Non-correlated markets

[robster970]

I'm looking for measures of correlation between various markets as I'm considering extending my trading from just ES to ES + ANO. So it makes sense to me to trade a market that isn't highly correlated to ES.

I have a hunch that an FX pair might be good but is there any quantitative data out there for market correlation to confirm this?

 

[Brock Landers]

I'm looking for measures of correlation between various markets as I'm considering extending my trading from just ES to ES + ANO. So it makes sense to me to trade a market that isn't highly correlated to ES.

I have a hunch that an FX pair might be good but is there any quantitative data out there for market correlation to confirm this?

At some point, everything is correlated to everything else.

 

[Jimmy Lulz]

I'm looking for measures of correlation between various markets as I'm considering extending my trading from just ES to ES + ANO. So it makes sense to me to trade a market that isn't highly correlated to ES.

I have a hunch that an FX pair might be good but is there any quantitative data out there for market correlation to confirm this?

Would it not make more sense to add things that are correlated (YM, NQ etc)?

 

[Dommo]

Have a look at ES v Silver

 

[Liquid validity]

I'm looking for measures of correlation between various markets as I'm considering extending my trading from just ES to ES + ANO. So it makes sense to me to trade a market that isn't highly correlated to ES.

I have a hunch that an FX pair might be good but is there any quantitative data out there for market correlation to confirm this?

ES V Gold
More on the Gold / Stock Market Correlation - Seeking Alpha

If you want more info you could always ring Jim Simons, but being a total quant
he would probably refrain

 

[robster970]

@Brock - I know this but I'm looking for a low correlation. I'm also interested to see some numbers supporting this (is this Beta?)

@Jimmy - Yes if I want to trade more frequently simultaneously and be exposed to double the risk but I'm looking at having positions open in both markets and want a lower correlation so that overall systemic risk is lower in relation to having higher trade frequency. Jesus - did that make any sense?

@Dommo - cheers.

 

[Dommo]

Or ES v EURCAD

 

[robster970]

This is portfolio theory stuff isn't it. I should really read up a bit more on this.

 

[Jimmy Lulz]

@Brock - I know this but I'm looking for a low correlation. I'm also interested to see some numbers supporting this (is this Beta?)

@Jimmy - Yes if I want to trade more frequently simultaneously and be exposed to double the risk but I'm looking at having positions open in both markets and want a lower correlation so that overall systemic risk is lower in relation to having higher trade frequency. Jesus - did that make any sense?

@Dommo - cheers.

It does indeed.

What I do is slightly different. Index futures are seriously positively correlated as you know. I don't trade them simultaneously, I use them to broaden the possibilities to get a good signal.

So instead of having to wait for the move on ES to reveal itself, I might get it on NQ. I've also tended to find that if there is essentially the same set up on different contracts, it is best to take the best one. Might sound weird, but that's been my experience.

 

[Liquid validity]

http://solvay.ulb.ac.be/cours/chapelle/200405/Solnik_et_al_(1996).pdf
A Look At T-Note Yield Curve, Market Correlation: Time To Buy? - Seeking Alpha

 

[robster970]

It does indeed.

What I do is slightly different. Index futures are seriously positively correlated as you know. I don't trade them simultaneously, I use them to broaden the possibilities to get a good signal.

So instead of having to wait for the move on ES to reveal itself, I might get it on NQ. I've also tended to find that if there is essentially the same set up on different contracts, it is best to take the best one. Might sound weird, but that's been my experience.

That would work for my intraday Jimmy and as you know, I use NQ and YM to confirm/non-confirm my ES intraday stuff.

However, the bulk of money comes from trades that are in swings on ES so I'm holding between 1 and 4 days. Hence my opportunity to trade is limited and a non-correlated market where I can double trade opportunities for less than double the systemic risk where trades overlap is what I'm looking for.

 

[Brock Landers]

my point was that correlations never last forever. Whatever you choose initially will become highly correlated at some point in the future.

If you were to put a gun to my head, I would say something like AUD/NZD, or maybe try the agris/softs. Something slightly outside the headline instruments across major asset classes.

(and, yes there is a way to get data on it... dowload the prices and to...err, what's it called\/ Oh yeah, CORRELATION on it)

 

[robster970]

(and, yes there is a way to get data on it... dowload the prices and to...err, what's it called\/ Oh yeah, CORRELATION on it)

Facepalm - LOL.

Thanks dude.

 

[Jimmy Lulz]

If you were to put a gun to my head, I would say something like AUD/NZD, or maybe try the agris/softs. Something slightly outside the headline instruments across major asset classes.

That's not a bad idea. I keep looking at agricultural futures, although I've never got far enough with a method to actually put some money down. Still, in terms of lack of correlation they could be what you're looking for.

Very tricky to trade intra-day I think though (or maybe I just don't understand them ).