I'm fascinated by how everyone here wants to beat the market without taking direction. Sometimes, accepting that you have directional bias is more profitable than hiding it.
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I'm fascinated by how everyone here wants to beat the market without taking direction. Sometimes, accepting that you have directional bias is more profitable than hiding it.
Using kernel regression sounds nice, but if your platform doesn't support it or you need to export everything to R or Python, is it really worth it?
Your comparison with makeup is brilliant. Many de-trenden until everything seems neutral... but only because they made it unrecognizable.
Does anyone run spreads with ETFs instead of currency? SPY vs QQQ or stuff like that. Less noise and more liquidity.
I use co-integration between shares in the same sector. It works... until a company publishes results and breaks everything.
The hard part of neutral trading is psychological. When both spread legs go against it, you need a lot of patience to not close prematurely.
A spread can be co-integrated and still not profitable. Let’s not confuse stability with profitability.
The best comment of the thread was that of "water you get drunk." Perfect summary of how statistics are manipulated in trading.
For those who use fixed hedge ratio: how much do they recalculate it? Monthly? Weekly? When are they afraid?
I've tried more than 20 spread combinations and still can't get one that survives more than 6 months. Is there a true neutral grail saint?