Pair Trading Lab Helpdesk & Forum

Pair Trading => Models, Algorithms & Approaches => Topic started by: JackBeach on August 02, 2022, 11:02:55 am

Title: Do you also feel that the Residual Model performs poorly?
Post by: JackBeach on August 02, 2022, 11:02:55 am

Hi all,

I've been playing with paper trading and 50 pairs for the past couple of months while mixing models (Ratio, Residual, Kalman Grid v2 and Kalman Auto).

And I feel like the Residual model performs poorly compared to Ratio and Kalman.

Does anyone share the same feeling?

Title: Re: Do you also feel that the Residual Model performs poorly?
Post by: Lee Umberleigh on October 15, 2022, 01:39:44 pm

Hi Jack,

Have you tried using the Johansen Test to model multiple pairs instead of just 2 pair? I'm wondering if this might strengthen the cointegration force that pulls the spread back towards the zero line.

Lee