January 2009
2 posts
Today's Hot Arbs
CLX-RAH Currently converging. Distance to the mean-ratio: 1.93 standard deviations
Beta spread: -0.02 Cointegration test p-value: 0.0019 Correlation: 0.3613 Mean-ratio standard deviation: 0.04 Capture potential: 1515 ticks
You could… Buy CLX and Short RAH
KLAC-LRCX Currently converging. Distance to the mean-ratio: 1.8 standard deviations
Beta spread: -0.14 ...
Pairs that converged to their mean-ratio yesterday
ALL-BRE Converged from 2 standard deviations of the mean-ratio in 23 days. If you had traded it you would have captured a total of 636 ticks. CAKE-KMX Converged from 2 standard deviations of the mean-ratio in 38 days. If you had traded it you would have captured a total of 173 ticks. CMCSA-TOL Converged from 2 standard deviations of the mean-ratio in 41 days. If you had traded it...