There's a solid chance this is a really dumb idea, so I thought I'd throw it up on the forums in case someone can quickly shoot it down for me before I waste too much time on it.
Basically I'm looking into making a long-only version of one of the pairs-trading example algos by trying to find cointegration between the inverse performance of one stock and the performance of another, since going long on a stock is equivalent to shorting its inverse. I'm wondering if anyone who has looked into this kind of thing before knows whether or not it's possible for a stock-and-inverse-stock pair to be actually cointegrated enough to use in pairs trading.
This is definitely not meant to be a winning strategy or anything like that. My hope is that this will be a good learning experience that will be fruitful enough that I can actually carry it through to the end, though, so if you see any clear issues in this concept in general, feel free to save me from wasting my time. Also, if you have any suggestions, words of caution, or general advice for a newbie like me, I would totally appreciate it!
