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In order to try the example in Ernie Chan's book( Algorithmic Trading: Winning Strategies and Their Rationale), I developed a paris trading on EWA/EWC. I didn't do the cointegration test and I just assume there is cointegration according to the book.
The performance is bad because the average win is not high enough comparing with the transaction cost. In this example the transaction fee is as high as 68% of the total profit.
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Yan Xiaowei
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
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