Futures Spread Trading Strategies
Author: akardar1
Creation Date: 6/4/2010 7:07 AM
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akardar1

#1
Hello All,

Has anyone tried to use WL for futures spread trading strategies ?
There arent many posts (a few that go back 4-6 years).
There are some advantages to these stategies, and I am keen to know if anyone has tried
to implement/backtest these strategies within the WL environment


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RuneHS

#2
Hi there,

I have tried this out for some time. First, I programmed strategies that traded on both futures contracts A and B and thus generated sales and buys for both. However I ran into a couple of "SetContext()" issues, and at the end of the day I found it much better and easier simply to create a new series C = A - B, and then define this new series "C" in symbol info manager.

Example: say that we are dealing with to eurodollar contracts, EDU0 and EDU1 (the calendar spread). "Point value" for both are USD 2500 (SIM). In this "one-for-one" case, I would make a new series "EDU1 - EDU0" and set that one up in the SIM with same point vale USD 2500, and off we go. Of course you have to remember that "buy" and "sell" refers to the package of contracts.

Dealing with packages of futures that are not one-for-one, e.g. X amt. of 10 year bond contracts for every Y amt. of the 30 year, is doable, I think. Expanding this to spreads btw. currencies, e.g. the 2 yr in USD vs. the GBP gilt 10 yr, or between different contracts types within one currency space e.g. EDU0 vs. TYU0 (eurodollar Sep. 2010 vs. 10 yr bond contract 2010), complicates things, but I argue that you can work it out.

WealthLab is really not a multi-currency platform, but if you dump out trades and profit/loss in a standard way and put everything together outside WealthLab (at least I have to do it this way), then it really works as a multi-product and -currency application!

Another thing that I have found is that you really have to trade the same series that you observe. That seems very logical I know, but you could imagine looking at the yield spread (i.e. the interest rate spread) btw. 2 and 10 year bonds and then trading the contracts
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Cone

#3
QUOTE:
... dump out trades and profit/loss in a standard way and put everything together outside WealthLab (at least I have to do it this way), then it really works as a multi-product and -currency application!
You can put it all together inside a custom Wealth-Lab Performance Visualizer too. Just a thought.
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akardar1

#4
RuneHS, Cone,

Thank you for coming back to me, very helpful, I ll start some work and see how far I get.