Comment on Calendar Spreads

Sumit commented on 27 Jun 2018, 05:27 PM

Hi karthik,

First, thanks for the above tutorial. I was analyzing the data for SBI till today & saw a signal to open a calendar spread trade on lower side but within few hrs the spread moves towards average & opportunity closed.
I backtested it on closing prices & found that whenever there is a signal on closing price, it moves towards mean very next day. My q is
1) Do we have to use only closing prices to track the spread or other prices within a day can also be used
2) If you are doing such trades, how do you keep a track of trigger/signal for such trades within a day. Signal generates any time of the day & closes in next few hrs.


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