FTSE / S&P 500 correlation

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scarr 2012.03.05 23:28

Hi all,

I am tracking the correlation between the FTSE 100 and S&P 500 on a daily basis, I am only playing with demo cash at the moment but it looks really good :) so my question is where is the punch line, at what point does it all go pear shaped?

I wait until there is a deviation > 1 (normally 1.5) I then sell the index that high (relatively speaking) and buy the other, I make sure that I buy/sell the correct amounts so they are balanced and then sit back and wait, a few hours later I cash in.

From what I have seen it always comes back, I can only assume that sometimes it does not! am I right? if so how often does it do this and is my signal to stop/loss a deviation > X (lets say 4)


porson11 2014.02.26 20:30 #

Hi Steve,

I'm new to MQL4 forum and just saw your post from 2012. How is this FTSE100/SP500 trading going?

I'm very intrigued about how you measure "deviation" between markets. Can you share any information about how you do this?


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