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Yep, i agree on that, we shouldn't forget our average holdin period is around 7 days. What you think about the following backtest indicator: Imagine today is 2009 january the first: X=backtest from 1-Jully-2008 until 31-December-2008 y=backtest from 1-Jan-2008 until 30-June-2008...

Technically this pair is perfect. One of the best pairs, i have seen so far. It's now 2.09 stddev away, so time to enter the trade. But with such a market capitalization discrepancies and taking in consideration that the OSTK beta is twice ebay's beta, i am afraid we are losing the market...

No way. It's the third or fourth time, co-integration is mentioned. Personally i trust on backtest results, as a way to measure how strong is the pair. What i have read about co-integration (Johansson, Dickey Fuller ...), is not easy to understand for someone without a statistical...

Are you backtesting with PTF? Try to backtest also with 0.5*stddev. In my opinion, it also makes sense to consider a maxim holding time. Any thoughts on this subject guys?

what you think about short ebay, long ostk? Ok, big difference in market cap, anyway seems a a trade with great potencial.

I think it makes sense to make beta adjustment on each pair trade, not on portfolio level. On each pairtrade you have 2 choices, or you exclude stocks with large beta difference or you position size your trade, according to each stock beta, otherwise you are losing market-neutrality. I am...

What technical indicators do you use? Usually i try to spot pairs, where RSI is near overbought/oversold levels ...

Nice trade total. What is your broker, and for this particular trade, how much did you spend on commissions? Are you using leverage on your pairtrades? I am still searching for the best solution, to implement my pairtrading strategy. Thanks

According to my strategy, this trade makes no sense. Look: 28 April: Insurance provider ACE Ltd.'s profit jumped 50 percent in the latest quarter, more than Wall Street expected, as the company benefited from a "generally firming market" that helped spur new polices and higher revenue...

Total, are you aware that both companies presented 1Q results?

It is always interesting to hear experiences from people working on the markets for a long time. How did you developed your own automated arbitrage software? Some webscraping on the betting websites, loading the data to a database, and generating alerts when a arbitrage oportunity is found...

Hello Johny, I noticed on your last screenshots, that you give some attention to PercentFromMean and PlusMinus indicators. What do you expect to see on those windows? Thanks and keep the good work.

Hello, The correlation shown on PairTradeFinder is the prices correlation or stocks returns correlation? I always looked at prices correlation, but according to a friend, it's possible to get "false" correlations, when looking only on price correlations. Returns correlations should be a...

Anyone knows if the economatica pairtrading module, is any good? http://www.economatica.com/longshort.html Seems an excelent tool: Screening " In addition to analyzing user-selected pairs, this module can perform screening. Through this process the system will screen through...

Hello, Anyone have read the book: "The Art of The Arb" Trading Manual ? from the site: http://www.pairtrader.com/arb_info.html It's quite expensive, i wonder if it worth the money.

In fact the main conclusions from the study are: -> The larger the value of the industry information diffusion measure, the larger the difference of individual stock's speed of response to industry common common information within the pair, and the larger the profits from pair trading. The...

John, I have read that stocks liquidity, and institutional ownership has some impact on pairtrading profit. The reason is obvious, market inefficiencies tend to be corrected much faster when the big players are involved. Do you have any idea if these considerations are correct? Noticed...

Hi, I am building my pair-trading system from the scratch. I am now coding correlation between 2 stock prices. My doubt now is, should i use Pearson Correlation or Spearman Rank Correlation ? Anyone knows what is the algorithm used on PairTradeFinder? Thanks

What were the mistakes, keop?

Johny, Can you share that study, please? Thanks.