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Nice call there!

Some divergence from the EUR/ES correlation in the past couple weeks. Really showing recently!

Thanks, that is what I was looking for.

Excel and VBA will have to do then! Also I'm not looking to arb the individual components against the ETF. Its more like looking for a distinct group of stocks within an ETF that should move together. When this basket gets out of whack with the overall sector...play it against the broad ETF...

I like it, solid integration of your tools!

hahah obviously I dont have it all figured out! I wouldn't be posting on ET if I did lol. I don't have a quantitative background, so going through this stuff has been slow and grinding. Now I've got the basics down and need to gather everything for testing. What do you use for intraday...

I just haven't seen alot of discussion about this on an intraday basis. Factor models used intraday will be alot different than on a longer tf given the difference in market participants that operate on that tf. Also some nuance may lie in what factors to consider when creating the basket to...

You have a very good point tho, I tend to want to move too far ahead and too fast at times. Looks like this testing will have to be done off hours and not interfere with the other stuff. Thanks!

Wel i've been working on this for some time now...just a little side project. I also just can't help myself lol. I live and breathe this stuff...I will have to keep your advice in mind :)

Do you currently employ this type of approach? If yes, how has it fared?

At this point I don't. This is part of the reason why alot of the testing hasn't been done. I have a colleague who has done some of this work on MATLAB, so I may have to consult with him. I use Lightspeed and TOS for my current trading and it doesn't require much except for some simple...

hmmm yea your probably right, I'm sure this has been done before. In fact, thats why I posted here. Also, I have Chan's book and access to his website. Looks to me like he is just finding the most cointegrated pairs and then just regressing them to find the optimal weightings. Nothing about...

Yea I've looked though most of the threads on the internet pertaining to this and didn't get a whole lot. Oh well, next week will be pretty hectic. Will start some testing and maybe report back if I find anything.

The testing is going to be done regardless lol. I haven't seen anything out there about this type of approach so was just curious if anyone had gone this route before :)

Hey there, I'm a newbie to pairs and stat arb. I'm a trader at a prop firm and we have a group that runs a pair trading approach and does quite well. Some of their guidance and insights have led me to investigate this type of approach. Just made my way through Ganapathy Vidyamurthy's book and...

Same here must have caught a bug or something. Oh well BOXING/UFC and ACD will have to do for tonight lol

Yes only at the 2 STD. It is probably a combo of the two but can't say for sure. It may just be that I am fading at the extremes of the Average Range. Regardless most stocks will ride the vwap bands quite a bit, so entering at the A-levels with a stop does not give me alot of margin for error.

Ill throw out a little bone here ala Mav. Well alot of this has probably already been said by him and different times throughout the thread. Been running a log of my mean reversion trades and have found a strong correlation between the size of the OR and the success of trades. I am using a 20...

You want to know what I have noticed this same thing. I ran some correlation studies in a variety of instruments and found that if anything there was a slight positive correlation between volatility in the current period and the prior period. This was on an intraday timeframe. When I was...