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Hi Louw.
I have no actual pairs trading experience but
wouldn't '100% opposing' be the ideal A-will-outperform-B scenario? Couldn't you
then go long A and short B, with stops of course, once you get a signal that A
is likely to rise?
-john
PS: you might find this article of interest <A
href="">http://www.thestreet.com/comment/openbook/1155546.html
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
<A title=louwcoetzer@xxxxxxxxxxxxx
href="">Louw-Roux Coetzer
To: <A title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Sunday, November 23, 2003 10:52
PM
Subject: RE: [amibroker] Re: To Correlate
or Not to Correlate, that is the quuestion !
Thanks JS -
forgot about that one OOPS !
<FONT face=Arial
color=#0000ff>
<FONT face=Arial
color=#0000ff>Cheers
<FONT face=Arial
color=#0000ff>
<FONT face=Arial
color=#0000ff>Louw
<FONT face=Tahoma
size=2>-----Original Message-----From: johanskatt
[mailto:johanskatt@xxxxxxxx]Sent: 23 November 2003 04:29
PMTo: <A
href="">amibroker@xxxxxxxxxxxxxxxSubject:
[amibroker] Re: To Correlate or Not to Correlate, that is the quuestion
!The Correlation function might be useful.<A
href="">http://www.amibroker.com/guide/afl/afl_view.php?name=CORRELATION/JS---
In amibroker@xxxxxxxxxxxxxxx, "Louw-Roux Coetzer"
<louwcoetzer@xxxx> wrote:> ECM StationaryHi there all
!> > > > I have tried to think of various
methods to find a matching Non-Correlating> match for a
particular shareA ...I thought of doing this by adding the close>
for shareA to the shareB and dividing it by 2 to get an average
price...I> would then use some form of standard deviation to find
out how much shareB> is deviating from the average - the share
that deviates the most would then> be the most likely candidate -
now I am convinced this would not work as it> only suggests that
shareB is more volatile than anything else...> > >
> What I am trying to do is to scan a short watch list and to find
say 2 or 3> pairs ( 2shares/pair). The 2 shares in each
pair must be non-correlating to> a certain extent in order to
lessen risk if both are purchased ( almost like> what Gary was
talking briefly about in his presentation ). Obviously the>
shares in the pair can not be 100% opposing as then no money would
be> made...My mind is still a bit baffled about this and any
suggestions and> guidance in the right direction would be greatly
appreciated... I am not> asking for an AFL Super Formula on
a platter...only to be pointed into the> right line appoach...I
will try to create the code myself ( the only way to> learn I
believe ) and if stuck will ask for a little push...> >
> > Kind regards> > > > >
> Louw Coetzer> > > > > >
> > >
---------------------------------------------------------------------------->
----> Louw-Roux Coetzer
- louwcoetzer@xxxx>
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