twalker said:Since I did not follow this in a previous thread please could you elucidate?
Rangebound nature is interesting
gbr128 said:This is exactly the kind of system I had been hoping to develop, but haven't had the opportunity yet as I've been working full time and also part time so no time left!
Are there any more details you're willing to post?
gbr128 said:I got as far as calculating the 6-month correlation for every pair in the FTSE on some test data I have. Many pairs had high correlations but didn't look like they'd be any use for trading the spread.
So I guess my question is how you calculate your line of best fit? And do you then use that as the trigger point or do you use the mean of the spread?
TheBramble said:VN - I'd settle for an explanation of the part of your system which "scans the prices of every potential pair from a universe of stocks ".
What product do you use to scan?
How do you populate that scanner with stocks in the first place (i.e. on what basis/criteria do YOU decide to enter a stock for future processing (or is that automated too)?
And how do you determine what is a potential pair on a dynamic basis?
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