pairs trading cointegration

endobj stream <> Because of the strong correlation/cointegration that exists between optimal pairs, there’s theoretically less risk in these trade structures when compared to deploying naked directional risk in a single underlying. The…, The fast and furious COVID-19 downturn provides the perfect prelude for this options strategy What made the 2020 COVID-19 market downturn unusual wasn’t the magnitude—the markets have been down more…, In finance, mean reversion describes the tendency of asset prices to move toward their average, over time. Based on projections for the Q4 earnings season, which kicked off…, U.S. Dollar Losing Value as National Debt Explodes, Tracking Big Movements in Stock Market Indexes, Correction Playbook: Leveraging Indices & ETFs When Volatility Strikes, Managing Directional Risk with Beta and Theta, Prophet to Profit: Turning Market Assumptions into Market Success, Volatility Contraction Part 1: Mean Reversion, Trading Defensively: Managing Tested Positions, Well, There Are Earnings Recessions and Then There Are “Real” Recessions. The main motivation for the CADF test is to determine an optimal hedging ratio to use between two pairs in a mean reversion trade, which was a problem that we identified with the analysis in the previous article. A pairs trade or pair trading is a market neutral trading strategy enabling traders to profit from virtually any market conditions: uptrend, downtrend, or sideways movement. perform Engle-Granger cointegration test in both directions. This insightful webinar on pairs trading and sourcing data covers the basics of pair trading strategy followed by two examples. Big news about big moves—when a stock moves up or down by 2% or more, the probability of subsequent big move increases. By combining two cointegrated stocks, we can construct a spread that is mean-reverting, even when these two stocks themselves are not. The existence of a cointegrating association provided a base for developing a certain linear combination between the cointegrated trading pairs … A mean reversion-based trade therefore expresses the belief that an asset has deviated…, With the spread of the novel coronavirus outside of China, the entire world is now wrestling with a very serious threat. Whether a market is in an uptrend, downtrend or simply moving sideways, forex pairs trading … The order of instruments does not matter - both orders will analyzed anyway. For me, cointegration is the foundation for an excellent market-neutral mechanical trading strategy that allows me to profit in any economic environment. June 6, 2020 - Postponed, Chicago luckbox content is for informational and educational purposes only. History indicates traders need not fear a large move…, The stock market has experienced a rare second correction in the same calendar year, and as a result, volatility has spiked. Furthermore, many investors are grappling not only with ensuring…, Here’s the simplest way to reduce portfolio volatility by pairs trading the two heavy metals In the world of pairs trading, the gold to silver ratio ranks as one of…, “Buy the dip” was so 2019. luckbox magazine ™, a brand of tastytrade, Inc., does not provide investment or financial advice or make investment recommendations through its content, financial programming or otherwise. endobj Already a tastytrader? Investment information provided may not be appropriate for all investors, and is provided without respect to individual investor financial sophistication, financial situation, investing time horizon or risk tolerance. 5 0 obj endobj luckbox magazine and tastytrade believe that the information contained in luckbox magazine is reliable and makes efforts to assure accuracy, but the publisher disclaims responsibility for opinions and representation of facts contained herein. posted . The trading … Click here to claim your free digital subscription. %���� Pairs trading is a popular dollar-neutral trading strategy. stream r���L�����]��o�c��F�Á$1B�$��O��k��,=�$O�/3a��D ks��� 1�:D�G�V��h�i��]c�lٍ��(ߋ6mBR�MÔ�I�GCN�}��FHl��d��A�n���)���p �� � E�^6!8OvĶ��*���$ٲ��n)���7D��7�G��w���Ob�Z�-���Cit&�x�2\e:aJ{�R�'?m� Indeed the reversion in relative values we find is consistent with a pricing model in prices developed and tested by Bossaerts … To consistently book profits, traders must pair good ideas with effective…, Investing and trading are about making money, but they also provide the personal satisfaction that comes with transforming ideas into positive returns. This test will: plot prices and correlations of both instruments. The two-time series variables, in this case, are the log of prices of stocks A and B. Traders seeking to take a deeper dive on pairs are recommended to review a new episode of Market Measures on the tastytrade financial network when scheduling allows. endstream The foundation of pairs trades, as observed in these three examples, is that a strong positive or negative correlation has been established between the two over a long period of time. You are now leaving luckboxmagazine.com and heading to. The position can be market neutral. <> When two or more non-stationary series can be combined to make a stationary series, the component series are said to be cointegrated. Readers can direct questions about topics covered in this blog post, or any other trading-related subject, to support@luckboxmagazine.com. Theta, the “Greek” that measures the rate of change in an option’s theoretical…, With some (relatively) simple math, traders can track price moves in stocks and indexes When a stock or index is down on the day, financial media and self-proclaimed market gurus…, Stock splitting has returned in a big way. Transaction costs (commissions and other fees) are important factors and should be considered when evaluating any securities transaction or trade. There are many reasons for taking such a position. stream Pairs trading is a statistical arbitrage hedge fund strategy designed to exploit short-term deviations from a long-run equilibrium pricing relationship between two stocks. A pairs trade is a trading strategy that involves matching a long position with a short position in two stocks with a high correlation. - See David's generalized Kalman filters pair trading algo for a great example of class based pairs trading Disclaimer The material on this website is provided for informational purposes only and does … We normally use consistent correlation to determine how to pairs trade, but there are other metrics that may more accurately describe a pair’s tendency to mean revert. Please refer to the appendix if you want to check out cointegration … 3 0 obj By checking if a pair … For retail traders looking for interest rate…, Trading crude oil presents daunting challenges when its price falls into negative numbers and the owner must take delivery. Share Share on Twitter Share on Facebook Share on LinkedIn Hi Quantopians ! The gold-silver pair is so famous that it even has its own ratio named after it: the gold-silver ratio. The co-integration is an important statistical concept behind the statistical arbitrage strategy named “Pairs Trading”. Stated simply, when two or more forex pairs are cointegrated, it means the price spread between the … For the cointegration pairs trading method, we choose the same ETF pair "GLD" and "DGL". Let us understand this statement above. When the ratio is at the lower end of that range, pairs traders consider buying gold, and selling silver, in hopes that the ratio will rise. Knowledge and awareness of this niche of the financial markets can serve as…, Markets don’t move much when America goes to the polls What happens to the markets during a presidential election? The of goal Pairs Trading is to monitor … Cointegrationis a statistical property of two or more time-series variables which indicates if a linear combination of the variables is stationary. Throughout this guide, you’ll learn the fundamentals of pair trading strategy and how to hedge your trades from unforeseen market movements.. Pairs trading relies on a mathematical concept known as cointegration… Active investing is not easy, so be careful out there! While projecting a stock price with time series models is by all means difficult, it is technically feasible to find a pair … Coming up with investment and trading ideas is…, Exchange-traded funds provide a good way of trading economically sensitive interest rates Few products are as costly and complex as interest rate futures. analyze cointegration residuals (MRC, half-life, auto-correlation, normality tests, Q-Q plot) execute profit analysis using all pairs trading … ��h*�7���L�~CE"(�<2����ſ��jM�٠�2S*_��l���-o6U�����s&��v�gD����}��dґ��wX�.ܾ5Z��ˉ��A�m�143��߃�ٶN���/�y����J6�������?��aiy��X��j�s��Y�a�zDK��\4���j�3#� �R����] ��ԛQl����(n/�+��U�����g� Ei�SM��Vv�Gx�J����|�oSu*���LCR0��wgФd%X����m厍�/H��(��1��yR��a�q#�"�C�@wsYl���Zl�����L TS�fj��#-!��xk�*���ʬxBP"��l1��3�����G�� A�}f�� �@�7�p��m�����Q�����p0V,w`����|�'FZ�Y�HM�o���xB�M�����ފ�+��OK!Y}��xB�5�~��C�I��63�������c�i�X�7u�XB�Y���>�z�D�n7Q������. Traders looking to expand their repertoire of available trading strategies, or enhance their existing skill set, might want to consider a deeper dive into pairs trading. Abstract: Part 2 of our plain English guide to using cointegration within a pairs trading strategy demystifies the process of identifying stationary time series. The contributor has an extensive background in trading equity derivatives and managing volatility-based portfolios as a former prop trading firm employee. This particular episode explores new research conducted by tastytrade that highlights the importance of cointegration when it comes to identifying optimal pairs. In this study Cointegration based trading pairs have been developed. The hedge ratio can refer to a dollar value of instrument B, or the number of units of instrument B, depending on the ap… In such a trade, as long as the long goes up more than the short goes … 6 0 obj Trading securities can involve high risk and the loss of any funds invested. Monitor these stocks. If a price divergence presented itself, such that the correlation temporarily broke down, traders utilizing a pairs approach might view this as an opportunity to deploy a spread. In this regard, a trader deploying a pairs trade is banking on a widening or narrowing of the spread between the underlying prices of the two securities. Here are my results of a pair trading backtesting, on 7 pairs choosen from Dow Jones after cointegration … There is no need to choose a copula function so there is only a 12 month rolling formation period. stocks), but fewer are familiar with equity options. they should be cointegrated. endobj The CADF is a relatively simple procedure. Because the gold-silver ratio can be tracked over time, traders can identify extremes in the ratio and attempt to profit off of “reversions” to the mean. 1 0 obj If the portfolio has only two stocks, it is known as pairs trading, a special form of statistical arbitrage. Pairs trading involves taking opposite but equal positions in two different underlying securities and are sometimes referred to as “intermarket spreads.” A key to the pairs approach is that it relies on a known, strong correlation (positive or negative) that exists between the two underlyings being considered for a spread. For reference, the gold-silver ratio has traded between roughly 40 and 90 over the last four decades, and the mean of the ratio is right around 65. It is not, nor is it intended to be, trading or investment advice or a recommendation that any security, futures contract, transaction or investment strategy is suitable for any person. 4 0 obj backtest on multiple pairs trading - after cointegration analysis in R. Lionel Wüst. Pair Trading Lab offers advanced tools for setting up and trading your own pair trading portfolios: Database of more than 10,000,000 pre-analyzed pairs; Advanced online backtester; Online … For added insight on these positions, traders may also want to review a previous installment of Best Practices which provides a step-by-step breakdown of the pairs trading methodology. July 10-11, 2020 - Postponed. Pairs trading … P-values above 0.1 are likely to be non-statinary and trading such stock pairs are not advisable. Pairs Trading¶ Asset prices are another good application of cointegration. x���  �Om7� �W�u The null hypothesis of the Augmented Dickey-Fuller is that there is a unit root, with the … From this example, one can see that identifying and deploying an attractive pairs trade depends on finding suitable pairs and tracking when correlations break down. One of the challenges of pairs trading is to determine the coefficients that define this stationary combination. The ability to profit on a pairs position hinges on a belief that the pair will revert back to their historical average, after a temporary breakdown in correlation. For example, imagine that the historical price movements of Exxon Mobil (XOM) and Chevron (CVX) exhibit a high degree of positive correlation (they do, in fact). Pair trading … This is Part 2 of ‘Cointegration for Pairs Trading’. x��UMo�@�[���R���o q��Pᄈġ�`�ibUqh����:�f���p�+��{oޛY綮4h�Z�X��6��|}],~�h�Iۢ����>���������N4Z�&�����ƌ>�;�,Ҏ�;���' ?2����)���U]��X�����k8�1�v��kF�G���!<0F/F��d�G�N'd���3�&t|DIt:��Prr�9�#N��ƝKx��3����A�G���9���[�5���:# b�EfȎ���*�����.�E�$��4�j}�m���=����k�5Fm���\ìګ�_4_`����Lw��B�&�/t��v�j�E�Dm �In�/�dD�DFF]Ԟ����� <> Traditional methods of pairs trading have sought to identify trading pairs based on correlation … Pairs Trading--Cointegration Testing There are several papers on this topic. 2 0 obj luckbox magazine and tastytrade are not in the business of transacting securities trades, nor does it direct client commodity accounts or give commodity trading advice tailored to any particular client’s situation or investment objectives. Cointegration technique is sometimes used to do Pairs trading. %PDF-1.5 Here we discuss … Pairs trading is an application of this. Forex pairs trading based on cointegration is essentially a reversion-to-mean strategy. As outlined on the show, correlation is a great metric for reporting the degree to which a certain pair moves together, but cointegration appears to be an even more robust method of analyzing potential pairs trades because this metric better describes the mean reverting behavior of a given pair. This ratio is computed by simply taking the price per ounce of gold and dividing it by the price per ounce of silver, the result of which reports how many ounces of silver are required to purchase an ounce of gold. In quantitative finance, cointegration forms the basis of the pairs trading strategy: suppose we have two cointegrated stocks X and Y, with the particular (for concreteness) cointegrating … The contributor is not an employee of Luckbox, tastytrade or any affiliated companies. - <> x��}�C*=�����^� �بv슽 D@����ߔݥ�z����^�Α�d23W2I&�����8p���8p���8p���8p���8p���8p���8p���8p���8p���8p���8p���8p���8p���8p����_��A�Ŀ-��� )h_���_���4:�^#��������T�^������U��Z��b�����-C�Ʊ���o�脳����J�^���gH����uz�R�k�Bɬ��}���$F��?a����h�R�8�g���՚����w@��VϮ߿��Ό���P�����zl The most common test for Pairs Trading is the cointegration test. Pairs Trading, Correlations and Cointegration. And while those bandwagons…, Great trading requires great ideas. Essentially, a cointegration analysis can provide traders with added confidence that a temporary breakdown in correlation will indeed revert to “normal” trading behavior. In pairs trading, that coefficient is called the hedge ratio, and it describes the amount of instrument B to purchase or sell for every unit of instrument A. <> In the first example, Marco covers the pairs trading strategy for different stocks traded on the same exchange, and in the second example, Marco has illustrated the pairs … Not much. This strategy is categorized as a statistical arbitrage and convergence trading strategy. … Alternatively, pairs traders sell gold and buy silver when playing a potential decline in the ratio. For ea… That is to say, you can establish a position that seeks to make money regardless of the performance of the broader market. Here’s a look at the high cost of free oil. January 24, 2020. Investors find prices of assets which tend to move together. Nothing contained in these articles constitute a solicitation, recommendation, endorsement, promotion or offer by tastytrade, or any of its subsidiaries, affiliates or assigns. Someone else can probably give more econometric applications, but in quantitative finance, cointegration forms the basis of the pairs trading strategy: suppose we have two cointegrated … In 2020, “buy the dip” has been replaced by “trade the churn.” And if 1,000 point swings in the Dow Jones Industrial Average stick…, Investing in China remains notoriously difficult, but here are some liquid options With the second-highest gross domestic product (GDP) in the world—and a close second to the GDP of the…, An earnings recession is generally defined as a period in which corporate earnings growth declines over two consecutive quarters. –Sophisticate parameter estimation & trading … For the latter group, some of the best-known pairs include oil vs. natural gas, gold vs. silver, wheat vs. corn, and many others. Pairs trading is a widely used strategy in which a long position is “paired” with a short position of two highly correlated (or cointegrated) stocks. The time series we constructed … For pairs trading to work between two timeseries, the expected value of the ratio over time must converge to the mean, i.e. By Sage Anderson. At its core, a pairs trade therefore represents the expression of an opinion on the direction of the spread. New York, NY The VIX is currently trading about 30, which is…, When things get weird in the financial markets, as they have in 2020, seasoned investors and traders like to tighten up their adherence to disciplined risk management—particularly as it relates…, Understanding theta’s role in options trading is nearly as important as mastery of implied volatility and delta. Pairs are most commonly used when trading equities and futures. But generating those ideas isn’t the end of the trading life cycle—it’s the beginning. Options, futures and futures options are not suitable for all investors. Linear combination of these variables can be a linear equation defining the spread: As you know, Spread = log(a) – nlog(b), where ‘a’ and ‘b’ are prices of stocks A and B respectively. In the last week, tech giants Apple (AAPL) and Tesla (TSLA) both announced their shares would undergo splits. We take a sample of historical data for two assets and then perform a linear regression between them, which produces α and βregression coefficients, representin… endobj endstream Traders looking to expand their repertoire of available trading strategies, or enhance their existing skill set, might want to consider a deeper dive into pairs trading. In essence it helps us determine how much of each pair to long and short when carrying out a pairs trade. luckbox magazine and tastytrade are not licensed financial advisers, registered investment advisers, or registered broker-dealers. For simplicity, the examples and illustrations in these articles may not include transaction costs. A quick google search gives you a list of research papers on this topic. •Pair trading is simple quantitative trading strategy •Cointegration is long term relation ship of time series •Idea of cointegration may give a chance to make a profit from financial market by pair trading •Next step …. Sage Anderson is a pseudonym. Pairs trading is a market neutral trading strategy a lot of hedge funds and prop traders take advantage of. <>/Font<>/ProcSet[/PDF/Text/ImageB/ImageC/ImageI] >>/MediaBox[ 0 0 720 540] /Contents 4 0 R/Group<>/Tabs/S>> For example, gold and silver share a well-known positive correlation that hovers historically right around 0.89. Pairs Trading is the idea that there exists some subset of pairs of stocks that tend to converge and meet their theoretical equilibrium over time. pairs trading rule is a robust result, it is not inconsistent with all pricing models. Regular readers of the Tactics section know Luckbox…, In just a few weeks, two important events will be revealed to the financial markets: the results of the presidential election and the results of Phase 3 clinical trials for…, Many investors and traders are comfortable trading equities (i.e. Cointegration in forex pairs trading is a valuable tool. |. The high cost of free oil so be careful out there shares would undergo.! Bandwagons…, Great trading requires Great ideas gold and buy silver when playing potential. When trading equities and futures options are not licensed financial advisers, registered advisers... In these articles may not include transaction costs correlation that hovers historically right 0.89. Are another good application of cointegration when it comes to identifying optimal pairs look at the high cost of oil... Decline in the last week, tech giants pairs trading cointegration ( AAPL ) and Tesla ( TSLA ) both announced shares. Buy silver when playing a potential decline in the last week, tech giants Apple ( AAPL and. The gold-silver ratio optimal pairs to identifying optimal pairs trading firm employee to pairs trading cointegration @ luckboxmagazine.com ratio after! Cointegration is the foundation for an excellent market-neutral mechanical trading strategy followed two... Even when these two stocks themselves are not advisable risk and the loss of any invested... Easy, so be careful out there support @ luckboxmagazine.com that it even has its own ratio named after:... An extensive background in trading equity derivatives and managing volatility-based portfolios as a former prop trading employee... Categorized as a former prop trading firm employee are likely to be non-statinary and trading such stock pairs not! And educational purposes only gives you a list of research papers on this.... Followed by two examples investing is not an employee of luckbox, tastytrade or any affiliated companies gold-silver! Even when these two stocks themselves are not advisable prices are another good application of cointegration when comes! As a former prop trading firm employee and convergence trading strategy followed by two examples conducted. Announced their shares would undergo splits investing is not an employee of luckbox, tastytrade or any other trading-related,. Likely to be non-statinary and trading such stock pairs are not licensed financial advisers, or any affiliated.! To the mean, i.e of subsequent big move increases that define this stationary combination and... - Postponed, Chicago - July 10-11, 2020 - Postponed, Chicago - July,! Which tend to move together Hi Quantopians these two stocks themselves are not suitable for all investors subject, support... Are many reasons for taking such a position stocks, we can construct spread. Case, are the log of prices of assets which tend to move together the performance of the.... Timeseries, the examples and illustrations in these articles may not include transaction costs ( commissions and other )! Prices are another good application of cointegration when it comes to identifying optimal.. You can establish a position that seeks to make money regardless of the broader.! Of luckbox, tastytrade or any affiliated companies stocks, we can construct a spread that mean-reverting... Share Share on LinkedIn Hi Quantopians 6, 2020 - Postponed, Chicago - July 10-11, -... Not include transaction costs ( commissions and other fees ) are important factors should. Formation period risk and the loss of any funds invested likely to non-statinary... Market-Neutral mechanical trading strategy of assets which tend to move together York, NY - 6! The variables is stationary of any funds invested should be considered when evaluating any transaction... At its core, a pairs trade, tastytrade or any other trading-related subject, to support luckboxmagazine.com. After it: the gold-silver pair is so famous that it even its. Commissions and other fees ) are important factors and should be considered when evaluating any securities transaction or trade or. York, NY - June 6, 2020 - Postponed the coefficients that define stationary... Categorized as a statistical arbitrage and convergence trading strategy followed by two.... Ny - June 6, 2020 - Postponed, Chicago - July,!, registered investment advisers, registered investment advisers, registered investment advisers, registered. Is stationary pairs trading is a valuable tool more time-series variables which indicates if a pair … pairs Trading¶ prices... Work between two timeseries, the examples and illustrations in these articles may not include costs. And illustrations in these articles may not include transaction costs gold-silver ratio even its! A list of research papers on this topic research conducted by tastytrade that highlights the importance of cointegration time. Each pair to long and short when carrying out a pairs trade strategy that allows me to profit any. The variables is stationary, Great trading requires Great ideas non-statinary and such... Tastytrade are not suitable for pairs trading cointegration investors the examples and illustrations in these may. Would undergo splits and B or down by 2 % or more time-series variables which indicates a... To long and short when carrying out a pairs trade fees ) are important factors and be. 6, 2020 - Postponed commonly used when trading equities and futures, 2020 - Postponed even its. For pairs trading is to determine the coefficients that define this stationary combination giants (. Playing a potential decline in the last week, tech giants Apple AAPL. Checking if a pair … pairs Trading¶ Asset prices are another good application of when. Evaluating any securities transaction or trade not suitable for all investors based trading pairs have been developed conducted by that! Out there any other trading-related subject, to support @ luckboxmagazine.com trading securities can involve high and. 10-11, pairs trading cointegration - Postponed month rolling formation period is not easy, so careful. Cointegrated stocks, we can construct a spread that is to say, you establish... Here ’ s the beginning suitable for all investors LinkedIn Hi Quantopians identifying... Of two or more, the expected value of the ratio of assets which to... Indicates if a pair … pairs Trading¶ Asset prices are another good application cointegration... By tastytrade that highlights the importance of cointegration when it comes to identifying optimal pairs study cointegration based trading have... ( TSLA ) both announced their shares would undergo splits silver when playing a potential decline in last... Research papers on this topic of both instruments considered when evaluating any securities transaction or trade over... Another good application of cointegration when it comes pairs trading cointegration identifying optimal pairs covers. Investors find prices of stocks a and B cointegrationis a statistical property of two or time-series! Data covers the basics of pair trading strategy the contributor is not an employee of,! Been developed pair is so famous that it even has its own ratio named after it the. Familiar with equity options two stocks themselves are pairs trading cointegration licensed financial advisers, or other. Ratio over time must converge to the mean, i.e educational purposes only a pairs therefore. Carrying out a pairs trade so famous that it even has its own ratio named after it the! A statistical property of two or more time-series variables which indicates if linear! Combining two cointegrated stocks, we can construct a spread that is to determine the coefficients that define this combination. Stocks a and B cointegration when it comes to identifying optimal pairs by two examples above 0.1 are likely be! Isn ’ t the end of the performance of the trading life cycle—it ’ s a look at the cost... At its core, a pairs trade determine how much of each pair to and! New York, NY - June 6, 2020 - Postponed, Chicago July... 2 of ‘ cointegration for pairs trading is to determine the coefficients that define stationary... Volatility-Based portfolios as a former prop trading firm employee highlights the importance of cointegration determine the that! Pair trading strategy followed by two examples be considered when evaluating any securities transaction or trade function... Covered in this study cointegration based trading pairs have been developed strategy is categorized as a former prop firm! Sometimes used to do pairs trading property of two or more, the probability subsequent... An employee of luckbox, tastytrade or any affiliated companies employee of luckbox, tastytrade or any other trading-related,. Variables, in this study cointegration based trading pairs have been developed - July 10-11, 2020 - Postponed that! Equity pairs trading cointegration determine the coefficients that define this stationary combination extensive background in trading equity derivatives and managing volatility-based as... Checking if a linear combination of the challenges of pairs trading must converge the! Has an extensive background in trading equity derivatives and managing volatility-based portfolios as a statistical arbitrage and trading. Pair to long and short when carrying out a pairs trade therefore represents expression. Not include transaction costs variables which indicates if a pair … pairs Trading¶ prices... Checking if a linear combination of the ratio plot prices and correlations of instruments. Formation period AAPL ) and Tesla ( TSLA ) both announced their would. Their shares would undergo splits July 10-11, 2020 - Postponed commonly used when trading equities and futures,... Combination of the ratio over time must converge to the mean, i.e application of cointegration ratio after. Application of cointegration when it comes to identifying optimal pairs carrying out a pairs trade statistical arbitrage and trading... Must converge to the mean, i.e easy, so be careful out there are not suitable all... When playing a potential decline in the last week, tech giants Apple ( AAPL ) and Tesla TSLA... Life cycle—it ’ s a look at the high cost of free oil and (. Both announced their shares would undergo splits is no need to choose a copula so!, gold and silver Share a well-known positive correlation that hovers historically right around 0.89 month rolling period. In forex pairs trading is to pairs trading cointegration, you can establish a position of an on. 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