Yep, i agree on that, we shouldn't forget our average holdin period is around 7 days. What you think about the following backtest indicator:...
Technically this pair is perfect. One of the best pairs, i have seen so far. It's now 2.09 stddev away, so time to enter the trade. But with...
No way. It's the third or fourth time, co-integration is mentioned. Personally i trust on backtest results, as a way to measure how strong is...
Are you backtesting with PTF? Try to backtest also with 0.5*stddev. In my opinion, it also makes sense to consider a maxim holding time....
what you think about short ebay, long ostk? Ok, big difference in market cap, anyway seems a a trade with great potencial.
I think it makes sense to make beta adjustment on each pair trade, not on portfolio level. On each pairtrade you have 2 choices, or you exclude...
What technical indicators do you use? Usually i try to spot pairs, where RSI is near overbought/oversold levels ...
Nice trade total. What is your broker, and for this particular trade, how much did you spend on commissions? Are you using leverage on your...
According to my strategy, this trade makes no sense. Look: 28 April: Insurance provider ACE Ltd.'s profit jumped 50 percent in the latest...
Total, are you aware that both companies presented 1Q results?
It is always interesting to hear experiences from people working on the markets for a long time. How did you developed your own automated...
Hello Johny, I noticed on your last screenshots, that you give some attention to PercentFromMean and PlusMinus indicators. What do you...
Hello, The correlation shown on PairTradeFinder is the prices correlation or stocks returns correlation? I always looked at prices...
Anyone knows if the economatica pairtrading module, is any good? http://www.economatica.com/longshort.html Seems an excelent tool:...
Hello, Anyone have read the book: "The Art of The Arb" Trading Manual ? from the site: http://www.pairtrader.com/arb_info.html It's...
In fact the main conclusions from the study are: -> The larger the value of the industry information diffusion measure, the larger the...
John, I have read that stocks liquidity, and institutional ownership has some impact on pairtrading profit. The reason is obvious, market...
Hi, I am building my pair-trading system from the scratch. I am now coding correlation between 2 stock prices. My doubt now is, should i...
What were the mistakes, keop?
Johny, Can you share that study, please? Thanks.
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