AntelopeStew
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What is the correct way to construct and weight a spread on the DAX and FTSE index futures?
The formula I am using with the esignal spread tool is (AX H8-DT * 25 * '6E H8') - (Z H8-EEI * 10 * '6B H8'). That is, (the index value of the DAX times 25 EUR times the value of the EUR futures contract), minus (the index value of the FTSE times 10 GBP times the value of the GBP futures contract).
The dollar value ratio of the indices is roughly 2.3:1 (DAX:FTSE). The spread position size would be 5 FTSE contracts to 2 DAX contracts (7 to 3 is also pretty close).
Obviously this isn't an exact solution, but it appears to make sense on the chart. Also, the simulated trades I did were profitable even with the sloppy execution (i.e., legging in manually, as my platform doesn't have a spread trader).
I want to be sure I'm not overlooking something here, especially with respect to dollar value weighting and the influence of the respective exchange rates.
Thank you.
The formula I am using with the esignal spread tool is (AX H8-DT * 25 * '6E H8') - (Z H8-EEI * 10 * '6B H8'). That is, (the index value of the DAX times 25 EUR times the value of the EUR futures contract), minus (the index value of the FTSE times 10 GBP times the value of the GBP futures contract).
The dollar value ratio of the indices is roughly 2.3:1 (DAX:FTSE). The spread position size would be 5 FTSE contracts to 2 DAX contracts (7 to 3 is also pretty close).
Obviously this isn't an exact solution, but it appears to make sense on the chart. Also, the simulated trades I did were profitable even with the sloppy execution (i.e., legging in manually, as my platform doesn't have a spread trader).
I want to be sure I'm not overlooking something here, especially with respect to dollar value weighting and the influence of the respective exchange rates.
Thank you.
