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.

Tuesday 28 July 2015

Sell off is over: Long NDX and Short INDU. The market especially S&P 500 is likely to go up

The previous signal made 2.15% on shorting S&P 500 future. YTD, the timing successful rate is 14 out of 16, or 87.5%, leading to 16.8% return in trading S&P 500 Index.

The pairs trade has -2.5% in the just closed signal.

Pairs Trading and Market Timing

Article Archive

Tuesday 28 July 2015

Sell off is over: Long NDX and Short INDU. The market especially S&P 500 is likely to go up

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