It's a great demo:
Plus he gives away a trading strategy that looks like it works.
Hopefully more will be added later; I'm also considering contributing.
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- Max Dama
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2 comments:
Max - I modified the code in the Matlab pairs trading video to search out for co-integrated pairs in the US Equities markets. I then ran the system on US Equities.
After looking at the results I came away with the impression that US Equities have a lower Sharpe Ratio with a given Dickey Fuller p-value than the London Equities discussed in the webinar.
In your opinion, does it make sense to look at the relationship between the significance of the Dickey Fuller value and compare it to the Sharpe ratio of trading the pair?
It makes sense but I'm no expert with Dickey Fuller or cointegration strategies.
Max
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