Yes, this basket seems to be in a decent deviation level below mean so may be a good entry point. Since below mean, you could take the hedge ratio directions as listed in arbomat.
Need to verify cointegration.
Need to verify cointegration.
DislikedDo you suggest to include EURUSD, GBPUSD, AUDUSD, USDCAD and USDJPY in the basket? And trading it with intercept set to "true"?Ignored
Skype: heliosphan187