AVGO*300-MCHP*800. Asset Correlations 0.78, p-value 0.03
BRX*241-KIM*264. Asset Correlations 0.93, p-value 0.01
Pairs for September 2020
DISCA*100-DISCK*100. Asset Correlations 0.99, p-value 0.08
PRU*500-LNC*600. Asset Correlations 0.94, p-value 0.15
Pairs for August 2020
BRX*241-KIM*264. Asset Correlations 0.87, p-value 0.09.
CMS*300-AEP*200. Asset Correlations 0.89, p-value 0.10.
Pairs for Jul 2020
HPP*200-KRC*100. Correlations 0.89. p-value 0.02.
DHI*100-KBH*100. Correlations 0.84. p-value 0.03.
Pairs for June 2020
DHI*100-KBH*100. Correlations 0.85, p-value 0.04.
To calculate the correlation and cointegration of the pair, I used the portfolioiovisualizer.com service with the following parameters:
Pairs for May 2020
AVGO*300-MCHP*800. Correlation 0.79, p-value 0.01.
Pairs for April 2020
V*200-MA*100. Correlation 0.94, p-value 0.01. Cointegrated.
Pair trading in crisis
The financial crisis has become a good test for the correlation and cointegration of pairs. For example, pairs like V*200-MA*100, AMLP*300-XOM*200, retained their character behavior and did not fall apart.
V*200-MA*100
Pairs for March 2020
XEL*300-AEP*200. Correlation 0.87, p-value 0.03. Cointegrated.
VSA – analysis on february 2020
In CMCSA 02/21/20 I bought put options with 42.5 strike. The general mood is to drop the market due to the situation with coronavirus. In the CMCSA, on the weekly chart there was an aptrust signal (false breakdown) and a test of this aptrast on low volumes.
