I discussed in various articles the mean-reverting characterisitics of the following commodities-related ETF spreads: USO-XLE, GLD-GDX, IGE-EEM, IGE-EWC, IGE-EWA, and EWA-EWC. I also discussed an index arbitrage strategy involving XLE and some of its component stocks. In addition, a model portfolio for pair trading stocks is available. New contents are added regularly. Interested readers can now subscribe and check the current values of these spreads and decide whether they want to enter or exit a spread trade. Here is a sample snapshot of one the data tables you will see if you subscribe. (Warning: The numbers displayed here are for illustration only!)
Current Features
The spreads are normalized by their standard deviations. E.g. if z-score of USO-XLE is -2.2, it means the spread is now 2.2 standard deviation below its mean — perhaps a good time to long this spread.
The number of shares for each side of the spread are displayed on numShares1 and numShares2 rows. E.g. Here a USO-XLE spread consists of long 100 shares of USO and short 200 shares of XLE.
“Half-life” is the average number of days it takes the spread to revert to half its current value. (See my article.)
The data may be delayed 20 minutes, and you have to refresh the browser to see the latest numbers — I don’t recommend this for day-trading.
A model portfolio for pair trading stocks.
I have included articles relevant to statistical arbitrage that are not available to general readers of my blog.
Subscribers will have access to certain MATLAB and Excel codes that I have prepared as examples in my book “Quantitative Trading“.
(For readers of my book or workshop participants only. Password in last paragraph of page 34 of my book.)