The Half Pair/Unilateral Pairs trading concept continued to do well during the recent market crash. IWM trading based on the IWM/SPY ratio managed to be on the right side of the market during the crash. The equity curve plot and the current plot of the IWM/SPY ratio (red) are included above. The ratio plot includes the moving average of the ratio (green) and the number of standard deviations the ratio is above or below the moving average (purple).
This concept still seems to be very powerful. The only problem is to find a number of pairs that are working in the current environment.
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