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Also, since it seems so many spreads go against you initially, what do you think of waiting for spreads to get uglier before putting them on? I am unsure of what is better... counting on spreads to mean revert, or playing them to continue once they blow past their channel boundaries...

jonnysharp, I was wondering if you have an opinion as to which indicator is your best guide to mean reversion. Is it the high and increasing correlation, or RSI? Your latest spread, HD-LOW seems to be in the middle of its range. Don't you prefer to put a spread on when its near its...

Yobo, I also agree that correlation may not be the best way to put together pairs. 2 stocks may have great correlation, but may have a large difference in their prices. So to put that pair on would require a large ratio to get the pair $ neutral. We've all been burned by large ratio...

Like Emily Litella used to say.... Nevermind I see that if all the trades are dollar neutral it worked out fine.

Jonnysharp, You state that out of your first 4 completed pairs, you had 4 winners. Correct me if I am missing something. I think you had 2 winners and 2 losers with a big net loss. Short CCI 37.25 cover 36.39 Long AMT 39.98 cover 40.50 net +1.38 Short AAPL 176.89 cover...

I must be missing something, most if not all of these spreads appear to be losers. What am I missing?