-
Selecting Pairs for Pair Trading
I've just begun to trade pairs using a mean reversion system and am looking for a mathematically sound way of judging the correlation of prospective pairs without getting, at this stage, pulled too deep into rocket science (no doubt that'll come later). Which is more reliable -- correlation of historic prices or of historic price changes? The tests I have carried out produce very different results. All help welcome.
Posting Permissions
- You may not post new threads
- You may not post replies
- You may not post attachments
- You may not edit your posts
Forum Rules