Pair Trading - Exploring The Low Risk Statistical Arbitrage Trading Concepts

[ncube]

Canbk - Bankbaroda / p-value: 0.0276 / z-score: (-)2.279
Sunpharma - Auropharma / p-value: 0.02505 / z-score: (-)2.712

Both Canbk-Bankbaroda & Sunpharma-Auropharma pairs closed today with good profit....Hindzinc-NMDC is in loss...will adjust and keep for few more days..let's see how it goes.

 

[Vevensa_P]

Canbk - Bankbaroda / p-value: 0.02997 / z-score: 2.814
Infy - TCS / p-value: 0.0189 / z-score: 2.199

@ncube, @VJAY,
Can you please check the p-values? Are you getting the same?

Thanks.

 

[VJAY]

Canbk - Bankbaroda / p-value: 0.02997 / z-score: 2.814
Infy - TCS / p-value: 0.0189 / z-score: 2.199

@ncube, @VJAY,
Can you please check the p-values? Are you getting the same?

Thanks.

Yes same fig getting except infy-tcs p-value:0.0145 am getting

 

[VJAY]

Both Canbk-Bankbaroda & Sunpharma-Auropharma pairs closed today with good profit....Hindzinc-NMDC is in loss...will adjust and keep for few more days..let's see how it goes.

Its still showing Z score of -2.37

 

[ncube]

Its still showing Z score of -2.37

Yes, the trade is still valid, but it will be 4th adjustment, dont like making many adjustments:

 

[ncube]

Canbk - Bankbaroda / p-value: 0.02997 / z-score: 2.814
Infy - TCS / p-value: 0.0189 / z-score: 2.199

@ncube, @VJAY,
Can you please check the p-values? Are you getting the same?

Thanks.

INFY-TCS looks good, but as I have already reached my investment threshold for pair trading will not be taking new trades as momentum & trend strategies have now become attractive.

Sell Ratio based on about 50K investment for each adjustment (-75 INFY, 27-TCS) and the last backtest trade lasting 5 days :

 

[VJAY]

Dear ncube,
I think you made code for daily adjustments too

 

[ncube]

Dear ncube,
I think you made code for daily adjustments too

The output is from my backtesting platform.. Have been working on the pair trading for about 5-6 months now trying out different concepts and fine tuning the strategy.

 

[VJAY]

Refer to this post ..

Dear ncube,
Please check any mistake in my codes?I getting error like above....

 

[ncube]

View attachment 28605

View attachment 28606
Dear ncube,
Please check any mistake in my codes?I getting error like above....

There is space between get_newbeta and ( ). Please remove it. Also I will try to modify this function to give the actual buy and sell quantity instead of beta value. I am trying out a simple approach of managing the pairs...You can check my previous posts with backtest output...