Strategies/systems in all market conditions

julius said:

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.

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wayneL said:

+ 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.

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acetrader said:

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!

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