联合集成配对交易系统 (Co-integrated pairs trading system)

Steps:

1. Choose two pairs (Ex. USOIL UKOIL, EURUSD GBPUSD, USDCAD USDMXN, AUDUSD NZDUSD)
2. Calculate linear regression slope coefficient SLOPE=∑(y/x)/n where y = pair 2, x = pair 1, n = sample size
3. When current slope (y/x) moves to far from SLOPE (∑(y/x)/n) enter
4. buy asset that rose less or fell more and sell asset that rose more and fell less

EXAMPLE

SLOPE = 3.4
ASSET X = 50.2
ASSET Y = 145.3
Y/X = 2.8944223108

2.8944223108<3.4 So buy asset y, sell asset x

if Y/X>SLOPE buy x sell y
if Y/X<SLOPE buy y sell x

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