All the 85 trivariate pairs with correlation weigh are not found feasible for trading. Cut off correlation is derived for this segment, which is shown graphically below. The cut off correlation value is 0.68. For further analysis the pairs with correlation above 0.68 are only considered as they follow conventional risk-return relationship. 60 such pairs are found in this segment.

For these 60 pairs individual sample 2-tail t-test is done for each trading signal to check the statistical significance of the obtained returns. The test result includes mean return for each signal, standard deviation of each signal set, and t statistics. The test result is shown below: Read more »