just read this recently found it ok:
http://www.puppetmastertrading.com/blog/2010/04/08/pairs-por...
ernie chan's blog is also a decent starting point: epchan.blogspot.com
ernie chan's blog is also a decent starting point: epchan.blogspot.com
It'd just be nice to have a clear, concise guide to point to every time something like this comes up.
There's two parts: there is the strategy itself. And then there's everything that surrounds it: what a generic strategy looks like, how to test it, how to operate it, how to build risk models, etc. There's probably more work to the second part than the first.