The ETF market makers are probably executing arb strategies continuously intraday to keep the ETF aligned with its components. Of course, they will have market maker advantages. So that's tough competition. There may be a brief opportunity at the session open when overnight gaps throw the ETF/components alignment out of whack until market liquidity and pricing settles down. But I imagine all this transpires in seconds in our electronic markets. Sorry I don't have any better insights to contribute to your quest. It's an interesting topic which caught my attention.
i don't have it either..i didn't even finish my high school..but hey..that's how it's goes pal..slow and grinding.. ----A journey of a thousand miles begins with a single step--- regarding software-like you said-excel. vba..vb6..something flexible yet simple. or whatever you know already. to make your journey less painful-ETF vs basket of stocks of same weight=dead end. as been said above-they been arbed to death...you are not going to find any inefficiencies at all. unless you do something more creative than just trade basket vs index fund
Excel and VBA will have to do then! Also I'm not looking to arb the individual components against the ETF. Its more like looking for a distinct group of stocks within an ETF that should move together. When this basket gets out of whack with the overall sector...play it against the broad ETF. Like Internet retailers against the XLY. These are all just ideas, we will see how it plays out...there may not be anything here.
There is something there. But you will have to let your selected symbols and sectors play out each day until you find what matches up.
Placing symbols and sectors in QT portfolios with the inline mini charts open to intraday shows clearly which way everything is going.
Been trading pairs for four years now, have had both good and bad years. Let me give you a bit of advice: 1. Cointegration wont matter much intraday. High correlations (>90-95%) won't give enough opportunities to trade either. 2. Keep it simple when it comes to weighting. Feel free to regress, beta-weight, z-score, etc. You will likely find that dollar-neutral works best. 3. You are looking for intraday reversion. So look for trades that have the highest possibility of short-term reversion. Gaps, emotional moves, etc. Problem is that most emotion has been 'softened' by algo trades nowadays. 4. Your entire strategy will be dependent on managing your losers. Good luck.
There is opportunity for index arb ( subset of stat arb). A nubie will need time to arrive at high prob matching.
Well, Its A bit hard to execute without large overnight BP and is dependent on good Knowledge of the companies they trade. Think smaller banks, reits, utilities.