Intra day pairs trading

Discussion in 'Strategy Development' started by chs245, Aug 21, 2003.

  1. chs245


    I'm currently developing and back testing an intraday pair trading strategy. It should be 100% mechanical, holding period several hours to maximum a week.

    Has anyone already developed such a thing ? And trading the system profitably ? If so, is the system based on going long the spread break-out or shorting the break-out and "hoping" fo a reversal ?