Oil with Rates arbitrage

maninjapan · Aug 1, 2013

rokka, why would you compare them using the highs? trying using the close to close returns for your correlations and see what you get

nitro · Aug 17, 2013

Quote from scriabinop23:

before you get carried away with the trade, you should google the topic of stationarity and put some statistical measures together that can give you an idea of your likelihood of success entering the spread at various levels.

The tools exist to tell your your probability of success (and even expected payoffs) with historic data that tends to be mean reverting .... [ assuming its not by chance, which it really isn't -- every correlation trader sees these relationships and plays this game... ]
but ... short ZN = long ES = long NQ = long CL = long USDJPY = short ZB = long GC/SI (conditional certain regimes) = etc etc ...

So you might find better luck analyzing different pairs.

that said, correlations work until they don't, then they do again... often regime shifts will eat all of the $$$ you make previously on a stable tight reversion between a pair. Well such is true with most trading so that shouldn't stop you.
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By this measure USDJPY is the most complex pair in the known universe.

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Oil with Rates arbitrage

maninjapan

nitro