Thread: Neutral Market Corner

To the new ones I say: do not be carried away by beautiful words like "neutral market". It is complex, mathematical and can be very unpredictable.

Neutrality with cryptos? Forget it. Nothing there is neutral, neither price, nor narrative, nor manipulation.

What a brutal thread. I learned more in 20 minutes here than in 6 months on YouTube. Thanks to everyone who honestly shares.

Beware of backtests that assume perfect execution. In spreads, the slippage on one leg can ruin the entire operation.

I didn't understand any co-integration until I saw two series move like twins. It's more visual than technical sometimes.

Is there any practical way to know if a spread is still working or broken? Any sign of a relationship breakup?

I use Hurst coefficient to see if the spread still has memory or already became random. It’s not perfect, but it helps.

People underestimate what a news story can do with a spread leg, and then they say it was neutral...

My suggestion: start with simple spreads like AUDNZD or EURGBP before jumping into exotic combinations.

I tried spreading between stocks and index futures... too much cross volatility. I learned the bad ones.