Pares

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Dalamar
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Pares

Mensajepor Dalamar » 09 Jun 2015 06:59

Las estrategias basadas en pares apuestan a que los pares se separan y acercan con el tiempo, es decir vuelven a converger.

Es una estrategia market neutral y por lo tanto interesante durante mercados que no son claros y especialmente a la vista de los resultados en epocas de crisis y en mercados turbulentos que es cuando los mercados son menos eficientes.

En este caso concreto miramos a tres estrategias, diferencia, cointegracion y copula.

We examine and compare the performance of three different pairs trading strategies – the distance cointegration, and copula methods – on the US equity market from 1962 to 2014 using a timevarying series of trading costs. Using various performance measures, we conclude that cointegration strategy performs as well as the distance method. However, the copula method shows relatively poor performance.

Particularly, the distance, cointegration, and copula methods show a mean monthly excess return of 36, 33, and 5 bps after transaction costs and 88, 83, and 43 bps before transaction costs. In recent years, the distance and cointegration methods have presented less trading opportunities whereas this frequency remains stable for the copula method. While liquidity factor is negatively correlated to all strategies’ returns, we find no evidence of their correlation to market excess returns. All strategies show positive and significant alphas after accounting for various risk-factors.

We examine and compare the performance of three pairs trading strategies using daily stock data from July 1962 to December 2014: the distance, cointegration, and copula methods. We use a time-varying series of trading costs for ascertaining the strategies’ performance with high accuracy and robustness. We find that on a risk-adjusted performance level the cointegration strategy performs as well as the DM. We also examine a relatively new PTS using copulas. Although at this point we find its performance to be inferior to that of the DM and cointegration method, certain attributes to it motivates further attention. First, in recent years that the simple strategies suffer form a decline in trading opportunities, the copula method remains stable in presenting such opportunities. Second, the copula method shows returns comparable to those of other methods in its converged trades. However, its relatively high proportion of unconverged trades diminishes such profits. Therefore, any attempt to increase the ratio of converged trades or limit their losses (by for example implementing a stop-loss), would result in an enhanced performance. In the wake of the mentioned recent decline in arbitrage opportunities that are captured by simple methods, this potential improvement in the performance of a more complex method could be promising.

Moreover, we show that the market’s excess return fails to account for the performance of the three PTSs. Also that, the strategies perform better in crisis. Therefore, the use of such strategies can be encouraged in investment portfolios for both diversifying risk and capturing alpha. We use the SSD as at least one of the, if not the only, criteria in the pair formation phase of all three PTSs.

Nonetheless, there is a distinct possibility to form pairs based on cointegration and copula. Future research could aim to examine the performance of such strategies.
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SSRN-id2614233.pdf
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Avatar de Usuario
Dalamar
Site Admin
Mensajes: 8752
Registrado: 09 May 2012 01:38

Re: Pares

Mensajepor Dalamar » 16 Jun 2017 17:08

Un comentario interesante que he visto en Quora:

Which is your most favorite day trading strategy without a single indicator?

Trading highly correlated stocks in Pairs. Take the position when the spread widens (or narrows) dramatically. If the spread reverses, book net profit. If both go up or both go down, book gain (not profit) on winning leg and replace with another correlated issue that did not appreciate/depreciate as much as the original pair. Some long options can be thrown into the mix to manage tail risk. It’s all based on price.

Trading double diagonals to capture the volatility contraction of earning announcements.
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