Hi,
Is it possible to expand the grouping of stocks from the current setup of majors sectors, to much more detailed grouping by specific industry. For instance in the financial sector there are insurance brokers, regional banks, mortgage investment, etc.. Would love to have a drop down list to further select certain industry after selecting the sector (this option of course can be forgone). FINVIZ has a very extensive and detailed industry list in their screener (can be trimmed down a little bit too), would love to see that in the pair database.
From my experience, pair database can generate tons of pairs from different sectors that are cointegrated and profitable during the lookback period; but if I want a reliable pair that doesn't break down over time, and stretch the lookback period from 3 years to just 5 years, vast majority of the pairs that I found which look too good to be true then disqualify. The remaining ones are almost always from the same sector, since they actually have fundamental reasons to be cointegrated through long period of time. However, the current grouping of sector is not really concise (I encountered stocks don't belong to certain sectors, and lots of ungrouped stocks that have no sector affiliations), and because of that I might be missing out a lot of pairs from the same industry that have strong fundamental reasons to be cointegrated over time.
Thank you very much for the work you do and please take this into consideration.
