DHI*100-KBH*100. Correlations 0.85, p-value 0.04.
To calculate the correlation and cointegration of the pair, I used the portfolioiovisualizer.com service with the following parameters:
Pairs for May 2020
AVGO*300-MCHP*800. Correlation 0.79, p-value 0.01.
Pairs for April 2020
V*200-MA*100. Correlation 0.94, p-value 0.01. Cointegrated.
Pair trading in crisis
The financial crisis has become a good test for the correlation and cointegration of pairs. For example, pairs like V*200-MA*100, AMLP*700-XOM*100, retained their character behavior and did not fall apart.
V*200-MA*100
Pairs for March 2020
XEL*300-AEP*200. Correlation 0.87, p-value 0.03. Cointegrated.
Pairs for february 2020
SPY*100-XLK*200. Correlation 92, p-value 0.63. Not cointegrated.
FAS*300-SPY*200. Correlation 93, p-value 0.28. Not cointegrated.
Pairs for january 2020
SPY*100-XLF*1000. Correlation 0.86, p-value 0.01.
C*100-USB*200. Correlation 0.78, p-value 0.01.