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That historical SH>2 pair begins to degenerate after Mar. Though that pattern could be recognized. Selected indicators on ratio chart, training period selection, change in the OU process paramter, half life estimation, regime switch model could be the solutions to computerized filtering those...

I am not using PTF either. Basically, I web scrape the tickers from yahoo complete industry page and iterate the combinations. there I got my potential pair lists (historical good performace), assuming history info including characteristics of the pairs(leading, lagging, quick reversing). I am...

not sure if it has been discussed here already or not. does anyone use log(p1/p2) instead of spread = p1- beta * P2, the validation and diff between these two?