successful intraday future pair trading

Discussion in 'Automated Trading' started by sungtaeyoo, Nov 13, 2013.

  1. Does anyone do intraday future pair trading successfully? I did some back testing and the results were good. So i am curious if there is still edge in this area. I used one min data and my algo traded 1 to 8 times per day.
     
  2. jelite

    jelite

    Which pairs did you test? Did you account for fills being on the right bid/ask side?
     
  3. gmst

    gmst

    jelite has asked relevant questions.

    Please share your backtesting results, pairs traded and then I will be able to make a comment relevant to your situation. Yes, I have done some pairs testing on futures intraday
     
  4. I didn't mean to discuss about my test results. What I thought was there was no more edge for individual traders since all big guys are doing all typical pairs especially in future. But my result was surprisingly good. So I did some forward testing with my IB virtual account and it is still good. So I'm hope there is still edges for individuals to succeed in this area and I'd like know if some people are already doing that. BTW my pairs are typical metal or energy ones. Any combination among es, ym, nq doesn't work very well though.
     
  5. gmst

    gmst

    Don't wish to force you but thread will gather much more interest if you share something. Don't have to be strategy, just an equity curve with no mention of strategy or no equity curve but just overall general approach - you see what I mean. Its hard to discuss anything in vacuum.

    Btw, I did some testing on NQ-ES spread intraday and I got some interesting results. I don't trade it though since it was just interesting and not really good. My guess is that crude wti-brent, crack spread, hbob etc. should offer some interesting opportunities intraday.
     
  6. jelite

    jelite

    Gmst is right. At least you could say which pairs you looked at. I am surprised 1 min data is enough for you. Is your approach automated? As in spreads people are usually fighting for every tick so it's hard for me to see how you can get away with one minute data.