Quantitative investment and trading ideas, research, and analysis.
Friday, November 17, 2006
GLD-GDX spread reverted to 0 this morning
Just a quick note on the GLD-GDX spread that I have been talking about. This morning (Nov 17) the negative spread completely reverted and has gone into positive territory.
Howdy Eric. Love your blog. Just an observation on the GLD-GDX spread trade. Having re-created the data set (and others you've posted), it would seem to me that in order to minimize/manage risk appropriately, the most logical way to trade these spreads is when they break outside 2 standard deviations of the mean. If my data is correct, its roughly +/- 250 points, which would've created 2 trade signals over the data set, both which would have been immensely profitable. I would recommend showing these deviations on your spread graphs in the future (ill send you mine in case Ive got it messed up), as they are VERY instructive, in my view. Again, love your site. Keep up the good work!!! Cheers, SPH
Howdy Eric. Love your blog. Just an observation on the GLD-GDX spread trade. Having re-created the data set (and others you've posted), it would seem to me that in order to minimize/manage risk appropriately, the most logical way to trade these spreads is when they break outside 2 standard deviations of the mean. If my data is correct, its roughly +/- 250 points, which would've created 2 trade signals over the data set, both which would have been immensely profitable. I would recommend showing these deviations on your spread graphs in the future (ill send you mine in case Ive got it messed up), as they are VERY instructive, in my view. Again, love your site. Keep up the good work!!! Cheers, SPH
ReplyDeleteSPH: Excellent suggestion! Do send me your charts/calculations. I will post the deviations after I compare them to mine. Thanks! -Ernie
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