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An illustrative example just for reference is SWN vs CNX (U.S. utility stocks) during 2009.

Generally, stat arb is a slower trade that ripens in days/weeks (when it works). HFT time frames usually involve pure arb.

The great difficulty in finding candidates for stat arb (aka, pair trading) is why it has fallen out of favor. Traders who have found a small number of good candidates for this style of trading will regard them as proprietary as they have likely invested a lot of research to find them. Chan...

Got it. I read your post too quickly and misunderstood what you meant to say.

Gloria, why do you say momentum trades have better risk control than stat arb? A well constructed stat arb trade (admittedly, challenging to find) is inherently hedged.

As you select a trading instrument for Japan's equity market, keep in mind the currency effect of USDJPY. You may want to hedge out the currency impact.

You asked a similar question on ET about 7 years ago: http://www.elitetrader.com/et/index.php?threads/if-you-believe-oil-will-go-up-what-would-you-invest.127834/ I imagine you're asking again because there really isn't a good answer. The roll yield largely offsets price expectations on most...

Do US-based hedge fund managers pay ordinary income tax rates on the fees they earn, or do they pay the lower capital gain rates? Just curious as recent news paints them to be paying lower taxes than the rest of us.

yes, indeed, thank you. as stated previously, the difference between correlation and cointegration is key for pair trading.

Please describe how correlation is a part of regression analysis?

Speculating on the physical ... that requires a very high level of confidence in your price forecast. These commercial specs must be experts in their field and have balls of steel.

I was under the impression that these commercials hedge their physicals with futures. They even get more generous leverage than traders. Geez, if they're not hedging their physical operations, then they are as much speculators as any trader.

The general case for time series (price series) decomposition includes components like trend, seasonality, and a random component. This is useful for historical analysis of price when you're trying to understand price movement in hindsight. But I don't see any practical value of this technique...

A wealth of resources (e.g., academic papers, YouTube videos, blog articles) on this subject is easily found using any search engine. You might prompt a more engaged discussion if you narrowed down to a specific topic or contributed something not commonly available.

Thanks for calling attention to this. I am flabbergasted!

It may be futile to attempt to explain an analysis technique that is largely discretionary. If you are fortunate to have the natural talent to use a technique that requires discretionary judgment or some special intuition you have developed with years of experience, you might not realize that...

just two words: Moral Hazard

One strategy that combines both indicators is to use a longer-term MACD to define the trend and a short-term RSI to time pullbacks for trade entry. I would backtest this thoroughly before committing any money.

Are you using LendingRobot and/or Nickel Steamroller to select your loans, or are you selecting them manually?

I was considering investing a small amount in both LC and Prosper to compare them, but haven't gotten around to it yet. I thought Prosper was a strong competitor. What are Prosper's major deficiencies?