Our latest update of our Top 30 US Equities Pairs. We use cointegration as the primary screening criterion to allow cointegration-based pair trading.
Pairs target a p-value on the Cointegration Augmented Dicky Fuller Test of 0.10 or less.
Recent research (2015) has shown that a cointegration-based selection process for trading equities pairs leads to robust and statistically significant positive excess returns over the S&P 500.
See our 威而鋼
ng-resources/”>Resources section for the study by Huck & Afawubo titled “Pairs trading and selections methods: is cointegration superior?”
Summary:
“Including transaction costs, robust strategies…are the following: Cointegration whatever the length of the formation period or the opening trigger. Returns are especially high with monthly excess returns, including transaction costs, greater than 1.38%…and going up to about 5% over a period of more than 10 years. These are clearly the main and most impressive empirical finding of this article.”
Happy Trading!
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