/biz/ - Business & Finance

>>53641854
Pic related.
TQQQ vs SPXL is using
>Lookbacks ranging 21-23 days - average trend
>Entry Z-scores: 0.4 and under - easy entry
>Exit fractions: 0.4 and under - average exit
>With a 5% daily change additional entry requirement - this is hitting against the range of my search limit, it is likely limiting performance

TQQQ vs SPY is using
>Lookbacks 41-36 days - slow trend
>Entry Z-scores 2.3 - 2.1 - large signal entries only
>exit fractions: 0.95-0.8 - quick to exit positins
>With a 2% or under daily price change additional entry requirement, lower than I would expect for a highly volatile TQQQ.

The extreme entry conditions and fast exit is why TQQQ vs SPY is so blocky.

>>53641935
My resulting market correlation is 0, but that's almost a coincidence. This isn't long-short pairs trading, where if the relationship breaks down I lose on both ends of the trade.
This is unilateral pairs trading. Where SPY is being used as an indicator to inform whether the movements of QQQ will continue or revert. It's a beta play, essentially.