Strategies/systems in all market conditions

[wayneL]

I'm sorry but I don't agree. What you are doing is not arbitrage at all. You are simply betting on a assumed relationship between two instruments.

You're right that the overall position is less sensitive to the market, ie. low beta, but you can also achieve this just by balancing open long and short positions.

+ 1

It ain't arbitrage. Simple pairs trading isn't statistical arb either, though it was born from the concept of pairs trading. Statistical arbitrage requires a large number of correlated instruments in order to create a statistically valid mean reversion strategy.

 

[lesm]

+ 1

It ain't arbitrage. Simple pairs trading isn't statistical arb either, though it was born from the concept of pairs trading. Statistical arbitrage requires a large number of correlated instruments in order to create a statistically valid mean reversion strategy.

Wayne,

You have provided the more correct definition, as formally stat arb involves a portfolio of instruments. Although, the original concept evolved from pairs trading.

I actually agree with Julius on his view with regard to calling it arbitrage. The bold text above better describes it.

 

[jackson8]

hi yonnie,

I believe all system have to exploit "the trend" to make monkey.

If you are a one-way-trend-follower just trade the up or down trend and leave the sideway market for other traders. If you grab all the money in the market, what can we eat? Just take a break after a long trend riding.

Good Luck!

i dont think yonnie is still around as he hasnt posted in almost a year

those figures given were thru the 2005-2007 bull market so interesting to see what the returns would be over the last years bear
maybe if they were hedge fund shorting they would be very impressive also

 

[Wysiwyg]

The O.P. would probably understand by now that one system does not fit all market cycles. A buy and hold in the right sector from the start of a bull market is a great strategy.

Don't forget to sell at the end.