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.

Thursday 16 July 2015

Rally is over: Short NDX and long Dow Jones -- Market will drop

The previous signal (long NDX and short Dow Jones, market up) lasted for two weeks. ETF trading made 1.4%, S&P 500 Index was up 3.52%, and future trading made 5.2%. YTD the timing winning ratio is 86.7%, or 13 out of 15. Great work, my dear model.

Pairs Trading and Market Timing

Article Archive

Thursday 16 July 2015

Rally is over: Short NDX and long Dow Jones -- Market will drop

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