New file posting on SourceForge

Posted: March 30, 2010 in Uncategorized

Covariance, correlation, and variance ratio analysis in Excel @

The file is called: CBOT-KC_Wheat_Analysis.xlsx

I will cover this file in tomorrow’s postings (hopefully).

  1. _N says:

    Hi Henderson, is there a commercially inspired idea behind this? Do you intend to trade vol through flys? that could get extremely expensive for these assets. or is this just for academic clarity?

    • autospreader says:


      The goal when I get the second part of this post listed (I am behind again!) is to show through the mechanics of a principle component analysis (PCA or ICA really) framework that the end user can take positions with minimal outright, curvature, and twist components whilst taking on the desired lower order components that tend to mean-revert more often than those who explain the most variance. The ultimate goal of the strategy is not to depend on outright volatility.

      Once this is done, we can further refine the study with a co-integration and error correction model (ECM) to better gauge the market micro-structure. I feel this is unncessary but will add it for laughs and giggles.

      I have traded this in the past in this and other markets with great success.



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