I wonder if it would be possible to use NT for a strategy which would analize the price variation over three months for any given spread between two contracts (for example ES september '10 - ES march '11) , then do the same with ES september '09 - ES march '10 and so on.
I am not looking for way to analyze a continous spread of the two contracts but rather at analyzing specific seasonal situations during a three months period over many years, then get the results of the strategy for the full historical data.
Would NT be able to do this? Has anyone here tried something like this already?
Thanks !
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