Study from academic researchers and industry practitioners has demonstrated that pairs trading strategy has the potential to generate consistent and stable risk adjusted returns in all market conditions. Our own research has also illustrated that pairs trading strategy can be implemented on daily base as well as intraday base. This blog will show the real out-of-sample pairs trades between NASDAQ 100 Index and Dow Jones Industry AVG Index, and the implied market timing.
The current signal of the pairs trading is to long NASDAQ 100 and short Dow Jones Avg Industry. The signal appeared at 9:45 am April 30, 2015 EST. The current P&L is -$331.82 per future contract.
No comments:
Post a Comment