DLC intraday trading

  • Look at 2, 5, 10, 15 minutes excess return
  • Use ER filters: 30 min, 1 hour, 2 hours, 1 day, 3 days, 5 days
  • Bet on reversion but only on the "right" side (only Buy cheaper DLC).
  • Plot returns (TW-style) of the pairs trade - 2, 5, 10, 15, 30 minutes.