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-1 votes
2 answers
76 views

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 ...
Jose Maldonado's user avatar
2 votes
2 answers
1k views

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 ...
Mustard Tiger's user avatar