Spread Trading - Strategy & Calculation

[assamese]

Bala,

Please send email to info-at-symphonyfintech-dot-com so that we can correspond. Thanks - Sanjay

 

[iGuru]

HERE IS THE LINK FOR EXCEL SHEET.
http://www.ziddu.com/download/12044715/MCXEDITEDBHAVCOPYLEADZINC.zip.html

I WOULD REQUEST IGURU SIR TO EXPLAIN MY DOUBTS IN MY PREVIOUS POST.I WOULD ALSO REQUEST OTHERS WHO ARE SYUDYING THIS STRATEGY TO POST THEIR RESULTS/DOUBTS , SO THAT WE CAN LEARN MORE AND CLEAR OUR DOUBTS.
THANK YOU!!!

Hi Trader24,

I have seen your excel sheet, but I didn't understand what exactly do you want to know. If possible please make it in broader term or else please call me I have given my contact detail in this post..........

Regards,

iGuru

 

[dewashish]

Sir,Help me with same spread strategies for other commodities.
Also what is your present buy sell strategy for zinc and lead.

 

[iGuru]

Hi iGuru,

I have been testing your strategy in various agri commodities and it is always successful if the gap is more or less than the average bull or bear spread gap.

I want to know what is standard deviation and how it helps you to understand the entry and exit points.

I want to know how the spread range i.e bull & bear spreads provide a basis to take decision for entry and exit.

The calculations what you have made are simple to understand but really what is the theory or a explanation from you make this calculations (like std.dev, bull spread, bear spread) work and help you in deciding the entry and exit points.

Will be thankfull to you if you answer my doubts.

Waiting for your valuable reply.

Warm Regards,

Hitesh.

Hi Hitesh,

First of all Im thankful that you have tested it for various Agri. Commodities and it work well there and sorry for replying you so late. It will be helpful for me if you will be able to contact me, as now Im very busy with my work and your query required lots of explaination (I have given my contact details here).

And I request all the members to keep on posting your doubt here, as it will help me to keep updating the article in a better & more detailed way for the benefits of Traderji members.

Regards,

iGuru

 

[iGuru]

Sir,Help me with same spread strategies for other commodities.
Also what is your present buy sell strategy for zinc and lead.

Hi Dewasish,

Please tell me exactly what you want to know in Spread Strategies.

Currently I don't have any position in Spread.......... as I'm waiting for the right oppertunity to go Bear spread in Lead & Zinc.......... as there currently spread gap is in negetive. If it will trigger my bear spread oppertunity then I will go for it.

Regards,

iGuru

 

[veluri1967]

Hi...iGuru,

I have checked up this strategy on Silver Mini (Near and Far). Though it made a profit, it is very little. Spread ranges from 70 to 220. (Here I have omitted extreme readings for more reliability. Extreme minus reading is -8 and extreme positive reading is +301). Less profit may be because each Re.1 gain in Silvermini results in only Rs.5 profit. Whereas in Lead and Zinc each Re.1 gain results in Rs.5000 in case of Lead/Zinc and in Rs.1000 in case of Lead/Zinc Minis.

As per my observation, the products should be such that each Re.1 gain should result in maximum profit and the variation in Spread is not erratic and much to protect from losses in case of eventuality of failure.

I would like to thank you for introducing me to a new concept in trading and it would always be a pleasure to read your posts.

 

[dewashish]

Hi Dewasish,

Please tell me exactly what you want to know in Spread Strategies.

Currently I don't have any position in Spread.......... as I'm waiting for the right oppertunity to go Bear spread in Lead & Zinc.......... as there currently spread gap is in negetive. If it will trigger my bear spread oppertunity then I will go for it.

Regards,

iGuru

Sir,
I want to know whether this same strategy you showed in excel is applicable for all commodities(BearSpread & Bullspread).
Also, how to know degree of co-relation between 2 commodities like you told Zinc/Lead had 80% co-relation.

 

[iGuru]

Hi...iGuru,

I have checked up this strategy on Silver Mini (Near and Far). Though it made a profit, it is very little. Spread ranges from 70 to 220. (Here I have omitted extreme readings for more reliability. Extreme minus reading is -8 and extreme positive reading is +301). Less profit may be because each Re.1 gain in Silvermini results in only Rs.5 profit. Whereas in Lead and Zinc each Re.1 gain results in Rs.5000 in case of Lead/Zinc and in Rs.1000 in case of Lead/Zinc Minis.

As per my observation, the products should be such that each Re.1 gain should result in maximum profit and the variation in Spread is not erratic and much to protect from losses in case of eventuality of failure.

I would like to thank you for introducing me to a new concept in trading and it would always be a pleasure to read your posts.

Hi Veluri1967,

Thanxs for applying the strategy in Silver Mini. You can try it in Silver standard, their you will get good Return per Tick @ Rs. 30

 

[iGuru]

Sir,
I want to know whether this same strategy you showed in excel is applicable for all commodities(BearSpread & Bullspread).
Also, how to know degree of co-relation between 2 commodities like you told Zinc/Lead had 80% co-relation.

Hi Dewasish,

As of now I have seen that Spread works with these Commodities very well (I keep on doing the backtesting of various commodities & cross commodities for Spread strategy):

Gold, Silver, Copper, Zinc, Lead & Zinc
(As I don't trade in Agri Commodities........... So I have never tested it.)

To know the degree of correlation between the two commodities in excel, put the formula:

= CORREL(Commodity 1, Commodity 2)

It determine whether two Commodity sets are related, and if so, how strongly. The correlation coefficient ranges from +1, indicating a perfect positive linear relationship, to -1, indicating a perfectly negative linear relationship.

 

[balaj78]

Hi Dewasish,

As of now I have seen that Spread works with these Commodities very well (I keep on doing the backtesting of various commodities & cross commodities for Spread strategy):

Gold, Silver, Copper, Zinc, Lead & Zinc
(As I don't trade in Agri Commodities........... So I have never tested it.)

To know the degree of correlation between the two commodities in excel, put the formula:

= CORREL(Commodity 1, Commodity 2)

It determine whether two Commodity sets are related, and if so, how strongly. The correlation coefficient ranges from +1, indicating a perfect positive linear relationship, to -1, indicating a perfectly negative linear relationship.

hi,
To find correlation between two commodities how many days data we need to find . Can you give us the other correlated commodities like silver and gold , copper and aluminium ect .Is there any tools to find the correlation.

regards
bala