pairs trading threshold

NexusFi · 2014-10-11T22:38:05-04:00

Good morning everyone I'm implementing, step by step, a pairs trading strategy in matlab and I'm using a fixed threshold (constant + 1 and -1), but I think its not the best solution. I'd like to know if there is any other threshold that I can use with this strategy. Thanks for your cooperation :)

Discussion in Trading Journals

Updated October 12, 2014

1,036 views
0 thanks given
2 followers

Search this Thread

pairs trading threshold

October 11th, 2014, 10:38 PM	#1 (permalink)
alecase ottawa canada Posts: 4 since Oct 2014 Thanks Given: 0 Thanks Received: 0	Good morning everyone I'm implementing, step by step, a pairs trading strategy in matlab and I'm using a fixed threshold (constant + 1 and -1), but I think it�s not the best solution. I'd like to know if there is any other threshold that I can use with this strategy. Thanks for your cooperation