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Trading Correlation

October 8, 2010

CSS was recently featured in Active Trader Magazine — a publication that is well worth reading for trading strategy. We wrote an article about using correlation regimes to guide mean-reversion strategies. A link to the intro can be found here: We will take a closer look at this topic in future posts.

5 Comments leave one →
  1. October 10, 2010 8:32 pm

    Terrific work gang. Interestingly, when I get an SPY based signal, I have long observed that my best vehicle to trade fades with is the most stretched among the majors in contrast to the SPY as a baseline measure.

  2. October 10, 2010 8:33 pm

    Oh, and here is another piece on correlation I have been thinking about for several years, recently published. Cheers, Jeff

  3. Keith Piccirillo permalink
    October 14, 2010 7:07 am

    You were onto YHOO a month ago, and picks have been exceedingly good.

    • david varadi permalink*
      October 15, 2010 12:17 pm

      thanks keith! the computer sure knows its stocks 🙂

  4. Mike G permalink
    October 21, 2010 10:24 am

    Just finished reading your article in Active Trader. I wanted to give it a test run but I’m a little confused as to what 60-day z-score of 60-day average correlation means exactly? Any chance you have it in Excel?

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