Recent Content by OHTodd

  1. Pair Trading Strategy Journal

    ---------------------------------------------------------- Quote from OHTodd: Sell: ALL Buy: MET ADF: 5.5 Way to go OHTodd....
    Post by: OHTodd, Nov 20, 2010 in forum: Journals

  2. Pair Trading Strategy Journal

    Sell: ALL Buy: MET ADF: 5.5
    Post by: OHTodd, Sep 27, 2010 in forum: Journals

  3. Pair Trading Strategy Journal

    Dukatu - Thanks so much for the clarification. Interesting idea on the 3-legged combo. Certainly going to check this out.
    Post by: OHTodd, Sep 24, 2010 in forum: Journals

  4. Pair Trading Strategy Journal

    Dukatu -- Would you mind explaining how you got 1.1x as the trigger? I'm calculating the MA(50) as 1.56x and the lower 2 stdev band at 1.51,...
    Post by: OHTodd, Sep 21, 2010 in forum: Journals

  5. Testing for intra-day pair trades

    So do you think ADF is an acceptable test for short-term time frames (time series based on one-minute bars)? thanks for the input.
    Post by: OHTodd, Jul 26, 2010 in forum: Strategy Building

  6. Testing for intra-day pair trades

    Hello, I was hoping that someone may have a good suggestion for testing the viability of a pair based on intra-day (say 1-minute closing...
    Thread by: OHTodd, Jul 26, 2010, 5 replies, in forum: Strategy Building

  7. Hedge fund margin

    Just curious, how much intra-day margin would a hedge fund with $50mm get? 6:1?
    Thread by: OHTodd, Jul 16, 2010, 1 replies, in forum: Prop Firms

  8. 60% of profits going to commissions and slippage

    Hello, I've been backtesting an intra-day pair strategy, and commissions and slippage appear to impact the profitability by an estimated 60%...
    Thread by: OHTodd, Jul 12, 2010, 1 replies, in forum: Trading