SeasonAlgo Forum

Can you please provide suggested spread trade ratios based on either dollar notional value or based on volatility for sizing. thanks...

Hi FLTrader

For 3 and more legs spreads, you can find it in new Multi Analyze Builder Wizard, there are predefined strategies to load.

For 2 leg spreads here is the list. All numbers are taken from Exchanges as they recognize these spreads for margining:

Code: Select all

+1*AD-1*BP         
+1*AD-1*CD         
+1*BO-1*O           
+1*C-1*BO           
+1*C-1*KW           
+1*C-1*RR           
+1*C-1*SM           
+1*C-1*W           
+1*C-2*O           
+1*CD-1*BP         
+1*CD-2*JY         
+1*CD-6*SF         
+1*CL-1*HO         
+1*EC-1*GC         
+1*FC-1*C           
+1*FV-2*US         
+1*FV-3*TY         
+1*GC-1*SF         
+1*GC-1*SI         
+1*GC-2*HG         
+1*GC-2*PL         
+1*HG-1*PL         
+1*NQ-3*YM         
+1*O-1*RR           
+1*RB-1*CL         
+1*RB-1*HO         
+1*S-1*KW           
+1*S-1*O           
+1*SI-2*PL         
+1*SM-1*BO         
+1*SM-1*KW         
+1*SM-1*O           
+1*SM-1*S           
+1*TY-2*TU         
+1*US-1*ED         
+1*US-4*TU         
+1*W-1*KW           
+1*W-2*RR           
+2*AD-1*EC         
+2*BO-1*KW         
+2*BO-1*S           
+2*BP-2*EC         
+2*C-1*LC           
+2*C-1*S           
+2*CD-2*EC         
+2*ED-1*FV         
+2*FC-3*LC         
+2*HG-1*SI         
+2*JY-1*SF         
+2*NQ-1*ES         
+2*RR-1*KW         
+2*RR-1*S           
+2*TU-3*ED         
+2*TY-1*ED         
+3*AD-4*JY         
+3*BP-4*JY         
+3*FC-2*KW         
+3*W-2*S           
+4*AD-3*SF         
+4*BP-1*SF         
+4*EC-1*JY         
+4*EC-3*SF         
+4*GO-3*BC         
+6*YM-1*ES         
-1*RR+1*C           
-1*S+2*C           
-3*ED+2*TU         


In the program for backtest is it just using a 1:1 ratio or taking into consideration the exchange ratios etc?

For example NOB could be 2:1 or 5:3 etc, how does the program recognize this or I need to enter it as 2*/ZN-/ZB etc or 5*/zn-3*/zb. thanks soo much!!!!

You can manually build any spread with any ratio for legs and use all tools like optimize, backtest etc.