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%.
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
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.
The pairs trade has -2.5% in the just closed signal.
Monday, 27 July 2015
There is still a long way to drop
The S&P 500 Index has dropped more than 2% since the short signal on July 16. However, the spread between INDU and NDX is still near -3%. It will be a long way for the spread to turn positive so that the market can be stable.
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.
Tuesday, 7 July 2015
The US market has been oversold: Long NDX and short INDU, implying market will go up in the near future
The previous signal made 1.12% in the short and 0.6% in pairs. YTD ETF pairs trading is 9.2%, long- or short-only NDX is 17.4%, and future pairs trading is close to 40%.
Monday, 6 July 2015
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