This past Wednesday we held a webinar about the parameters for statistical arbitrage spread trading. We had a great audience, and many people have written me separately to ask about a replay. You can find the replay at the bottom of this blog post.
One thing that always surprises me about spread trading is how many different ways there are to look at it. Even within statistical arbitrage, you might think that computers can choose the spreads and trade the strategy without human input. But the old saying "garbage in, garbage out" holds true here too. The trader has to design a strategy to select spreads based on the parameters. There can be as many different strategies as there are traders, because each trader takes a slightly different view on the input parameters.
In the webinar, we talked about the significance of cointegration, half-life, zscore, and term. I talked a little bit about how my strategy views these parameters, and I am interested to hear how your strategy is designed. Please feel free to comment about that, or leave feedback about the webinar.
Here is the webinar replay:
We hope you will join us next month for the next webinar in the series.
Written by Jennifer Galperin. Follow me on Twitter and on StockTwits