Honestly I don’t.
That doesn’t mean it couldn’t be done. I have just kind of moved on. I haven’t given up on the system or A/N. I am just branching out at the moment.
If you download the indi you can see that just earlier this week there was a great opportunity to bag about 70 pips. Price, and by price I mean the basket profit line which is an indication of A/N position, was slightly below -2 st dev. As one can see it is now just above the 1st st dev. If you had held price from the point the indicator showed A/N to be below 2 st dev (or outside of the 95.4% of where price has been over the last 5000 5 min periods ie. 17 days) and held it you could have bagged a 100 pips or so. Price actually moved from -2 std to +2 std so you could have made much more if you were really aggressive. But of course, hindsight is 20/20, you wouldn’t want to make that a practice of holding price as it bounced between the 2 std’s.
Most of my trades took about a week to come to fruition. I didn’t just use A/N you could have just as easily set the two pairs in the basket pairs as G/U G/J and traded U/J if it is ranging.
The system still works, I’m just not working with it at the moment.
I’m still keeping an eye on the possibilities. I just got burned so I’m staying out and watching for a while.
The way I was trading Stat Arb was really bollinger bands on crack lol.
There are indi’s out there that are relatively good at showing trending pairs. If you use them on higher time frames like the daily.