For PT I use the rolling beta of stock Y and X with a look back period of 100 (minutes) and then derive the spread and the z-score from it. Very straight forward.
When I generate the betas with a look back period of 100, it uses 99 observations from it and the 100th observations gives me the beta.
Do I trade on that beta and derive the spread and z-score from it?
For example, I trade every minute. I retrieve the last 100 minutes of data every minute and calculate the beta over that period which the 100th observation = the beta and derive the spread/z-score from it.
Is this the correct way to trade?
If it wasn't clear, please ask for clarification because it's a bit hard to explain. I very much thank you in advance.
Edit: in real time trading, do I need the rolling beta of just the beta when I established a look back period?