Pair Trading - Exploring The Low Risk Statistical Arbitrage Trading Concepts

[ncube]

View attachment 29346
is this pvalue matching with your data?

Dont remember the value will check once I reach home in the evening.

 

[VJAY]

So today GDL short triggered @152.80 closed it @148.15 at 3.15PM
GATI buy trade not triggered

 

[VJAY]

Dear ncube,
Now this pair Zscore is 1.45....you take trades tomorrow too ?though its almost near to mean now....

 

[VJAY]

 

[ncube]

View attachment 29346
is this pvalue matching with your data?

For me even the pair sequence GATI-GDL is showing as significant. Please verify using this command in notebook: pValue is 2.8*e-25

 

[ncube]

Yes, since there is no buy trade that has happened today, no point taking new position in this pair at this zscore, one can look for other opportunities. Check the following pair, looks interesting:

View attachment 29084

Pair IL&FSTRANS-ITDCEM mean reverted in 5 days. Total returns about 20%

 

[VJAY]

For me even the pair sequence GATI-GDL is showing as significant. Please verify using this command in notebook: pValue is 2.8*e-25

View attachment 29355

 

[ncube]

View attachment 29370

This problem is same as we faced initially, the latest version of coint need to include the variable autolag=None . Hence try this command:

coint(returns['GATI'][-200:],returns['GDL'][-200:],autolag=None )

Yesterday did not get much time, over the weekend I will consolidate the script and provide only 1-2 simple functions, so that its easier for you to run the analysis.

 

[VJAY]

View attachment 29352

MOIL...short not triggered
JSL-----Buy triggered @ 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

 

[ncube]

MOIL...short not triggered
JSL-----Buy triggered @ 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

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.