Recent Content by ar1zona

  1. Effect of 2008 financial crisis on pairs trading

    I will re-run it with an in sample before the crisis and see what happens. Could you elaborate on the data snooping part? Suppose the time is...
    Post by: ar1zona, Oct 9, 2011 in forum: Trading

  2. Effect of 2008 financial crisis on pairs trading

    Hi I know there are many pair traders out there and you all have your own tweaks so performance varies, but in general, do you find the...
    Thread by: ar1zona, Oct 9, 2011, 2 replies, in forum: Trading

  3. Yahoo opening price

    Haven't been here for a while, I am testing an opening strategy which is similar to Don Bright's OPG (which I traded before). It requires me to...
    Thread by: ar1zona, Oct 4, 2011, 0 replies, in forum: Trading

  4. Intraday Pair Trade

    Thanks mercury I came up with a new sheet yesterday to test the aforementioned formula of percentage spread where I long the ratio when A1/A0 -...
    Post by: ar1zona, Apr 1, 2011 in forum: Trading

  5. Intraday Pair Trade

    besides the two variations mentioned above, i still really want to try the high-low open-high thing. Both Rehoboth and Mercury77 mentioned about...
    Post by: ar1zona, Mar 30, 2011 in forum: Trading

  6. Intraday Pair Trade

    Thanks for the reply. Could you elaborate on the open-high, open-low, high-low system? To summarize what I found from replies and PMs (and...
    Post by: ar1zona, Mar 30, 2011 in forum: Trading

  7. Intraday Pair Trade

    Yes I have heard quite a few ways to calc this ratio. This is probably the biggest difference between everyone's models. The rest of the story...
    Post by: ar1zona, Mar 30, 2011 in forum: Trading

  8. Intraday Pair Trade

    This is to reply your PM, from my understanding you prefer to check this thread over PM so I'm posting the questions here. It is very...
    Post by: ar1zona, Mar 30, 2011 in forum: Trading

  9. Intraday Pair Trade

    Could you expand a lil bit on that ratio please? You are the first one I heard calculating them this way. What exactly is the ratio used for?...
    Post by: ar1zona, Mar 30, 2011 in forum: Trading

  10. Intraday Pair Trade

    Really appreciate your advice. For 1. I guess I can try position sizing according to ATR of each stock For 2. This is actually I do right now,...
    Post by: ar1zona, Mar 30, 2011 in forum: Trading

  11. Intraday Pair Trade

    Sorry I forgot to mention this I have prop firm account so there's access to real time tick data. And although I did backtesting with 1-5 min bars...
    Post by: ar1zona, Mar 30, 2011 in forum: Trading

  12. Intraday Pair Trade

    I kind of tried both high and medium correlations. For equities I backtested, I have a sheet from someone else who used to do pairs intraday....
    Post by: ar1zona, Mar 30, 2011 in forum: Trading

  13. Intraday Pair Trade

    Hi Is there anyone here still trading equity/ETF pairs on an intraday basis? Searched some of the older threads found a few members who...
    Thread by: ar1zona, Mar 29, 2011, 28 replies, in forum: Trading