right. GCQ6 and SIN6 have an 88 correlation. this is based off logrithmic daily returns.

    www.mrci.com has correlations as well
  8. cybmaniac


    If you have access to it, do a multi-security correlation matrix in Bloomberg. By far the easiest and most extensive way to do what you're trying to do. Alternatively you can just pull the historical data from the exchanges yourself and then do the correlations manually within excel.
  9. Hi All,
    You keep looking for correlations and non-correlations.
    In the meantime I'll keep on squeezing out profits.