Hi all, Lets say you hve two assets that don't quite pairs trade well... What other strategies we could explore for these two assets? Thanks a lot!
They do have high but time varying correlations... the mean rolling correlation is around 0.6... But for some reason pairs trading doesn't work well for them. The Sharpe ratio is below 0.5. Therefore I am looking for possible other exploratory ideas... Thank you!
I have a few clients who use inter and intra-market correlations for lead-lag scalping strategies - both manual and automated. I personally think that it can be a big edge, and I have many clients who hire me to teach that niche specialty.