DislikedOk,but i dont understand how this is bad for our trading.Since we can find coefficients that produce short term cointegration,why cant we exploit that?
Anyway,i've also tested the exact same strategy over a period of 5 years in pairs that are not cointegrated at all.Same results,nice profit.Ignored
just like looking that - at the same time the bakery in Venice drops their price in bread, Fb stocks drop also; It could happen at one time, doesn't mean it will happen again