Yes, I remember working with a trader a few years ago who trades NQ-YM pairs successfully - he found a nice profitable correlation between this pair.
On Jun 6, 5:17 pm, nonlinear5 <[email protected]> wrote: > > I was first interested in pairs trading - so I wrote some code to do that, > > but due to my lack of java experience it performed terribly. I may try > > again at some point. (BTW, eugene took a stab at something similiar for > > arbitrage purposes, but didn't find any suitable trades once he started > > testing it). > > I've never released JArbitrager, but different people keep asking > about it. I'm going to give a presentation about it to the local > traders group this month in Raleigh, NC. Anyway, here it > is:http://code.google.com/p/jarbitrager/downloads/detail?name=JArbitrage... > > The folks familiar with JBT will recognize the structure of > JArbitrager. Some things needed to be changed to accommodate the > spirit of pair trading, but otherwise, it's very similar to JBT. As > Shaggs mentioned, I gave up on it pretty quickly, as it became evident > to me from forward testing that there is nothing to squeeze out of > pairs such as SPY-ES, DIA-YM, and ES-YM. But it's possible that I have > missed something, or perhaps the arbitrage should be tried on less > liquid pairs. -- You received this message because you are subscribed to the Google Groups "JBookTrader" group. To post to this group, send email to [email protected]. To unsubscribe from this group, send email to [email protected]. For more options, visit this group at http://groups.google.com/group/jbooktrader?hl=en.
