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.
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.
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 :
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.
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...