Author Topic: Do you also feel that the Residual Model performs poorly?  (Read 197 times)

JackBeach

  • Newbie
  • *
  • Posts: 19
  • Karma: +0/-0
Do you also feel that the Residual Model performs poorly?
« 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?

Lee Umberleigh

  • Newbie
  • *
  • Posts: 1
  • Karma: +0/-0
Re: Do you also feel that the Residual Model performs poorly?
« Reply #1 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