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Jonny- I've got long MA/Short V too, and have opened TDW/KEX. I'm interested in your rationale for ALL/CNA, because CNA gave results last night and ALL will give results on Thursday. So this trade gives you exposure to the volatilty implied with holding over results. For example, and...

Have you ever looked at using Kelly Optimal fractions in order to control money management? I'm new to this and am trying to build up some data with which to estimate these fractions. I guess that trading when it comes back to the mean, means that the average Win and Average Loss will be...

If the announcement pertains to a genuine development in fundamental differences between the stocks than the traditional statistical relationships are likely to breakdown. In other words you've lost the anchor by which to revert back closer to a mean. My 'solution' to the general problem...

I'm new to this thread, and would be happy to contribute with ideas for pairs. I'm also interested in money management techniques given recorded performance data, as I am a disciplinedtrader. I trade UK, European and US stocks. What are the pairs that others are using? How do you guys...