New answers tagged pairs-trading
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Trading pair of cointegrated stocks using options
How's your vol forecast? Time to convergence forecast? + transaction costs and liquidity considerations.
Unless the above are nailed and have demonstrable edge then I'd argue you're adding complexity ...
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Kalman Filter Implementation using PyKalman
A few considerations:
In your code, the observation_matrix is a 1x1 matrix based on stock_1_price[t], which is incorrect. For ...
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Do i do a long/long or short/short of the trading pair when they have a negative cointegration coefficient?
In general it seems like what you are doing is reasonable to trade the negative cointegration. The extreme example would be thinking about trading a short etf against another etf. The cointegration ...
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I am having difficulties calculating returns correctly
In designing a strategy like this there are two important decisions to be made, that are distinct (though inter-related).
The first question is Position Sizing. When you open a pair trade how much of ...
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I am having difficulties calculating returns correctly
There is a common practitioner mistake when creating long/short strategies, thinking that you can create wealth out of nothing, hence, having an infinite return.
In practice, you need money to start ...
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