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can't one just automate the ideas in this book: http://www.amazon.com/Profit-Prices-Need-Stock-Trading/dp/1434805131/ref=sr_1_1?ie=UTF8&qid=1332721446&sr=8-1

sadly, at least one of the author's of the pairs trading article I quoted, Mark Conway, is in prison and I assume can't get email: http://www.elitetrader.com/vb/showthread.php?threadid=96434

Thanks....is there any theory behind it? Var(X-Y) = Var(X) + Var(Y) - 2Cov(X,Y) and all that, but their VB formula seems ad hoc; or at least I can't find it justified anywhere. Do people have a preference for working with X-Y or X/Y when pairs trading? Thanks!

I though this was posted but didn't see it up yet........sorry if this is a repeat. I have a math question from the following TASC paper on pairs trading: http://store.traders.com/v20526daysto.html They define the spread as Spread = (LastA/CloseA) – (LastB/CloseB) Then define the...

Hi: There is an older article from TASC about pairs trading. In the article they define the spread as Spread = (LastA/CloseA) – (LastB/CloseB) They then define the volatility band as VB = (HV1 + HV2)*(1/252)*(1-R) where R = correlation between the two stocks HV1 = historical...

I've been sort of doing the following (paper trading) with moderate success. it is too simple though so would love any insights or extensions.... Main idea: only trade QLD or QID (why sepnd time looking for individual stocks ?) 5 minute bars FOR QLD sma(8)>sma(20) go long QLD Same idea...