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- theRedBaron
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Pairs trade on futures
I am developing a pairs trade on futures contracts. I run it intraday, with holding times of ~20 min, and fixed coefficients and hedge rations, that I compute with a lookback of a few days.How can I rigorously test what is the best lookback time(how many days do I consider when I compute coefficients)? How can I test if the spread is mean reverting, given that the coefficients change every day, and depend on a look-back window?
Last edited by theRedBaron on December 22nd, 2012, 11:00 pm, edited 1 time in total.