• Selecting tradeable pairs: which measure to use?
  (tags: finance trading correlation pairstrading arbitrage statistics)

Here is the list of my candidates for today. I will not trade all of those but will start watching them for short-term reversals.

Date	Sym	L/S	Close	MA(200)	Vol MA(100)	Reason
20100104	AVB		81.2	64.31	1552509	1
20100104	BRE		32.69	26.71	782613	1, 3
20100104	BWLD		40.23	38.59	373351	1
20100104	ESS		82.62	71.47	520809	1
20100104	FAF		32.43	29.22	710853	1, 3
20100104	HTZ		11.88	8.91	3071677	1, 3, 4
20100104	JOE		28.45	26.66	775880	1, 3
20100104	KRC		30.39	24.60	683767	1
20100104	OREX		7.12	6.16	786659	1, 3, 4, 5
20100104	POR		20.37	19.14	593372	1
20100104	SGMS		14.83	15.95	1050465	2
20100104	SKT		38.83	35.31	492630	1
20100104	SKYW		16.9	13.95	365697	1
20100104	SNIC		11.62	4.80	347957	1, 3
20100104	SRCL		55.16	51.07	717638	1
20100104	TCO		35.4	28.78	1072063	1, 3
20100104	VCLK		10.55	10.72	1256686	2, 3
20100104	VRX		31.76	25.68	751295	1, 3, 4, 5

1. 5 Consecutive down days.
2. 5 Consecutive up days.
3. Volume is 30% over the 10-day moving average.
4. Volume is 70% over the 30-day moving average.
5. Volume is 50% over the 50-day moving average.

Happy Trading!

Here is the list of my candidates for today. I will not trade all of those but will start watching them for short-term reversals.

Date	Sym	L/S	Close	MA(200)	Vol MA(100)	Reason
20091231	AU		40.18	38.93	2944437	1
20091231	CCO		10.39	6.35	432225	1
20091231	CGA		14.7	10.27	941221	1
20091231	CL		82.15	72.50	2660252	1
20091231	CNX		49.8	39.54	2988359	1
20091231	CPA		54.47	41.13	286977	1
20091231	CSJ		103.96	103.04	477081	1, 3
20091231	CTSH		45.33	33.08	3456789	1
20091231	ESV		39.94	38.58	3677785	1
20091231	EVVV		13.34	10.87	861995	1
20091231	FAF		33.11	29.19	707667	1
20091231	FBCM		6.18	5.30	310286	1, 3
20091231	FCE/A		11.78	8.69	1396645	1
20091231	FNFG		13.91	12.69	2395632	1
20091231	GCA		7.49	7.02	510444	1
20091231	GGG		28.57	24.98	383211	1
20091231	GOLD		79.14	66.14	1552136	1
20091231	GPRO		42.92	42.28	506234	1
20091231	HMA		7.27	5.82	3436796	1
20091231	HOV		3.84	3.31	3895607	1
20091231	HP		39.88	34.74	1516671	1
20091231	HPY		13.13	10.64	301075	1
20091231	HUM		43.89	34.54	2401496	1
20091231	IMA		41.51	35.66	683020	1
20091231	JASO		5.7	4.20	6550692	1
20091231	JRCC		18.49	18.22	1041482	1
20091231	LTM		24.93	22.77	514618	1
20091231	MEE		42.01	26.02	4360840	1
20091231	MTW		9.97	7.47	5170970	1
20091231	NEM		47.31	44.53	8374621	1
20091231	NLY		17.35	16.35	9029309	1
20091231	ODP		6.45	4.94	6608199	1
20091231	OMX		12.69	9.36	1756438	1
20091231	OREX		7.44	6.14	777824	1
20091231	PETD		18.21	16.62	336349	1
20091231	PRU		49.76	41.91	4487848	1
20091231	REV		17.01	7.29	436153	1
20091231	SAH		10.39	9.19	1214713	1
20091231	SAPE		8.27	6.70	967230	1
20091231	SAY		4.61	4.28	2495797	1
20091231	SGMS		14.55	15.95	1050535	2
20091231	TCK		34.97	22.71	5914923	1, 3
20091231	UFS		55.41	26.03	877016	1
20091231	VB		57.35	49.56	482026	1
20091231	VBR		54.48	47.46	283442	1
20091231	VCLK		10.12	10.71	1255215	2
20091231	VISN		10.92	7.27	474054	1, 3
20091231	WSM		20.78	16.10	2330186	1
20091231	WU		18.85	17.55	4980340	1
20091231	YGE		15.81	11.81	5159436	1

1. 5 Consecutive down days.
2. 5 Consecutive up days.
3. Volume is 30% over the 10-day moving average.
4. Volume is 70% over the 30-day moving average.
5. Volume is 50% over the 50-day moving average.

Happy Trading!