SeasonAlgo Forum

Hi,

I like the Analyse - Combination feature to quickly search for opportunities across a curve in a future. I understand it's probably inconvenient and of little visual use to show every combination of months for a future (I can use the Browser functionality for that )

I thought however, that if I found a spread worth looking at further, then maybe there could be a function in Advanced Backtest or Optimize to look at surrounding spreads.

e.g. I like the look of RB Z14-J15. The new function would look at:

RB Z14, F15 - J14, H15, and K15
The results of similar near by spreads may help identify more profitable or less volatile spreads from the one specified. As they are near by spreads, the seasonal window behaviour should be similar (famous last words!!). This could also help the larger trader allocate margin to similar/nearby markets more efficiently if he/she wants to go in large and the one spread market may not be able to absorb much without moving against the trade.

Thanks,

Nick

Hi Nick

Sorry for late answer, I missed your post.

I think that the best way for what you want to achieve is to go to Search and filter same spreads in Tickers column. For your RB example it would be RB-RB filter. Than you will see all possible combinations which have good enough seasonal window to be included in Search. You can use all other columns for filtering and sorting to find the best combination for you.

Regards

Roman

Thanks Roman - that's a good point and should do what I'm hoping to achieve!