This isn't necessarily a calendar spread question, but...since we're talking about seasonals and energy spreads, has the 3-2-1 NYMEX crack gone...
Dukascopy has free data for a number of time frames. It should be right on the homepage of dukascopy.com
Why don't you rent a server, either through your broker or even Amazon EC3? You can load whatever you want on it and use your laptop to turn the...
In THEORY, beta gives you more information, because it also takes correlation into account. An ATR ratio just looks at relative volatilities. So,...
The ACD Thread on this forum is probably the best source for discussion of this strategy. It primarily uses Marc Fisher's interpretation of it,...
Are you entering the order as two seperate legs using an autospreader (or floor broker), or are you trading the exchange-supported spread (which...
I would add that just looking at a chart of one contract minus the other is not helpful. That is the LAST minus the LAST. One contract could have...
Someone like Bone could probably give you a more complete answer, but I also looked at this phenomenon with dreams of riches, lol....
The second paper wouldn't attach. Probably too big. Google "GMO beta puzzle."
Here are two excellent papers that explore these kinds of questions - albeit from a volatility, not theta POV. (Being short volatility on most...
The tradingblox forums. High signal to noise ratio on that one. (You don't have to buy the software to participate.)
Go find the ACD thread on this forum. Read EVERY page. Your eyes will be opened. Remember, though, it's not a system, it's a method. You sound...
There are a lot of prop trading firms in Chicago that you could talk to. Even if they don't accept your strategy, you could get a job there. Talk...
I didn't read Option Trading, but the author ("filthy" on the NuclearPhynance forum) said that Volatility Trading is much more advanced. He...
You should read Volatility Trading, by Euan Sinclair. He goes over a lot of different delta hedging models. Some more food for thought here:...
Pairslog is excellent. It is free (for now), and has a screener and a simulator. There is a bit of a learning curve figuring out how all the tools...
What about Octave? Isn't it an open-source equivalent of Matlab? Sort of like GIMP is to Photoshop?
From somebody who is already interested in spreads...What do you think of using ACD directly on the spread value, rather than using ACD on the...
It's pretty easy. You just type in the appropriate math for your two (or more) contracts (which use standard symbols and annotation.) Here is a...
Here is a chart of January WTI Crude vs. December ES. I multiplied CL by 20 to normalize the tick values (CL is expressed in ES terms now.)...
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