L losemind Apr 11, 2012 #1 Hi all, Lets say you hve two assets that don't quite pairs trade well... What other strategies we could explore for these two assets? Thanks a lot!
Hi all, Lets say you hve two assets that don't quite pairs trade well... What other strategies we could explore for these two assets? Thanks a lot!
rmorse Sponsor Apr 11, 2012 #2 Quote from losemind: Hi all, Lets say you hve two assets that don't quite pairs trade well... What other strategies we could explore for these two assets? Thanks a lot! More... If two assets don't have a correlation, the pair has no strategy of value to you. Bob
Quote from losemind: Hi all, Lets say you hve two assets that don't quite pairs trade well... What other strategies we could explore for these two assets? Thanks a lot! More... If two assets don't have a correlation, the pair has no strategy of value to you. Bob
C Craig66 Apr 11, 2012 #3 Quote from rmorse: If two assets don't have a correlation, the pair has no strategy of value to you. Bob More... Really? I suggest the OP does some digging on seasonal spreads.
Quote from rmorse: If two assets don't have a correlation, the pair has no strategy of value to you. Bob More... Really? I suggest the OP does some digging on seasonal spreads.
L losemind Apr 11, 2012 #4 Quote from rmorse: If two assets don't have a correlation, the pair has no strategy of value to you. Bob More... They do have high but time varying correlations... the mean rolling correlation is around 0.6... But for some reason pairs trading doesn't work well for them. The Sharpe ratio is below 0.5. Therefore I am looking for possible other exploratory ideas... Thank you!
Quote from rmorse: If two assets don't have a correlation, the pair has no strategy of value to you. Bob More... They do have high but time varying correlations... the mean rolling correlation is around 0.6... But for some reason pairs trading doesn't work well for them. The Sharpe ratio is below 0.5. Therefore I am looking for possible other exploratory ideas... Thank you!
L losemind Apr 11, 2012 #5 Quote from Craig66: Really? I suggest the OP does some digging on seasonal spreads. More... Could you please elaborate on it? Thanks a lot!
Quote from Craig66: Really? I suggest the OP does some digging on seasonal spreads. More... Could you please elaborate on it? Thanks a lot!
bone Apr 12, 2012 #7 I have a few clients who use inter and intra-market correlations for lead-lag scalping strategies - both manual and automated. I personally think that it can be a big edge, and I have many clients who hire me to teach that niche specialty.
I have a few clients who use inter and intra-market correlations for lead-lag scalping strategies - both manual and automated. I personally think that it can be a big edge, and I have many clients who hire me to teach that niche specialty.
