Pairs Trading and Market Timing

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.

Friday 31 July 2015

It's earning season. Market is changing fast. Short NDX and long INDU. SPX is likely to drop.

The previous signal (Long NDX short INDU, SPX up) only lasted 3 days. SPX was uup 1.62%, pairs trading made 0.5%. YTD, paris trading has made 8.6% in ETF trading, and 34.9% in future trading. Timing on SPX has generated 18.7% return. The wining ratio of the timing is 88.2%.

Pairs Trading and Market Timing

Article Archive

Friday 31 July 2015

It's earning season. Market is changing fast. Short NDX and long INDU. SPX is likely to drop.

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