leverage 140. Writer 'xlsxwriter _excel(writer Sheet5 ve Conclusion Though the strategy has generated 140 returns over the backtest period of 2 years, the following factors should be considered in order to evaluate a more accurate performance of the strategy. These derivatives may not be suitable for all investors. Below is the snapshot of the data frames: df: Df1: Calculation of Z-score of the price ratio for the 30-day window of moving average and standard deviation: Below are the plots of z-scores for the above co-integrated pairs with their respective price ratios: From the above.
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Building a Trading Strategy: When z-score touches 2 short the pair and close the position when it reverts back to 1 When z-score touches -2 long the pair and close the position when it reverts back to -1. About the Author, harish Maranani did his Bachelors in Technology in Electronics and Communications Engineering from Acharya Nagarjuna University, MBA Finance from Staffordshire University (UK Certificate in Quantitative Finance (CQF and Master of Science in Mathematical and Computational Finance from New Jersey Institute of Technology. Average Positive Trade. Fast AND secure, enrich your trading experience to our most scalable secured trading platforms, register Now. Bibliography Statistical Arbitrage lecture Quantinsti, Nitesh Khandelwal. I wanted to invest my money, but couldnt find the right fit. We welcome you to explore our website and learn more about us, our products, and our commitment to meet your trading needs by providing exceptional customer support, education, and trading tools. Union Standard International Group Pty Ltd provides general advice only that does not take into account financial situation, needs or individual investment objectives and it is recommended that you seek independent advice as required.