Equity Spread Trading Hedge Ratios

Discussion in 'Trading' started by FastandFurious, Aug 10, 2009.

  1. I am not a 100% sure but that doesn't seem right. The hedging ratio is the ratio of the price differences within a time period; it is not beta i.e correlation. Those price differences are in turn determined by anything from volatility to correlation to an asteroid attack etc.

    Hence, why sjfan and rodmike9 are talking two different languages.
     
    #21     Nov 25, 2014
  2. eurusdzn

    eurusdzn

    Why neutralize well behaved , repetitively mean reverting spread with a volatility or dollar hedge ratio
    that causes the spread to diverge, or, dampens the variability of the excusions about the mean?
    The chart of the neutralized spread does not look good, test or measure good. The non neutral does.

    One step further ...what if a curve fit hedge ratio has been behaving best for MR spread trades for a period of time you deem significant (similar to trend acceptance filter) ? No garauntees of futher performance but
    the curve fit value has been providing the best cointegration. Why not use it.
    Seems the simple retail amateur like me will look at a raw, simple, well behaved spread and then do something to fix it even though it isnt broke.
     
    #22     Nov 25, 2014
  3. eurusdzn

    eurusdzn

    Jeez sjfan,


    Smart as hell, a professional, 1059 posts and zero "likes". WTF?
    Its the least i can do.
     
    #23     Nov 25, 2014
  4. Trader13

    Trader13

    You might notice that sjfan's post was made over 5 years ago. And the Like feature only became available with the recent software upgrade. That's OK, this is still a timely and interesting topic! Post on!
     
    Last edited: Nov 25, 2014
    #24     Nov 25, 2014