GATI Buy add triggered [email protected]
GDL short triggered [email protected] closed 162.10
Current zscore 1.21...so now no adds tomorrow
GDL qty -61
GATI-117
Dear ncube,
Here are we take normal short in GDL tomorrow?then we need to exit adds +excess qty in GATI?
GDL short triggered [email protected] closed 162.10
Current zscore 1.21...so now no adds tomorrow
GDL qty -61
GATI-117
Dear ncube,
Here are we take normal short in GDL tomorrow?then we need to exit adds +excess qty in GATI?
1. On 10-Oct we take the first trade as the zscore is above 2 , we keep order to buy 115 gati & sell 61 GDL
2. On 11-Oct zscore is below 2, so we just keep order to sell 61 GDL
3. On 12-Oct zscore is again above 2 so we keep order to Buy another 115 GATI and sell 122 GDL. (we will have total 230 GATI if it gets executed by eod) (When zscore goes back above 2 again the price of GATI would have reduced, hence when we buy another 115, the total cost is reduced due to averaging)
4. On 16-Oct zscore is below 2, hence we only keep order to sell 122 GDL
5. On 17-Oct zscore is below 0.5 so we try to close the pair trade by keeping an order to sell 230 of GATI.
Dont worry about the small changes in the numbers of shares on each day, it gets averaged out and you can consider the numbers used on the 1st day i.e multiples of 61 & 115. Hope it is clear now.
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