Author Topic: Explain Entry and Exit of Ratio Model in Depth  (Read 2451 times)

Michael Merrill

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Explain Entry and Exit of Ratio Model in Depth
« on: August 08, 2013, 02:24:32 pm »
I am trying to wrap my head around the ratio pairs model.  When entering does the z-score have to be, say +/- 1.5, or are you using Bollinger bands around the Delta and if the Delta crosses 1.5 SD you enter?  Same for exit logic. 

Thanks

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Re: Explain Entry and Exit of Ratio Model in Depth
« Reply #1 on: August 08, 2013, 02:37:28 pm »
Ratio model - we use Bollinger Bands around the price ratio (p1/p2) and we enter on 2 SD cross by default.

Actually mathematically it is the same as entering on Z-score = 2, because Z-score is just delta/sd (in this model).

We plan to put detailed documentation of both models to wiki, but we are really short of time at the moment.