Pairs trading · TradersWeek

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Output: Signal
Input: Rule inputs, market state and execution constraints
Horizon: The system holding period
Best use: Make entry, exit and abstention rules testable as one procedure.

Input: Rule inputs, market state and execution constraints.
Output: signal.
Use boundary: Make entry, exit and abstention rules testable as one procedure.

The graph2

How the method is built, and where it has been read

Depends on

Often reviewed together

Opening auction strategy4 readings

Often reviewed together

Hedging strategy4 readings

Read in the archive24 of 70 readings

1994Evaluating rsi-ratio bands on a linked currency-spreadIntermarket and spreads 1996Index spread pairs with seasonal filters and limit ordersIntermarket and spreads 1999Same-maturity quality sleeves from a credit tunnelIntermarket and spreads 2001Constructing pair spreads with z-score triggersIntermarket and spreads 2001Displayed-size filters in multi-venue index-share executionLiquidity and costs 2001Control over capital in the trader decision processDecision process 2002Intraday sector pairs hedged as one spreadIntermarket and spreads 2002Opening-only orders, posted stops, and paper fills as first-class rulesOrder types and routing 2002A same-session pair book with a morning-fixed volatility envelopeTrend and mean reversion 2003Market-at-close orders, leftover imbalance size, and the ex-dividend pairs openAuction and volume 2004Three after-close filters on a two-basket pairs procedureSystem design 2004Opening auction envelopes and crutch pairsAuction and volume 2004Overnight session entry rules after regular hoursEntry and exit rules 2005Constructing pairs trades with capitalization-adjusted spreadsIntermarket and spreads 2005Pair-bias bands and opening-print priorityIntermarket and spreads 2005Sequential pairs execution with liquidity leansIntermarket and spreads 2006Fill entitlement, hybrid routing, and pairs sequencingOrder types and routing 2007Pairs, hedges, vanishing bids, and the cost of liquidityLiquidity and costs 2007Constructing pair-spreads as one testable instrumentIntermarket and spreads 2007Hybrid tape sweeps, pairs triggers, and fair-value cash-and-carryLiquidity and costs 2007Use of capital for overnight pairs and hedge layersIntermarket and spreads 2007Opening auctions, limit envelopes, and overnight hedgesIntermarket and spreads 2008A case study of checklist-driven opening-auction and pairs workDecision process 2008Two clocks on a public small-cap membership resetAuction and volume

This registry entry describes a research method. It is not investment advice and does not make a performance claim.