LSJ![]() Legend ![]() Posts: 515 Joined: 8/17/2006 Location: Citrus Springs, FL ![]() | 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. |