Anyone use a Relative Value Trading Strategy? I personally use one between Bonds and Stocks. I'm curious to hear from other RV traders.
Relative Value usually applies to instruments within the same asset class (bonds vs. similar bonds, for example). Stocks vs bonds is therefore not RV, but rather a spread trade. Are you interested in relative value or spread trading?
I'm interested in both. I trade the Es/Nq so i'm trying to structure something that interacts with the bonds... I have a system that trades once every 2 weeks when the signals align but i'm trying to make something that will help me trading day in day out. Any suggestions?
Trading bonds against stocks on a "fundamental basis" is probably best done longer-term (think weeks or months) through some type of regression modeling. This wouldn't be rv trading, per se, but rather more econometric modeling. Short-term (days or less) I would look at purely statistical relationships (momentum or mean-reversion strategies). There is a poster named Bone who seems to be in touch with spread trading (which is what you are trying to do), so I would look up his posts.