Unique CTA spread strategy

Discussion in 'Trading' started by Il Principe, Feb 24, 2011.

  1. Il Principe

    Il Principe Guest

    " They will enter trades via an inter-market spread between the e-mini S&P 500 futures and e-mini Nasdaq 100 futures; with the emini S&P always the ‘leader’ in the trade, they buy the SP and sell the Nasdaq when a long trade is signaled, and sell the SP and buy the Nasdaq when a short trade is signaled. The program will typically look to enter the position with a ratio of five long ES contracts to one Short NQ contract, but trades can also be entered at a ratio of 5/4 and 7/4. Another unique characteristic is their use of legging out of, and back into the spread, on a daily basis depending on market conditions that day. "

    5 to 1 is pushing it, but as the fly said as he walked across the mirror, that's one way of looking at it.
  2. Specifics aside, it's surprising that over the long term buying lower beta for long trades (or the opposite on the short side) would work to your advantage. My 2c.

    ...that said, who knows what they're actually doing.