calender spreads

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jas-105
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calender spreads

Post by jas-105 » Sun May 24, 2009 2:04 am

I am building a database of calender spreads using Esignal and Qcollector . This works fine but is somewhat longwinded and there is the requirement to create the backadjusted files manually.

I appreciate that the exchanges themselves offer this data but it is pretty expensive !

Can anyone recommend a better approach ?

Roger Rines
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Post by Roger Rines » Sun May 24, 2009 12:57 pm

Jake Bernstein published a database program a long time ago, late 1989 or early 1991, that provided a process of finding spread trades. Frank Taucher also published spread trades in his SuperTraders Almanac. Moore Research also publishes Spread trades in a few of their publications. In the Moore Research publications, they also show the actual spread charts as a historical perspective that might be good fodder for finding new opportunities. Moore also has a monthly spread newsletter that published calendar spread signals.

One of the biggest issues with all of the above is a lack of logic that can be used by a system trader to understand if the conditions that generated the signal are in place for the spread trade. Without the logic of knowing when to get in, there is no good way to know when the spread trade is failing so you can know the spread has failed and should get out.

What I liked about the above items where the leads to go looking for certain conditions that I might not have found by using a system spread process like a moving average. I was never able to use the information blindly, because of my need to test everything before I risk, but some good ideas do pay for the publications, and some spreads are still working, but I don't know of any that work every year.

jas-105
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Post by jas-105 » Mon May 25, 2009 3:19 am

Roger

Thanks for all that info, I'll take a look at those publications and see where it takes me,

Cheers.

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