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Do people still do this on larger timeframes? I figured all of the avellaneda style stat arb in us equities had kinda been compressed to the <1 hour timeframe.
Yes but you need to do a lot of the fourth bullet point (ideally with proprietary signals that are hard to replicate). WorldQuant has a >$3bn business with SR > 3, built around five day hold equity stat arb.
Interesting! I guess at the point where you're heavily leaning on short term prop fundamental signals, it doesn't even seem like lead/lag stat arb anymore?
You ever looked into doing something like this with crypto?
crypto you can do really stupid shit and still make money, including dead strats on equities--but who knows how long the market will last
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