Spread Trading

[aboc]

Hello,

I intend to study strategies on spread trading (intermarket spreads). Could somebody trading spreads advice me good books to read, or explain his way, his experience, his strategy...
Thank you

aboc

[DuaneG]

Hi Aboc,

You may want to take a look at Spread Trading: Low Risk Strategies by Howard Abell. I've had this one in my arsenal for some time now and still re-read it from time to time. This one's a keeper....

[aboc]

Thank you Duane,

I just received this one and began to read!
Aboc

[dgellman]

Spread Trading

hi,
I wanted to know if there is a "canned" formula within esignal to calculate spreads???
Or, do you know where I could locate a spread study?
I basically want to subtract one currency from another, and wind up with a graph of that spread.

[ACM]

David
The attached efs will calculate and plot a spread in an indicator window.
The default symbols are SPY and QQQQ and can be modified through Edit Studies. If you wish to change the defaults open the efs and replace the symbols in lines 21 and 25.
Note also that you can compute a spread directly in the price window without the need of an efs. Use the expression [symbol] - [symbol] as the symbol. For example IBM - MSFT
Alex

[dgellman]

Spread Trading

Thank you so much. Right after I posted my question I found the 2nd choice you gave me, and it works. I will try the .efs too. But, do you see any advantage to using the .efs vs. just typing in the symbols???

[ACM]

David
Not really. As a matter of fact plotting it as a symbol offers the advantage of being able to apply studies directly to the spread.
Alex

[dgellman]

Spread Trading

One more (possibly) silly question. What is the difference between....AUD A0-FX - JPY A0-FX....and
AUDJPY a0-FX?????

[ACM]

David
With AUD A0-FX - JPY A0-FX you are calculating a spread between the individual symbols. Note though that those symbols are reported in different currencies ie. AUD which is AUD/USD is in US$ while JPY which is USD/JPY is in Yen. AUDJPY A0-FX instead returns the value of that currency pair reported in Yen.
Alex