pair trading using the e-minis?

[jayjay121]

hi im new to the technical forum so please bear with me.
I currently trade e-mini futures, mainly the er and ym. I am currently trying to learn about grey1's trading techniques and was wondering if there was a way in which you could use pair trading in trading the e-minis somehow? Be interested to hear any thoughts on that and also i am using Ninja trader and tradestation 8.1 at the moment, is this suitable for pair trading? if so where do i find the correct indicators on my tradestation(i think its the macci, mpd bands and vwrap if im correct)?

any assistance on this would be most appreciated.

jason

 

[garethb]

I would have thought index futures would be far too closely correlated to trade them using Grey1s MPD band approach. Not to say you can't trade the spread between two index futures but I shouldn't think you would find one at the lower MPD and another at the uppper MPD at the same time very often!

Regards

Gareth

 

[jayjay121]

yeah i see what your saying , thanks for the reply.


So do you know wether i can use the indicators required for pair trading on tradestation 8.1?

if so what are they called and where can i find them?

thanks again

jason

 

[animal]

hi im new to the technical forum so please bear with me.
I currently trade e-mini futures, mainly the er and ym. I am currently trying to learn about grey1's trading techniques and was wondering if there was a way in which you could use pair trading in trading the e-minis somehow? Be interested to hear any thoughts on that and also i am using Ninja trader and tradestation 8.1 at the moment, is this suitable for pair trading? if so where do i find the correct indicators on my tradestation(i think its the macci, mpd bands and vwrap if im correct)?

any assistance on this would be most appreciated.

jason

Jason
Years ago now, I recall investigating a DOW/FTSE pair strategy which was "interesting".
At the time it was aimed at spreadbetting, since those positions were probably laid off in the futures market it begs the question of a FTSE/DOW front month futures pair strategy.

As I recall (rather faintly), it was fairly simplistic without weighting or clever stuff.
If the DOW - FTSE difference was "some degree" greater than its MA, sell the DOW and buy the FTSE and vice versa. I don't have the details any more but recall backtesting on EOD data.
There were generally "very good" returns but every now and then they got out of kilter and gave a singleton big loss, it was I think possible to trap those.

There is a lot of correlation between these two (some 30% of Ftse earnings are US based), never did put my finger on what caused the odd glitches but suspected currency to be involved or more likely, oil prices since the FTSE has something like a 25% weighting to oil and I'm not sure that that maps equally into the DOW weightings.

As so often happens, I lost interest and "did something else"
With some of the ideas on this list it is worthy of a re-visit.

Maybe someone here has a handle on it?

Martin