Over the past few months I’ve tried to tighten up my pair trading. Firstly I’m picking pairs that are cointegrated at 99% confidence level by two different tests, and then by visual inspection of charts reach trigger conditions and actually revert to mean often enough to be worth trading. Also I’m using many small position sizes (approx $500USD each long and short). Most such pairs go way off pattern as soon as I put a trade on, and usually don’t return again. At least with the smaller position sizes I’m not losing too much, but it’s certainly time to reconsider using this strategy. Pity, as I’ve put a lot of work into it (and money) over the past few years.