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location Mountain View, CA
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visits member for 2 years
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Apr
11
comment Harnessing small correlations for reliable profit
The system helps to choose the optimal allocation between stocks. It does not choose stocks for you. You have to select your basket. It is iterative system. It takes time to converge to optimal allocation. Do not expect to get it working in 3 trades. Also, it helps to have stocks with minimum correlation. With perfectly correlated stocks - any allocation will give the same result. The detailed description is here.
Apr
10
answered Harnessing small correlations for reliable profit
Apr
10
comment Avoiding negative spread in pairs trading
spread sign is not important. P&L will be determined by change in equity line.
Apr
7
awarded  Teacher
Apr
7
answered Testing Significance of Correlation
Mar
9
comment Pairs trading: Question on non-negative profits, size of the positions and trading signals
What values do you substitute for X & Y? Prices or log prices?
Nov
18
comment Cointegration trading: Ignoring pairs that aren't economically related
the reference: 1. gogerty.com/blogpersonal/… 2. more complex and slightly outdated: stat.wharton.upenn.edu/~steele/Courses/434/434Context/…
Nov
15
answered Cointegration trading: Ignoring pairs that aren't economically related