what meaningful strategies can be devised on two assets, other than pairs-trading?

Discussion in 'Strategy Development' started by losemind, Apr 11, 2012.

  1. losemind


    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!
  2. rmorse

    rmorse ET Sponsor

    If two assets don't have a correlation, the pair has no strategy of value to you.

  3. Craig66


    I suggest the OP does some digging on seasonal spreads.
  4. losemind


    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!
  5. losemind


    Could you please elaborate on it?

    Thanks a lot!
  6. Craig66


  7. bone

    bone ET Sponsor

    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.