A List of Stock Pairs above 90% Correlation

This is a discussion on A List of Stock Pairs above 90% Correlation within the Stocks forums, part of the Markets category; Hi guys, I just received this list and thought some of you might be interested. its a list of stock ...

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Old Oct 7, 2008, 6:40am   #1
Joined Sep 2008
A List of Stock Pairs above 90% Correlation

Hi guys, I just received this list and thought some of you might be interested. its a list of stock pairs traded on the NYSE, NASDQ & Amex exchanges with correlation above 90%

Does anybody trade any of these pairs? Is the higher the correlation the better the pair is too trade?
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File Type: pdf Pairs_Oct_08.pdf (370.1 KB, 3117 views)
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Old Oct 15, 2008, 2:22am   #2
 
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Generally yes the higher the correlation the better the pair is too trade, however be careful with pairs above 99% correlation as the deviation from the mean is likely to be small and therefore very tight margin for profits after taking out commissions. il like pairs with correlation between 90-98%
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Old Oct 17, 2008, 5:43pm   #3
 
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hi, where did you get the list?
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Old Oct 21, 2008, 8:55am   #4
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barrychucks started this thread I received it when I downloaded a software demo from Pairtrade Finder
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Old Oct 21, 2008, 1:14pm   #5
 
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I dont want to p1ss on anyone's fire here but how long have these pairs been correlated?

Also, what happens when they break correlation, how do you know, this is of course data from oct, how do we know its not working now even if they still seem correlated.

I've done a fair bit of work into correlated markets and have recently been studying indices pairs, however, these still have some pretty wild breaks in them. Some of those pairs are also from different market sectors, therefore, highly likely to break, good if your on the right side or looking in hindsight but then thats not what trading is about.
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Old Oct 26, 2008, 4:11am   #6
 
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Quote:
Originally Posted by Lee Shepherd View Post
I dont want to p1ss on anyone's fire here but how long have these pairs been correlated?

Also, what happens when they break correlation, how do you know, this is of course data from oct, how do we know its not working now even if they still seem correlated.

I've done a fair bit of work into correlated markets and have recently been studying indices pairs, however, these still have some pretty wild breaks in them. Some of those pairs are also from different market sectors, therefore, highly likely to break, good if your on the right side or looking in hindsight but then thats not what trading is about.
Yeah I see what your saying however if your looking at pairs on a daily basis in a program such as pairtrade finder then you will see an updated correlation reading and of course wouldn't take a trade signal on decreasing correlation, I think this list is a guide and for ease of finding suitable pairs, of course you have to do your own work and filter out pairs that aren't fundamentally correlated. Its all a game of numbers.
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Old Nov 4, 2008, 1:58am   #7
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barrychucks started this thread thats well said stocktrader, they tell you to in the layman's guide to pair trading to always make sure the two business are similar, operate in the same markets, same product/service. something ive always wondered though is do we want to trade pairs that have similar valuation and market capitilisation? it makes sense to me because that means they have even more in common? thoughts?
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