Aug

6

What is the correct way of calculating the spread between two time series A and B of daily returns? Assuming the spread at t1 is A1-B1 and at t2 is A2-B2, the return of a trade (buy A sell B) entered at t1 and closed at t2 is not (t1-t2) / 2 as expected, but off by a few tenths of a point depending on the distance between t0 and t1 and between t1 and t2. I spent the whole weekend trying to find what I'm doing wrong, to no avail. Any help will be greatly appreciated.


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