I'm currently developing and back testing an intraday pair trading strategy. It should be 100% mechanical, holding period several hours to maximum a week.
Has anyone already developed such a thing ? And trading the system profitably ? If so, is the system based on going long the spread break-out or shorting the break-out and "hoping" fo a reversal ?
Oliver
Has anyone already developed such a thing ? And trading the system profitably ? If so, is the system based on going long the spread break-out or shorting the break-out and "hoping" fo a reversal ?
Oliver