Quote:
Originally Posted by zupcon
This is an interesting strategy. Rather than closing the second pair for breakeven or a small loss when the short term correlation reverts back, have you tried just keeping the second pair open, and opening 2 new orders to start the cycle again ?
You'd at least save the spread which might be significant.
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Yes, you are correct, and seems like you got the system logic really fast
You indeed can do that and keep the cycles going on but i think that this could be dangerous taking into count that a discorrelation may happen some day and that would result in a huge loss. But, while the daily correlation keeps the same this is pretty sure system