I don't really do a lot of arb. I probably should since I understand the yield curve so well. I should arb that. I probably will in the near future.
Your question is about arbing markets that are correlated. Sure, you can do that but you have to have a very extensive knowlege of the relationships. It is really hard to study for that.
The best way to trade futures is to practice money management. If you limit your losses you can come back and trade another day.
I don't pretend that you are new to this subject but if I don't have any more contact with you and you really want to trade futures I'll help.
If I am way below you I apologize.
The best way to understand futures trading is to start with the Turtles. Ever heard of them? Here is a link: http://www.originalturtles.org/docs/turtlerules.pdf
It's a pdf file and if it doesn't appear then you need to google the turtle trading system. Start from there.
My approach to futures trading is money management. Limit your losses and let your profits run. MONEY MANAGEMENT!!!
Make sure you don't go broke. Make sure your bets have a chance. You will make money. Problem is it takes patience. Most people don't have that kind of patience.
that was very helpful -- thank you for the feedback.