HDFC - AXISBANK Pair Analysis

home > strategies > pairs-trading
End-of-day divergence (Standardized residual) is -1.14.
Half life of pair is 20.7.
Real time (live) divergence is calculating using following formula:
[axisbank_price - (0.38 * hdfc_price) - -0.508]/37.9

(where -0.508 is mean error and 37.9 is standard error)
Technical strength of HDFC is 5.0. (Support & Resistance)
Technical strength of AXISBANK is 6.1. (Support & Resistance)
Recommendation
You need to register and login with techpaisa to view detailed recommendations.
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 hdfc-axisbank.
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

HDFC Futures - NSE
Expiry Date Close Price Open Interest Number of Trades No of Contracts Underlying Closing Price
February 23, 2017 1404.65 13103500.0 8230.0 9492.0 1402.5
March 30, 2017 1409.55 751000.0 1752.0 2306.0 1402.5
April 27, 2017 1410.45 2000.0 2.0 2.0 1402.5
Lot size: 500.0.

AXISBANK Futures - NSE

Expiry Date Close Price Open Interest Number of Trades No of Contracts Underlying Closing Price
February 23, 2017 490.5 26314800.0 18581.0 21144.0 489.1
March 30, 2017 492.85 1770000.0 2188.0 2637.0 489.1
April 27, 2017 495.4 64800.0 25.0 25.0 489.1
Lot size: 1200.0.
Click here for backtesting results.

HDFC-AXISBANK Analysis with different time frames and thresholds

Time Frame 6months, Entry Threshold 2, Stop Loss Threshold 2.5, Total Profit 103041.70963
Time Frame 6months, Entry Threshold 2, Stop Loss Threshold 3, Total Profit 99165.5139335
Time Frame 1month, Entry Threshold 1.5, Stop Loss Threshold 2.5, Total Profit 71686.2832466
Time Frame 3months, Entry Threshold 1.5, Stop Loss Threshold 2, Total Profit 68507.0788561
Time Frame 6months, Entry Threshold 2.5, Stop Loss Threshold 3, Total Profit 63125.632645