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Jonathan Kinlay on Developing Statistical Arbitrage Strategies Using Cointegration

http://jonathankinlay.com/index.php/2015/02/developing-statistical-arbitrage-strategies-using-cointegration/

My results are similar to his; much of the back-tested performance of cointegrated baskets disappears once taking into account the bid-ask spread, and cointegration is fragile. Depressing, but better to find out sooner than later. I am still working on it.

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