Pair Trading - Exploring The Low Risk Statistical Arbitrage Trading Concepts

N

ncube

Well-Known Member
#331
#331
VJAY said:
why here negative qty showing ...is its need to lower qty?

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Based on the latest zscore value and the amt mentioned(10000), it will automatically calculate how much quantity of stocks to be bought(Long) or sold(short) . In this example it says Hindzinc is the one to be shorted and you should short 36 stocks. It does not mean that you should actually tradeit, it just gives you information on the quantity. You take trades only when zscore is +/- 2.0 and close the trade when the zScore is near to Zero (+/- 0.5)

Refer to this post for how I am taking trades each day in the back test:
ncube said:
Sell Ratio based on about 50K investment for each adjustment (-75 INFY, 27-TCS) and the last backtest trade lasting 5 days :
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Last edited:
N

ncube

Well-Known Member
#332
#332
Saw some real benefit of Pair trading on Friday, Though my trend portfolio got hit by abt 1.0 %, There was no adverse impact on pair trading portfolio rather few of the pairs closed in profit. However its a small account as I am still testing but I am really impressed..:)

Finally my HINDZINC-NMDC trade got closed with profit after 8 days..:). Also all the shorts orders I had placed got triggered and closed in profit.

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Smart_trade

Smart_trade

Moderator
#334
#334
ncube said:
I am not sure if there are any out of the box indicators for pair trading. May need to build a customized one on the platform that you use.
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When I was using Metastock, there is an indicator Relative Strength Comparative which plots relative strength chart of two scrips. One can then give this indicator as input and plot RSI on this indicator which I found useful in taking pair trades.

ST
 
N

ncube

Well-Known Member
#337
#337
ncube said:
Closed both trades as there was abt 3% open profit since only the Wabag and JSL shorts were triggered. However I will just track these 2 pairs to see where It would have closed ..will not take new positions in this pair.
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Looks like I closed the trade early, it fell by another 6% by eod..:)
MOIL-JSW mean reverted in 1 day:
1537796494249.png
 
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