Pair Trading - Exploring The Low Risk Statistical Arbitrage Trading Concepts

[ncube]

Dear ncube ,
I think you missed my this post

Please add this new function in the function cell:

def getnew_zScore(SS1,SS2,SS1_price,SS2_price,lb=20):
S1=SS1.append(pd.Series([SS1_price]),ignore_index=True)
S2=SS2.append(pd.Series([SS2_price]),ignore_index=True)
spread = S1[-lb:] / S2[-lb:]
spread_mean = spread.mean()
std_dev = spread.std()
zscore = (spread - spread_mean)/std_dev
print('Latest zScore : ',zscore.iloc[-1])

You can call this function from a cell at the end of the notebook as follows:

getnew_zScore(SS1,SS2,275,2175)

where 275 is the latest price of SS1 & 2175 is the latest price of SS2. The output will be the latest zScore...

 

[VJAY]

Please add this new function in the function cell:

def getnew_zScore(SS1,SS2,SS1_price,SS2_price,lb=20):
S1=SS1.append(pd.Series([SS1_price]),ignore_index=True)
S2=SS2.append(pd.Series([SS2_price]),ignore_index=True)
spread = S1[-lb:] / S2[-lb:]
spread_mean = spread.mean()
std_dev = spread.std()
zscore = (spread - spread_mean)/std_dev
print('Latest zScore : ',zscore.iloc[-1])

You can call this function from a cell at the end of the notebook as follows:

getnew_zScore(SS1,SS2,275,2175)

where 275 is the latest price of SS1 & 2175 is the latest price of SS2. The output will be the latest zScore...

Dear ncube,
I using 10 pairs in my note book ....so how to apply it ..is this code identifies the pair which I need to check?

 

[ncube]

Dear ncube,
I using 10 pairs in my note book ....so how to apply it ..is this code identifies the pair which I need to check?

View attachment 27955

you need to set SS1,SS2 to the stocks like you have done before calling plot_pairs() function:

SS1 = df['TATAMTRDRV']
SS2 = df['TATAMOTORS']
getnew_zScore(SS1,SS2,275,2175)

 

[VJAY]

you need to set SS1,SS2 to the stocks like you have done before calling plot_pairs() function:

SS1 = df['TATAMTRDRV']
SS2 = df['TATAMOTORS']
getnew_zScore(SS1,SS2,275,2175)

Thanks a lot

 

[VJAY]

BPCL-HINDPETRO
pVAlue:0.00129
Zscore:2.475



RELCAPITAL-RELINFRA
pVAlue:0.00128
Zscore: (-2.166)

 

[Vevensa_P]

BPCL-HINDPETRO
pVAlue:0.00129
Zscore:2.475



RELCAPITAL-RELINFRA
pVAlue:0.00128
Zscore: (-2.166)

HI @VJAY,
I am not getting the same P-value from my data, you mentioned it few days ago. I am using same code given by @ncube. I have checked the data in "stock_data.csv" file. Seems ok like no double entries for same day or not missed a day . Can you please check your data?

Today, for BPCL-HINDPETRO P-value I am getting is 0.00211
for RELCAPITAL -RELINFRA it is .00110

Thanks.

 

[VJAY]

HI @VJAY,
I am not getting the same P-value from my data, you mentioned it few days ago. I am using same code given by @ncube. I have checked the data in "stock_data.csv" file. Seems ok like no double entries for same day or not missed a day . Can you please check your data?

Today, for BPCL-HINDPETRO P-value I am getting is 0.00211
for RELCAPITAL -RELINFRA it is .00110

Thanks.

Dear Vevensa,
I last weekend completely removed old data and downloaded new data of one year and using it now....I checked last few days data which updated after that its looks good ..How can we check its correctness?also I use code for updation of file ....not doing manually...

 

[ncube]

Dear Vevensa,
I last weekend completely removed old data and downloaded new data of one year and using it now....I checked last few days data which updated after that its looks good ..How can we check its correctness?also I use code for updation of file ....not doing manually...

We can check the data is correct by running the following in a notebook cell:

lst = ['ICICIBANK','SBIN','TCS','WIPRO'] #Add the stock names to the list that you want to check
df[lst][-20:] #Output the last 20 days data for each of the stocks

 

[Vevensa_P]

Dear Vevensa,
I last weekend completely removed old data and downloaded new data of one year and using it now....I checked last few days data which updated after that its looks good ..How can we check its correctness?also I use code for updation of file ....not doing manually...

@VJAY,
There was data missing for 06-Jun-18 in "stockdata.csv". I have included that, now p-values are matching with yours.
Earlier I checked for past 20 days only. Now checked for longer period.
Thank you.

 

[VJAY]

BPCL-HINDPETRO
pVAlue:0.00129
Zscore:2.475



RELCAPITAL-RELINFRA
pVAlue:0.00128
Zscore: (-2.166)

Dear ncube,
Its possible trades of today ....exits @ 3.15 pm....Looks big loss in RELINFRA...please give your thoughts ...