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  1. Statistical Arbitrage Stat Arb - cointegration vector - out of sample backtests

    anyone else struggling with cointegration vectors that break down quickly in out-of-sample backtests? I'm currently backtesting a stat arb...
    Thread by: IceAntonelli, Apr 9, 2011, 12 replies, in forum: Strategy Building

  2. Statistical Arbitrage Stat Arb - cointegration vector - out of sample backtests

    anyone else struggling with cointegration vectors that break down quickly in out-of-sample backtests? I'm currently backtesting a stat arb...
    Thread by: IceAntonelli, Apr 8, 2011, 0 replies, in forum: Trading
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