Algokid

PAIR TRADE ( IND. OIL & GAS)

NYSE:CNQ   Canadian Natural Resources Limited
2
correlation : 96 %
co-integration : .92


LONG CNQ @ 38.75
SHORT PXD @ 108.35

my only concern is the dispersion of about 27 % between the two stocks. But with a co - integration of 0.92 , i'm confident that the trade will be successful. Avg day in trade ( based on past 3 years) is 9.33 days.

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