List of Articles Pairs trading strategy

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  1 - Evaluation of Pairs Trading Strategy Using Distance Approach at Tehran Stock Exchange
  Masood Tadi Majid Abkar Vahid Motaharinia
  Algorithmic trading has become one of the main strategies in financial industry. This kind of trading involves trading strategies based on computer programs to decide whether to send their orders. Pairs trading strategy is one of the most popular and however, most under More

  Algorithmic trading has become one of the main strategies in financial industry. This kind of trading involves trading strategies based on computer programs to decide whether to send their orders. Pairs trading strategy is one of the most popular and however, most understandable strategies in algorithmic trading. To implement a pairs trading strategy we can utilize several approaches or a combination of them. In this paper the distance approach has been considered. In this approach the two stocks that have least square distance between their normalized prices are being chosen for pairs trading. In this study, in order to implement this strategy, shares pair of metallic ores mining industry and price data in the year of 1395 have been selected. The strategies and the test, performance test trading strategies buy and hold strategy compared. In this paper all of stocks are selected from mining of metal ore industry during the first 9 months of the 1392 SH. Finally, the performance of pairs trading strategy is compared with buy and hold strategy and after that the favorable range of threshold and optimum threshold size is calculated.    Manuscript profile