When people trade related vehicles

Discussion in 'Trading' started by IronFist, Dec 17, 2017.

  1. How early do they start the correlation? Last time they touched on earlier charts? 8:30 am starting over all days? Is there a moment that lets them say ok this is zero and there is not a difference? I don't understand it without this.
    murray t turtle likes this.
  2. sle


    It depends on your prior hypothesis really (for example, are the securities co-integrated?), so it’s impossible to generalize.
  3. Gambit


    @sle, how much value do you place on stationarity and cointegration? It seems like that even the most cointegrated pair can break down at any time.
    murray t turtle likes this.
  4. truetype


    "And immediately there fell from his eyes as it had been scales: and he received sight forthwith..."
    murray t turtle, sle and vanzandt like this.
  5. sle


    Are you getting ready to baptize him? :)
    murray t turtle likes this.
  6. Gambit


    point taken...point taken...
    murray t turtle likes this.
  7. bone

    bone ET Sponsor

    I typically model intra and inter market Spread correlations over an OTR 2 year period. Personally, I will not use a Spread combination with <93% positive correlation on Daily marks - this is my own screening requirement to drill down and investigate further.
  8. %%
    Good points; more follow.
    I like what the mature DOW derivatives trader said[public poster of trades] on elitetrader-- ''its correlated to itself'' Great practical points quote:cool::caution:
  9. I'm not sure what that means.

    @bone thanks for the description.

    My idea is that if you're starting it every day when trading begins, it might be more separated than if you started at some other time.
    murray t turtle likes this.