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Tagged with normalization quant-trading-strategies
2 questions
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2
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using a normalized formula from a book but not getting the correct values
I'm attempting a normalization formula (seen in the picture) but I'm not getting the result of 0 and 1. Instead I'm getting values greater than 1 and less than 0 (seen in the other picture).
I wrote ...
2
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2
answers
1k
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pairs trading, normalization
I am interested in implementing a simple pairs trading strategy using two correlated futures contracts. I am unsure what the best way to normalize the prices of the two instruments is.
Essentially ...