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...
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...
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...
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 -...
besides the two variations mentioned above, i still really want to try the high-low open-high thing. Both Rehoboth and Mercury77 mentioned about...
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...
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...
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...
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?...
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,...
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...
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....
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...
ya this might work, i found a whole bunch of closely correlated ETFs on marketopology, which someone posted a few pages earlier, and going to get...
thanks for everyone's comment i got the argument about how z-score should be relative to the timeframe now, my bad and roger, im a prop...
hi roger, thank you for your reply im not trying to max profits by taking/exit positions intraday, im sure the EOD results such as PTF are...
ya somehow the post suddenly dead for no reason... even though everyone's still pair trading thanks for your reply, btw, do you know any other...
this is one of the best read on ET and it would not be possible without the generous contribution of many vet pair traders one question about...
seriously? nobody knows about this?
I have been working on and testing a strategy that involves sending limit OPG orders on open, the type that gets filled only if you bet more...
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