magon, thanks for the link and the research. It would nice if we could get some discussion going on potential pairs, and in the course of...
DOV/IEX in play
Thank you for this. It is excellent. I'd be interested to know which pairs you are using, and happy to discuss this with you off this thread....
sysre, You can see some of my backtested data previously on the thread. I'm interested in your results and specifically over what time period...
=stdev(a1:a2) etc whereby a1:a2 just reflects the mean data over the period that you want it. So for 14 day mean it might be...
I'l interject and throw a couple of comments forward... I've found that a stop loss (whether volatility or fixed % based) will dampen down...
I'm UK based and, am not surprised by how few trades you are finding. If you want liquidity and pairs than you really have to play the US market....
cooper1308 ej420, Good points there. I think you might be right about stat arb underperforming in an extended bull market, and I think more...
Thanks Cooper, Apologies for the staccato nature of this post, I had written a longer version in an edit of my last post but, infuriatingly, I...
Cookie, Many thanks for your response. My pair filtering approach is similar to yours, and I'll be very happy to swap pair ideas with you...
cipherscribe, cooper, and to others who are NOT using PTF... I make this distinction because I'm not using PTF either and, I'm interested in...
Perhaps the thread has gone cold because there has been too much 'after the event' posting, and not enough swapping of live ideas that we could...
Sincere Apologies. I mentioned i was monitoring a trade earlier. I've just looked at SPN/BJS closer and noted that BJS is undergoing a...
Specific trade ideas have been a bit thin on the ground recently, so I thought I'd mention a few MCHP/INTC PII/HOG in play watching SPN/BJS
IMO/OXY SFG/UNM
No disrespect taken, but I do think you are missing the point. If a trade moves towards 3x stddev than I think you have an obvious exit point,...
True, but in my experience this is not how it works. Total Keops is right in what he says about stddev. When the trades goes wrong, the ratio...
DOV/PCAR TDW/KEX
With regards WHR-MAS, I'd argue that they are a good discretionary pair because they are both exposed to the same end drivers, ie US housing...
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