Pair Trading - Exploring The Low Risk Statistical Arbitrage Trading Concepts

VJAY

Well-Known Member
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VJAY

Well-Known Member
How much is the open profit in each pair.?Once the zscore is below 0.5 and have decent open profit I will look to close the trade. Most likely the 2 pairs will go below 0.5 and give a chance to close them at profit today.
Dear ncube,
How much you consider as decent profit? 5%? how you calculate it /eg...here 10k(buy)+10k (sell)..so for 20K?
 

VJAY

Well-Known Member
some error in abv ibullhsgfin-hdfc pair...corrected...

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ncube

Well-Known Member
Dear ncube,
How much you consider as decent profit? 5%? how you calculate it /eg...here 10k(buy)+10k (sell)..so for 20K?
Anything between 5-10% I consider as decent profit as it is within 1SD of the total trades that I have taken so far. At the end of the day I check the open profit if it is within this range I trail the buy position from next day..no new short position. I consider the profit only on the buy side as the sell side is on margin.

These days I have not taken any new trades as I am bit busy with my office work and not able to check the trades everyday at market hours. Disadvantage of being a part time trader...:)
 

VJAY

Well-Known Member
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Dear ncube,
andhrabank-bankbaroda pair...last 2 days Buy not triggered ,,,,now Zscore came below 2 so I think no need to trade this pair...Right?

Now days I noticed familier pairs not giving good results....need to try other non familier pairs....
 

VJAY

Well-Known Member
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ncube

Well-Known Member
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Dear ncube,
andhrabank-bankbaroda pair...last 2 days Buy not triggered ,,,,now Zscore came below 2 so I think no need to trade this pair...Right?

Now days I noticed familier pairs not giving good results....need to try other non familier pairs....
Yes, if the zscore is below 2 and no buy position yet, no need to continue with the pair. Look for other opportunities.
 
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VJAY

Well-Known Member
Anyone pls,

How to update stockdata.csv ?
Have to update it manually ?

Angira...
download bhavcopy file manually and you can use code shared by ncube to update stockdata file.....
 

VJAY

Well-Known Member
Dear ncube,
I fewdays before I replaced stockdata file which shared by checkmate ...Its same which I used before but more scrips in it....only today I noticed that there is some error in showing date on pair chart ....please guide me...is it due to increased scrips?

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