I actually found a different pair that Goldman Sachs has not thought of yet, I have done no long-term backtesting but it reverts pretty reliably I think. I look forward to backtesting it for real. I made about $4k last week on one 3 day trade though.
On Wednesday, December 3, 2014 10:06:48 PM UTC-6, Eugene Kononov wrote: > > The sample strategy in JArbitrager is pretty much what you were > describing. It trades when the spread between the SPY and the ES becomes > too wide, and closes the trade when the spread reverts to its recent mean. > My paper trading of this strategy showed that this particular pair is > essentially arbitraged to death, so there is no hope for a small trader to > squeeze any profit. Did you backtest your pair yet? > > > >> -- You received this message because you are subscribed to the Google Groups "JBookTrader" group. To unsubscribe from this group and stop receiving emails from it, send an email to [email protected]. To post to this group, send email to [email protected]. Visit this group at http://groups.google.com/group/jbooktrader. For more options, visit https://groups.google.com/d/optout.
