Oh the irony. I'm sorry, that is just hilarious. Ripley, be sure to throw in the added bonus documentary of how it was created as well
haha.. I was joking when I said I'll sell it for $150... I put all my sweat, and $$$ equity into it through the years, maybe for $15,000 I'll think about it. You can PayPal me at ripleyGQ@gmail.com
When pair trading the ES against YM what ratio do you use? Does anyone pair trade ER2 against YM? What ratio would be used?
Ripley, What a deal....$1.50.........i will take it.........I always thought you were also Blackguard.......
The clean ratio is 12 YM vs 5 ES which works out to $60/tick. However, the technicality is with regards to how many YM points occur within a single ES tick (.25 points). Usually there is about 2-4 YM points for every .25 ES points. Personally, I use a 1:1 ratio for all futures since the correlation for nearly all index pairs > .95. Any typical scattered plot makes this plain and simple to see. Plot charts make super charts for pair trading... I stumbled on this aspect as a way of dealing with currency pairs. It's more boring than my usual trading but then again, the probability space is very confined. It only takes a very beginner level understanding of what correlation looks like in a plot in order to make this work in real time. I checked the ER2 against the YM and the scatter plot is identical. As a matter of perspective, ES vs SP yields nearly a flat diagonal line. Well this makes sense because it is the simplest case of pairing where automated trading prevents large pair differences. I would expect correlation between mini and large to be nearly 1. However, given that SP is in the pits during the day, there are occasional disparities... Kind REgards, MAK
best of luck with the pair trading es/ym but I can't see how you can make anything worthwhile doing it..... these things are arbed to death imo
Agreed, but the arbing is on the ETFs against the same index, not against other indexes. It is viable as evidenced by correlations being considerably less than those of Same ETF/ Same Index Future. Nonetheless, it is an additional opportunity available for traders... Kind Regards, MAK