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.
I got an idea of Intraday Alpha instead of Market Timing while meeting with equity derivative research team from a broker. Here is the performance of the intraday alpha before, during, and after the Fed announcement of rate lift:
No comments:
Post a Comment