current correlation of 89 % , very good co integration at .94. SHORT DRYS (BLUE) LONG OSG ( ORANGE)....
Comments
Algokid
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Finally closing this Trade with a profit on DRYS , a loss on OSG, but for a net LOSS on the pair. Pretty much confirm what you mentioned Tim. 20 % dispersion between two stocks is not ideal for pair trading.
charttrader
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Good to know. Thank you very much for the feedback.
Algokid
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Hmmm, I never looked it that way. I will verify my closed trade and do some back test on this. Thanks you for your input, much appreciated
timwest
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For what it is worth, if you have more than 20% price dispersion between two correlating equities inside of six months, then you really have not reduced your risk relative to the market when pairing.