Returns are especially high with monthly excess returns, including transaction costs, greater that 1.38%Īnd going up to about 5% over a period of more than 10 years. "Including transaction costs, robust strategies.are the following:Ĭointegration whatever the length of the formation period or the opening trigger. To determine pairs.We find that a trading strategy that bets on this convergence generates.Īlphas of up to 36% annually for an equal-weighted portfolio.”Įmpirical Investigation of an Equity Pairs Trading Strategy, Huafeng Chen, Shaojun Chen, Feng Li, September 2012 "We test an equity pairs trading strategy that uses historical return correlations ![]() Why use PairTrade Finder® PRO? Recent Third-Party Research on Pair Trading U.S.
0 Comments
Leave a Reply. |
AuthorWrite something about yourself. No need to be fancy, just an overview. ArchivesCategories |