Using DAX as a leading indicator for S&P

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Using DAX as a leading indicator for S&P

posted

Hi,
I work in a fund house where we have always looked at DAX as a leading indicator on how the S&P would open. We dont trade on this but I thought it would be worthwhile to see if someone who knows how to code could look it up. We could use a simple MA crossover on DAX to enter long or short on S&P. In my work exp. I have notice the move is usually persistent for 2-3 days at most,
Would be great if someone would do the coding if possible. I am slowly learning to code so I can contribute in future.
This is my first day here and I have already learnt many new stuff.
John

2 responses

As further evidence, I did a simple excel model where I compared the daily change of DAX with that of S&P (you might argue the opening price of S&P might affect DAX closing price but we will ignore this reasoning - something that can only be explored using time stamped tick data).

I wanted to see how many days S&P500 closed in positive or negative when DAX on that day closed in positive or negative i.e. daily trend.
Remarkably, since 1 Jan 2010 till 5 July 2013, The DAX daily close gain or loss was 75% accurate in predicting whether the S&P 500 close would be gain or loss. That is a pretty close deal. Which is why I am interested to see what the cross asset MA crossover model does in predicting S&P 500 trend. I am not a programmer so I am struggling to implement this simple idea and would appreciate if anyone could help in this regard. I would be sharing more similar hedge fund ideas going forward. Thanks, John

Hello John,

I don't think Quantopian has DAX prices. I suggest having a look at Fetcher (https://www.quantopian.com/help#overview-fetcher), which allows import of data to be used in a trading algorithm.

Regarding programming, here's a list of resources: https://www.quantopian.com/posts/learning-python.

Grant

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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by Quantopian.

In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.