My Pair Trading Journal

#31
Hi tssumit,

It will be better if u r mixing some fundamentals with "pairs".
Here SBIN vs HDFCBANK, one is leader in public sector and other in private sector. I won't choose such pair, instead i go for HDFCBANK & ICICIBANK.

Currently this pair (HDFCBANK-ICICIBANK) is in convergence and i'm waiting for a divergence....

Happy Pairs Trading!!!!:thumb:
 
#33
Hi tssumit,

It will be better if u r mixing some fundamentals with "pairs".
Here SBIN vs HDFCBANK, one is leader in public sector and other in private sector. I won't choose such pair, instead i go for HDFCBANK & ICICIBANK.

Currently this pair (HDFCBANK-ICICIBANK) is in convergence and i'm waiting for a divergence....

Happy Pairs Trading!!!!:thumb:
Hi GULUGULU

Whats Your Idea on hdfcbank-kotakbank pair?
 

GuluGulu

Well-Known Member
#36
Shorted NIFTY February @ 6123. This is the first leg. Shall go long on MCX when it will open.

Total Nifty valuation is 6123x50= 306150/-. Approximate GOLDPETAL quantity would be 306150/3067 = 99.8 or 100.

Bought GOLDPETAL February, 100 quantity @ 3070.
 
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GuluGulu

Well-Known Member
#37
Hi GULUGULU

Whats Your Idea on hdfcbank-kotakbank pair?
Hi,

Although Correlation in this pair is above 90%, but cointegration is below 30%. And half-life of the pair is not attractive. The pair is at STDev of 1.29 as per PTF.

If you look at the ratio chart; it was a bit of sideways movement, i.e. OK, but while backtesting this pair using last 3-years data, it lost money.

So, I shall not accept this pair.
 
#38
Hi,

Although Correlation in this pair is above 90%, but cointegration is below 30%. And half-life of the pair is not attractive. The pair is at STDev of 1.29 as per PTF.

If you look at the ratio chart; it was a bit of sideways movement, i.e. OK, but while backtesting this pair using last 3-years data, it lost money.

So, I shall not accept this pair.
Thanks :thumb:GULUGULU for sharing your valuable thought....

If u r looking last 6 months it's an absolute candidate for pairs trading and as GULUGULU says it lost money if backtesting for the last 3-year, i think what one can do is wait for at least 6 more months and if the latest trend goes on, we can think for live action.

please comment on this....:clap:
 

GuluGulu

Well-Known Member
#39
EDIT: I need help with the Symbol for Nifty and Bank Nifty Indices to be used with PairTradeFinder.
I have tried using ^NSEI & ^NSEBANK
Hi PT,

Sorry for very late reply. I am also facing problem with this NF & BNF index. Tried a lot. As I use paid version, I also wrote to Jared who is behind the software but not found any solution.

It took data from Yahoo and IQ feed. There is no option to import data from ASCII or CSV files. This is very bad -or marketing tactics to sell IQ feed data.
 
#40
Shorted NIFTY February @ 6123. This is the first leg. Shall go long on MCX when it will open.

Total Nifty valuation is 6123x50= 306150/-. Approximate GOLDPETAL quantity would be 306150/3067 = 99.8 or 100.

Bought GOLDPETAL February, 100 quantity @ 3070.
Hi Gulugulu,

So far so good....:clapping:pls update whenever u r making changes in current holding positions....

HAPPY PAIRS TRADING!!!!