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stat arb - need help from a mathematically inclined person

I am trying a basic stat arb algo. If you see the logs you will notice that the residual is always converging but I still incur a loss. How is that possible? Could someone who is mathematically inclined review and advise please?

3 responses

Could it be dividends?

Fixed it. Is not very profitable but at least works as expected.

I've had problems in the past with adaptive means and other rolling parameters causing residuals to converge even though the assets haven't converged.