The article that introduced me to the topic is "Pairs Trading" by Stephane Reverre. It was in the March 2001 issue of Technical Analysis of Stocks & Commodities magazine.
Al, I have found the pairs stategy to be very successful but was also having a hard time finding trades, never mind developing a model. I have found a really good source for information is a site called pairstrading.com. They have a software product that helps you to find trades. I would recommend the advanced version though, particularly for developing a model. I have started working on my own model, but the trades I've gotten from these guys have been great. Your bud Bud....
It is my understanding that there is a discussion of pairstrading in last weeks issue of Newsweek in an article on daytrading. Any thoughts....
it's either good ar bad if many people enter. but it will get more attention and that is not so great. peace
too much interest of too many people rushing into a narrow room. if it was dumb people - very good. might be that only experienced people enter and that makes the game tougher - very bad. crowd is coming - gentlemen, fasten seat belts. peace
Hey Bud, I use the advanced version myself. I am only able to do the S&P500 with my hardware. They have the S&P, the NAS100 and the Russell 1000. That is a lot of pairs to choose from. They also calculate RSIs and Standard Deviations, so you can look for shorter-term trades with signif. divergence. For those who interested, here is the link: http://www.pairstrading.com/pairs-generator-adv_demo.asp The only problem they have is the charts. The Yahoo charts they show are not enough. They need to be able to display ratios. If you use Qcharts, however, you should be fine. Al