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Oct
24
comment How to normalize stock data
I suggested this because I thought you said spreads between instruments which I am having trouble imagining between more than two instruments. It would definitely help if you told something about the spreads that you are planning to work on. As with what @statsquant said, you need to be clearer what you mean by 'normalizing'.
Oct
22
comment How to normalize stock data
The entire strategy was being based on mean reversion between prices. We would trade based on whether the ratio of the two prices was mean reverting and when it would breach certain thresholds. It converted two time series to one that we could run our tests on.