What
does this mean to me?
Do NOT trade between issues whose one month correlation is greater than
90%. Pairing strategies between highly correlated issues, generally, does not increase
return.
DO use AccuTrack to trade between low and modestly
correlated issues that have well-matched SD measurements where the SD is about the same
for both issues. If the SD is much greater for one of the issues, then
AccuTrack's trading will be totally governed by the moves of the volatile issue
instead of the moves of both issues.
Click for more Correlation
Trading Strategies.
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