Neutral_Al, I'm just curious: Are you calculating your correlations from daily bars or some lower resolution? I suppose this goes back to the basic premise of pairs trading. Some traders will want to look for pairs that are correlated, or revert to mean, on longer timeframes such as by end of day, and others will want pairs that might trade faster, i.e. correlated better on hourly bars. Certainly, correlation on these smaller timeframes does reduce the size of the average trade you'd expect. Does anyone have any pairs experience that would say, "use daily correlation as this produces better intraday moves" or instead "use shorter timeframes for correlation to get the most tradeable pairs." Thanks in advance for any insights!