If you look intraday only yes it matters much. But not on daily timeframe going back a few years at least. Then you are looking for average trade of a few percent, so some pennies slip is not a killer here.
Two things mentioned already (Tick and ROC) but with a twist. 1st chart is Cumulative Tick (blue/red line) with momentum of same (black histogram): 2nd chart is Tom Demark's TD ROC which divides current price from price 12 bars back, then is multiplied by 100 and plotted between OS/OB levels. Signals are after crossing back over/under levels but only if ROC stayed below/above said levels for 5 or less bars. 6 or greater momo is strong and to be ignored until either another crossing of mild momo of 5 or less or a counter signal.
You can care on Volume. When it increases over a certain threshold to its price move, that can be an indication too. You need to backtest it. But I am sure there is some value on volume itself.
Hm, that seems counter intuitive to me. Are you saying that Ford vs GM is less stable pair than NIO vs Lucid? Basically, my question is: if you trade NIO vs Lucid pair, can it really be considered market neutral strategy?
Did not check in particular but overall on total market. There is a clear tendency, that higher liquid instruments have less stable cointegration relationships. That was said and I checked this. But when I look in your special stock symbols as examples, then I get the same result here. Yes NIO and LCID is much better to pair trade than F, GM. You can see the cointegration values on graph below. F & GM pair is not cointegrated versus NIO & LCID are (super-)cointegrated. Enjoy.
I can’t say that I figured this one out, but applying your favorite indicator on something like VIX. The idea is that until Short term volatility finds a ceiling, selling ain’t over. Maybe intraday put/call ratio would be good to track, but needs lots of data. I wander if there’s a feed that publishes such stats for individual stocks.
There is a legendary stocks trader in Japan (Takashi Kotegawa). He is watching market index, and other asset classes like Gold, Oil, and T-Notes, with sector indices in addition to his chosen stocks as overlay. I have in mind, that it is said, that overall market makes about 40% for the daily move, and then 30% the underlying sector, the rest of 30% is the stock in particular. There you can watch similar stocks in the same subindustry and examine them for any relationships (based on Bollinger or something like that). https://www.indiatimes.com/worth/ne...-dollars-into-153-million-dollars-557593.html https://www.worldtopinvestors.com/takashi-kotegawa-investor-profile/