I'm getting into pairs trading (statistical arbitrage), but I keep finding different instructions on how it's done.
Some sources (like this) run the linear regression (to find hedge ratio) on the log prices of the two assets. Other sources (like this) run the linear regression on the log returns of the two assets to determine hedge ratio.
Which one is the correct way to do it? Is there any good source/guide for pairs trading? All I seem to find are random blogs.