Index Futures vs Cash Arbitrage

17 May

This indicator measures the statistical spread between major stock index futures and their corresponding cash indices (e.g., ES vs SPX, NQ vs NDX) using Z-score normalization. It automatically detects commonly traded index pairs (S&P 500, Nasdaq, Dow Jones, Russell 2000) and calculates a smoothed spread between futures and spot prices. A Z-score is then derived from this spread to highlight potential overpricing or underpricing conditions.

Traders can use customizable thresholds to identify mean-reversion opportunities where the futures contract may be temporarily overvalued or undervalued relative to the index. The histogram highlights the direction of the Z-score (green = futures > index, red = futures < index), while built-in alerts notify users of key threshold breaches or zero-line crosses.

This tool is designed for discretionary traders, pairs traders, or anyone exploring statistical arbitrage strategies between futures and spot markets. It is not a buy/sell signal by itself and should be used with additional confluence or risk management techniques.

18 May

Sürüm Notları

signal line and dynamic shading

18 May

Sürüm Notları

wrong chart

18 May

Sürüm Notları

update