BANKNIFTY - HDFC Pair Analysis

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End-of-day divergence (Standardized residual) is -1.8.
Half life of pair is 7.06.
Real time (live) divergence is calculating using following formula:
[hdfc_price - (0.0691 * banknifty_price) - 0.412]/40

(where 0.412 is mean error and 40 is standard error)
Technical strength of BANKNIFTY is 7.1. (Support & Resistance)
Technical strength of HDFC is 5.1. (Support & Resistance)
Recommendation
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Entry Criterion: Take positions when divergence becomes (+/-)2.5. And exit positions when divergence becomes (+/-)0.0.
Stop Loss: Put your stop loss when divergence becomes more than 3.0 or less than -3.0. We suggest you always use stop losses.
Note: When you trade in futures, keep in mind the expiry date of futures as divergence might not end before expiry date.
Click here to see all recommendations for pair banknifty-hdfc.
Analyse any other pair:

How to choose pairs?
Choose stocks from same sector/subsector.
Use stock with large market capitalization as first stock.
Here is a list of pairs chosen analytically.

Charts

BANKNIFTY Futures - NSE
Expiry Date Close Price Open Interest Number of Trades No of Contracts Underlying Closing Price
July 27, 2017 24686.2 2101440.0 37403.0 60435.0 24670.7
August 31, 2017 24742.05 1637360.0 13810.0 23582.0 24670.7
September 28, 2017 24789.5 33840.0 290.0 402.0 24670.7
Lot size: 40.0.

HDFC Futures - NSE

Expiry Date Close Price Open Interest Number of Trades No of Contracts Underlying Closing Price
July 27, 2017 1633.7 4887000.0 9834.0 11921.0 1633.45
August 31, 2017 1643.8 3685500.0 4288.0 5565.0 1633.45
September 28, 2017 1650.0 4500.0 5.0 5.0 1633.45
Lot size: 500.0.
Click here for backtesting results.

BANKNIFTY-HDFC Analysis with different time frames and thresholds

Time Frame 6months, Entry Threshold 1.5, Stop Loss Threshold 2.5, Total Profit 83853.1252142
Time Frame 6months, Entry Threshold 2, Stop Loss Threshold 2.5, Total Profit 81067.5537218
Time Frame 6months, Entry Threshold 2, Stop Loss Threshold 3, Total Profit 68868.8343865
Time Frame 6months, Entry Threshold 1.5, Stop Loss Threshold 2, Total Profit 67784.3326465
Time Frame 3months, Entry Threshold 1.5, Stop Loss Threshold 2.5, Total Profit 55349.5842915