Pair Generator – our pairs are generated based based on fundamental edge
Our pair generator is a server-side database scanner that we run on a weekly basis. We search for pairs where certain fundamental values for the long stock have advantage over the same fundamental values of the short stock. We use PE, Book Value (or Price-to-book) and other fundamental valuations to generate the list. Once a list of potential pairs is created, we then run them through statistical data analysis and calculate ATR, ADR, correlations, cointegrations, Bollinger band values and a few other metrics.
The end result of this operation is a list of fundamentally “valid” pairs with included statistical analysis. Here’s an example of what our report looks like:
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