Recent content by OHTodd

---------------------------------------------------------- Quote from OHTodd: Sell: ALL Buy: MET ADF: 5.5 Way to go OHTodd. Closed this trade today at 8.7%. Thanks for a good tip. ----------------------------------------------------------- Dukatu -- sorry, I've been away...

Sell: ALL Buy: MET ADF: 5.5

Dukatu - Thanks so much for the clarification. Interesting idea on the 3-legged combo. Certainly going to check this out.

Dukatu -- Would you mind explaining how you got 1.1x as the trigger? I'm calculating the MA(50) as 1.56x and the lower 2 stdev band at 1.51, so I'm not sure what I'm missing. Also, are you having good success using the 50-day moving average to generate triggers? I've been using the...

So do you think ADF is an acceptable test for short-term time frames (time series based on one-minute bars)? thanks for the input.

Hello, I was hoping that someone may have a good suggestion for testing the viability of a pair based on intra-day (say 1-minute closing prices) data. I've found pairs that seem to co-integrate well based on ADF results on daily closing prices, but this doesn't seem to translate well to a...

Just curious, how much intra-day margin would a hedge fund with $50mm get? 6:1?

Hello, I've been backtesting an intra-day pair strategy, and commissions and slippage appear to impact the profitability by an estimated 60% Gross profit: $.11 total per pair Commissions: $.004 per execution ECN Charges $.0025 per execution Slippage: $.01 per execution Total...