I've done that in that past. And it seemed to work well. I haven't spent as much time looking at that specifically. I think it's a very viable idea. I guess if one builds a large enough database, that idea could work well. Since I'm not a programmer, I find it easier to notice products individually and then locate another product to spread it against. Honestly I would love to work on this on a large scale. In the past I charted those spreads on TS.
BTW, I would not limit this to just futures. With all the sector ETF's there are literally thousands of combinations of spreads.
I've actually thought about this same thing, the only thing tough part might be which opening ranges to use. If you are doing a stock against a stock, it would be simple. Try it and let us know how it goes.
Here is an interesting example of how spread trading works better then the outright. In March of 2009, the ES bottomed at 666 only to rally all the way up to 1373 blowing out most of the stubborn shorts. All along the way the bears have been trying to short this market only to watch it stop them out time after time. Had they simply been Short the ES against a long gold position, they would be seeing the ES take out the 2009 lows. As you can see, the market retraced only slightly for the first 6 months after putting in the lows before rolling over and has been going lower ever since.
That's very interesting, I think I'll give it a try today and let you know what I come up with. Unfortunately NinjaTrader doesn't have built-in spread charting so programming this stuff it's gonna be a bit tricky and ugly, but an interesting experiment nonetheless.
No more expensive then holding a position in ES and a position in Gold. This is NOT a spread I would want to lever up anyway. Keep in mind, these are overnight positions, not day trades. This spread can have VERY large moves against you. You should probably respect the margin requirement.
Well, I think what that chart is showing you is the same chart that the long term bond is showing you. The lower interest rates go, the cheaper it becomes to own gold. As nominal rates around the world have gone to zero, that chart of the risk assets over Gold continues to make new lows. The risk in that spy/gold chart is if bonds crack, and they will, and rates go much higher, gold will get crushed and that chart will reverse itself fast. So I don't view the chart as an ominous sign just yet. I think the scary time will be when that chart starts going up.
Mav is it possible to add this as an attachment, pic not showing up here and when I open the link it takes me to barchart log in, tried this on laptop and desktop.