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In your earlier post you quoted, "They must be negatively correlated by -0.9 to -0.99 to qualify as a pair trade" Then how you will take both Short and Long positions?

Dear bwolinsky, Can you please give an example for the below quote from your reply? “They must be negatively correlated by -0.9 to -0.99 to qualify as a pair trade” Suppose A&B are two scrips with correlation -0.95, then how you will execute the trade (i.e.; how you will...

Dear bwolinsky, First of all thanks for the reply. In pair trading one is looking whether the instruments are co-integrated or not. A pair is said to be co-integrated if there occurs “mean reversion”. There is nothing to do with correlation/whether both instruments are from...

The best trading strategy in index futures is "Pairs Trading". I have done Pair trading in Index futures like DJIA(YM), S&P500(ES) and NASDAQ100(NQ) for the last 4 years. The best pair or highly correlated/cointegrated pair is YM & ES, but the best "Pair" for the purpose of day trading/short...