The just closed signal lasted longer than expected. However, it has generated 1.2% in ETF trading, 2.06% in long-only position, and 4.2% in the leveraged future trading.
The current signal is to long INDU and short NDX, which means the US equity market is likely to drop in the near future.
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.
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