Spreading Formulas

[HammerMan87]

Hi All,

Has anyone the formulas for the Spread/Hedge Ratio and Price Ratio for spreading. I would like to know the formualas for a 2 and 3 legged spread?

Also, does anyone know and good spreading websites?

Any help is appreciated.

Regards,

HM

 

[-oo0(GoldTrader)]

Spread Charts

I see that you are from Illinois. These charts put you up a notch, because Moore uses spreads to take advantage of securities that show proven seasonal tendencies.

does anyone know any good spreading websites?

These spreads are primarily Chicago, with a few New York scattered in.

See: Jerry Toepke's Weekly Spread Commentary

See: Chart below.

 

[Martinghoul]

What are you spreading?

I saw this guy, but I think you need to pay him to get his stuff: SpreadProfessor - Home

 

[-oo0(GoldTrader)]

Teachers

Thanks for the tip.

What are you spreading?

Seasonals

I saw this guy, but I think you need to pay him to get his stuff: SpreadProfessor - Home

He has a subscription-based consulting service for developing professional traders. The cost is $750 per month.

As long as we are talking about teachers that are still living, lets not leave out author, teacher, and trader, Joe Ross Joe’s spread trading book is indispensable because it teaches how to read close-only charts. The kind necessary for trading seasonal spreads. Joe also shows the methodology for running oscillators on your spreads.

See: Joe Ross http://tetradersforum.com/forum/showthread.php?t=1580Spread Trading in Futures.

 

[Martinghoul]

Seasonals

Seasonals in what? Lean hogs, milk, gold, oil, stock indices, STIRs?

 

[-oo0(GoldTrader)]

Balance

Yeah,

Seasonals in what?

Lean hogs, gold, oil, stock indices?

The formulas on these are usually one to one.

 

[HammerMan87]

Hey,

thanks for your replies. The formulas I am looking for are for 2-3 assets. say Gold and the Dollar but it could be anything. As long as they are highly correlated. How much of Gold would I buy and how much of the Dollar would I sell to be effectively hedged? Then how do I calculate a spread price for which I can base PnL on? Same for 3 assets like the Crack or Crush Spreads?

Thanks,

HM

 

[Martinghoul]

Hey,

thanks for your replies. The formulas I am looking for are for 2-3 assets. say Gold and the Dollar but it could be anything. As long as they are highly correlated. How much of Gold would I buy and how much of the Dollar would I sell to be effectively hedged? Then how do I calculate a spread price for which I can base PnL on? Same for 3 assets like the Crack or Crush Spreads?

Thanks,

HM

I don't know of any hard and fast rules, personally.

Regression in Excel is your friend, though. Once you have the weights, you can calculate the price of the spread using those weights. That's how I would go about it.

Isn't crack spread a two-asset spread? For things like cracks, I think there's mkt conventions for calculation of prices.