In pair trading strategies, can we use threshold value as -0.7 for buy and 0.7 for sell on the basis of zscore. Using this threshold value gives more return than -2 and 2.
Hi Bhaskar,
Yes, you may use a different value for the threshold than what is given in the Notebook. The different pairs you may select may have a different optimal threshold. Whichever value works best for giving greater returns should be chosen.
Hope this helps!