Marcelo Andreotti Posted July 1, 2015 Report Share Posted July 1, 2015 Hello, I'm investigating the pairs trading strategy, but I'm not an engineer ¿Is there any indicator to trade directly on the spread? The simple idea: 1) Find two highly correlated instruments. (Example: NQ and YM, futures) 2) Create a relative index difference between the two. (spread). 3) In theory, the differences will tend to average. (mean reversion) 4) Buy NQ, YM and Sell in same in equal proportions. 5) Sit back and wait to return to mean. On the Internet I found one, but the company no longer exists, you can see the video here: Ninja Trader Indicator...but dead: Info: Market Neutral: http://www.investopedia.com/articles/mutualfunds/09/market-neutral-funds.asp More concept on internet:: Market Neutral Spread Trading Quantitative Trading Pairs Trading Cointegration Thanks!!! ⭐ ESVepara 1 Quote Link to comment Share on other sites More sharing options...
Lenry Posted July 4, 2015 Report Share Posted July 4, 2015 XTrader has an Autospreader feature for doing things like this, you can plot the spread on a chart and then execute both legs at the same time to try and reduce execution error. On the chart itself you can try a VWAP with the 2,3 standard deviations and look to rotate to the VWAP. Quote Link to comment Share on other sites More sharing options...
⭐ ESVepara Posted July 4, 2015 Report Share Posted July 4, 2015 Please see the following link - I have updated the link to the file and manual. However, their website is now defunct. http://indo-investasi.com/showthread.php/23747-professionalspreadtr-ding-c0m/page2?highlight=pair+trading Quote Link to comment Share on other sites More sharing options...
admis Posted July 4, 2015 Report Share Posted July 4, 2015 (edited) Please see the following link - I have updated the link to the file and manual. However, their website is now defunct. ... https://www.sendspace.com/file/s6gse9 (the sources + short introduction+ CQG spread symbols (traded spread)) CQG Spreader: http://cqg.com/products/cqg-spreader Edit: http://arb-maker.com http://chronos-tech.com/ Edited July 4, 2015 by admis ⭐ whinny, ⭐ zbear, ⭐ ESVepara and 7 others 10 Quote Link to comment Share on other sites More sharing options...
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