Pair Trading - Exploring The Low Risk Statistical Arbitrage Trading Concepts

[VJAY]

1. Buy positions we do not close, only sell gets closed as we cannot carry sell positions overnight.
2. In this case we have JSL buy positions worth 10K, so in the evening after market closes we check if the Zscore is above 2.0, in this case it is 1.31, so for tomorrow we will not buy JSL but will only keep MOIL SL-Sell order worth 10K.
3. If zscore raises above 2.0 in coming days we take new trades in increment of 10K, i.e we will buy JSL again with SL-BUY order for another 10k worth stocks so that our total position is of 20K, but we will keep SL-SELL for MOIL for stocks worth 20K.

Idea is to average the price of the buy stocks when the zscore goes above 2.0 on daily basis and keep sell order for the other stock for the same amount.

So if we see after market zscore of 1 or below it we exit position tomorrow morning?or wait for near closing?

 

[ncube]

So if we see after market zscore of 1 or below it we exit position tomorrow morning?or wait for near closing?

Yes, if the zscore is below 0.5 then next day we keep a trailing SL-Sell order for the bought stock.

 

[checkmate7]

Finally able to read all the post ...
Very good initiative Ncube..learned new way of trading will be testing in coming days. Have installed all the required s/w and have tested with the given data but would be requiring little help if possible initially.

Also looks like have to ask Vijay help first as he is active intraday

 

[checkmate7]

Please tell if for GDL & GATI the value of pValue and zScore showing correct???

 

[VJAY]

Please tell if for GDL & GATI the value of pValue and zScore showing correct???



View attachment 29419

Dear checkmate,
yes correct ......

 

[checkmate7]

Vijay/Ncube did you take any tade today??

 

[ncube]

Vijay/Ncube did you take any tade today??

No did not get time yesterday to analyze new pairs, but currently I am holding 2 pair trades which have not mean reverted yet.

 

[checkmate7]

I have found another pair JSWSTEEL & JSL...
Need to keep a watch...

 

[VJAY]

MOIL...short not triggered
JSL-----Buy triggered 181@ 50.10 ...now its closed @54.30
Dear ncube,
Now we need to carry this position overnight ...right?or not as its X scrip...?
If carry then we again use same method to entry but position take with 20K ...am right?Though its Zscore showing now 1.31

Today sell triggered in MOIL [email protected] which exited @164.60 so loss of (-135.7)
Holding JSL closed @ 51.70

 

[VJAY]

Vijay/Ncube did you take any tade today??

Dear checkmate,
Am not trading it now only testing & observing...Earlier traded in intraday with small qty stopped it....