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LSJ

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Posts: 515

Joined: 8/17/2006
Location: Citrus Springs, FL

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Subject : RE: ATM Hedging feature
Posted : 2/18/2018 8:22 AM
Post #44099 - In reply to #44095

I'm employing a hedged strategy trading stock pairs that worked very well during the swoon.

I believe the key is using highly co-integrated pairs and would like to see N add that calculation in Pairtrader. The results of my backtests using co-integration greater than .9 can show a variation in correlation of as much as -30% to 90%+ over a year. I am not fully conversant with the in-depth math but looking at results I conclude that co-integration is a powerful determinant and more reliable than correlation alone.

I have looked at trading hedged stock pairs using options but liquidity and IV often do not co-operate so I stick with straight long/short stocks.
Deleting message 44099 : RE: ATM Hedging feature


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