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Good luck total. What are the ratio std-devs for this pair? Or you aren't using std-devs at all? Best Regards

I have these books, about PairTrading: * McGraw-Hill,.The Complete Arbitrage Deskbook * Statistical Arbitrage * The_Handbook_of_Pairs_Trading * Trading Pairs Capturing Profits And Hedging Risk With Statistical Arbitrage Strategies *Wiley Finance,.Pairs Trading - Quantitative Methods and...

Walt, the strategy described on this journal, is for a short time-frame. Holding period is only 7-15 days. I think fundamentals are much more important when your holding period is from 1 to several months.

Besides spread and RSI, whatelse are you looking at? You don't compare different time-frames? I am analyzing, differential, ratio, spread, correlation and density curve, on different time frames, 15/30/90 and 180 days. To be honest, I think I need to simplify my method, i am getting lost...

As far as I know, IB charges interest when shorting stocks. Depending on the number of shares available to short, these fees can be higher. I suppose you also pay these interest fees, this is not relevant? Thanks

Johny, What are your brokerage commissions, on the short and long side? Thanks

Hi Johny, I have been reading this excelent thread, but couldn't find the answer for a question. You usually does not analyze the pairs correlation on different time frames? E.g the correlation for the rail-cp pair, seems to be on a downtrend, on recent months.

You can use excel for that. Take a look on the following spreadsheet: http://platinumcomp2.optionetics.com/FDX-UPSpair.xls

? On PairTradeFinder? Please take a look on the tutorial video. It's on pairtradefinder website.

I have done the same thing. There is a similar thread on pair-trading, right now i don't have the url, but can give to you, later on

SO, in your opinion, a divergence between RSI or stochastic, and pair ratio, should be a trigger to a good pair-trade?

Johny, what is the correlation lookback, shown on the attached screenshot? I am building my strategy, based on a number of filters, in order to have decent pairs to watch. A pair need to pass these filters, in order to be on watchlist: Filter1: Same industry/sub-sector Filter2: 70%...

Hi John, First of all, let me thank you, for all the shared information. I have read about pairstrading sometime ago, but on that time, i found it unsuitable for individual investors. Now, with pairtradingfinder, i am changing my mind, but still afraid of the strategy effectiveness...