When people trade related vehicles

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IronFist

How early do they start the correlation? Last time they touched on earlier charts? 8:30 am starting over all days? Is there a moment that lets them say ok this is zero and there is not a difference? I don't understand it without this.
 
IronFist said:
How early do they start the correlation? Last time they touched on earlier charts? 8:30 am starting over all days? Is there a moment that lets them say ok this is zero and there is not a difference? I don't understand it without this.
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It depends on your prior hypothesis really (for example, are the securities co-integrated?), so it’s impossible to generalize.
 
sle said:
It depends on your prior hypothesis really (for example, are the securities co-integrated?), so it’s impossible to generalize.
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@sle, how much value do you place on stationarity and cointegration? It seems like that even the most cointegrated pair can break down at any time.
 
I typically model intra and inter market Spread correlations over an OTR 2 year period. Personally, I will not use a Spread combination with <93% positive correlation on Daily marks - this is my own screening requirement to drill down and investigate further.
 
truetype said:
"And immediately there fell from his eyes as it had been scales: and he received sight forthwith..."
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%%
Good points; more follow.
I like what the mature DOW derivatives trader said[public poster of trades] on elitetrader-- ''its correlated to itself'' Great practical points quote:cool::caution:
 
sle said:
It depends on your prior hypothesis really (for example, are the securities co-integrated?), so it’s impossible to generalize.
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I'm not sure what that means.

@bone thanks for the description.

My idea is that if you're starting it every day when trading begins, it might be more separated than if you started at some other time.
 
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