Recent content by spec

In a nutshell the system looks at historical price distribution at the open of spread=X*component stock - index futures where "component stock" is a component of "index futures", e.g. ASX 200. X is a multiplicator and it can be beta, ATR etc. If at today's open the spread is out of range...

re: DAY TRADING I'm also thinking of doing some day trading, mostly the open (based on the order imbalance), to smooth out my equity curve. According to some statistics, most imbalances happen during the first 45 minutes. This means I don't have to day trade all day, only the first hour...

I use COINT exclusively these days to find pairs Actually I trade triplets (basket of 3 stocks. Also tried quadruplets, i.e. 4 stocks baskets but profit potential was too small) What I found using COINT is: -it works a little bit better for me than correlation -it allows you to go beyond...

My REIT pairs behave erratically lately, while Staples pairs continue to behave well, hence the idea above. Just an idea, not implemented yet. re: mining pairs, haven't had luck with them either. Too much political risks IMO.

Thanks all for a very useful discussion. In order to increase the chance that the pair will revert, I'm thinking of filtering out sectors that show strong relative strength, and trade only "weaker" sectors. For example (in the US) the consumer discretionary sector is very strong now and we...

Hi All, I came across an interesting article: http://blogs.wsj.com/moneybeat/2013/08/14/morning-moneybeat-correlations-plummet-stock-pickers-rejoice/ it said that correlation is decreasing and the current market is a stock pickers' market (based on fundamentals rather than technicals)...

Awesome results !!! Did you perform backtesting in order to choose your universe of pairs. Can you share your criteria (profit per trade, % win etc. ) with us ? Thanks again

Nice results !!! Keep posting. I learned a lot from you posts.