Thread by @kerberos007

Pair trading thread from the top

below is the pair trading selection from QQQ-103 stocks

criteria
1 correlation >0.85
2 pair Engle-Granger co-integration test: p_value<0.05
3 ADFuller pair-spread stationary test: p_value<0.05
4 pair spread: paper by Engle-Granger (1987)

1 of 3

below is the pair trading selection from QQQ-103 stocks

criteria
1 correlation >0.85
2 pair Engle-Granger co-integration test: p_value<0.05
3 ADFuller pair-spread stationary test: p_value<0.05
4 pair spread: paper by Engle-Granger (1987)

2 of 3

below is the pair trading selection from QQQ-103 stocks

criteria
1 correlation >0.85
2 pair Engle-Granger co-integration test: p_value<0.05
3 ADFuller pair-spread stationary test: p_value<0.05
4 pair spread: paper by Engle-Granger (1987)

3 of 3

example:

AMGN-ANSS pair spread Z-score (4-year data)

Z-score = normalized spread by mean & std-dev

1 corr = 0.93
2 co-integration test p_value = 0.011
3 ADfuller stationary test p_value = 0.0078

great pair trading opportunity....