Yes. Ideally you want pairs that are uncorrelated (not just negatively correlated)… Unfortunately in these high volatility times we do end up with assets that tended to be less correlated becoming more correlated. And then we get the Saudis and the Russians having a pissing match to try and break the US shale producers at just the wrong time…
Sad to see this system blow up. I was a subscriber but bailed quite a while ago because there were directional trades in there and when I queried these they were being used to juice the returns… I have plenty of market-beta elsewhere in my portfolio. The last few weeks haven’t been too bad for this strategy in that we’ve had good day-by-day reversion. But, there have been some tough draw downs there as well as there’ve also been some big multi-day moves.
I closed out my DUST/NUGT pair yesterday as it looked as though Direxion had some issues in setting up the daily derivatives after that massive one day move the day before. I closed my OILD/OILU earlier than I probably should of as a risk management move. Gave up a good chunk of upside (well recovering some downside on that pair). YANG/YINN performed well; in fact any of the pairs based on equity underlying’s would have done quite well lately. I am flat at the moment and will probably move back in by scaling in over a few days.
