Pair trading

Decided to once again return to pair trading in American stocks, since such a fashion has gone. The plan is:

1. Play only promotions, included in the SP500, as these stocks have a lot of support from large funds and other institutional players that will prevent accidental attacks.
2. Pairs should only be made up of stocks of one sector of the economy.
3. Correlation за год должна быть не менее 90%.

realization:

1. Divide shares from SP500 into sectors in WLD.
2. Scan stocks from each sector for cross-correlation in WLD's built-in Correlation Matrix utility
3. Make up 10 steam
4. Monitor the ratio of their discrepancies by 1,5 стандартной девиации (period 30)
5. If there is a discrepancy, open a pair position in the InteractiveBrokers demo

  ECN - Electronic Communication Network
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