Pair Trading - Exploring The Low Risk Statistical Arbitrage Trading Concepts

ncube

Well-Known Member
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?
I am not sure if you have understood the steps correctly, Below is an example of how we average the trades to reduce cost when the zscore is above/below +/- 2

1539405124725.png


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.
 
Last edited:

checkmate7

Well-Known Member
@ncube for how much time have you been testing it and what is the result till date???
 

ncube

Well-Known Member
@ncube for how much time have you been testing it and what is the result till date???
About 6 months now.. So far the results have been promising but it's a short time and I am still refining it as I want to make the strategy such that I don't have to monitor it much. So far have not risked serious money on it but I am planning to slowly increase the stake in coming days.
 

VJAY

Well-Known Member
Here is analysis on all F&O stocks w.r.t Industry
Today would run it on Nifty 200 while grouping them based on industry type...So program will only run on stocks with same industry..

But we need to back test these results....
Today would run it on Nifty 200 while grouping them based on industry type...So program will only run on stocks with same industry..

But we need to back test these results....
Dear checkmate,
For grouping we need to do any modification in stockdata excel file?
 

checkmate7

Well-Known Member
Dear checkmate,
For grouping we need to do any modification in stockdata excel file?
Yes need to add stock industries as well in header like TATASTEEL_METALS.. You would get the industry info from NSE site.. Will send my CSV later along with code..
 

VJAY

Well-Known Member
I am not sure if you have understood the steps correctly, Below is an example of how we average the trades to reduce cost when the zscore is above/below +/- 2

View attachment 29500

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.
1539569615545.png

Ok I think I got it