SHREECEM - ULTRACEMCO Pair Analysis

home > strategies > pairs-trading
End-of-day divergence (Standardized residual) is -0.173.
Half life of pair is 10.4.
Real time (live) divergence is calculating using following formula:
[ultracemco_price - (0.223 * shreecem_price) - 2.71]/134

(where 2.71 is mean error and 134 is standard error)
Technical strength of SHREECEM is 5.0. (Support & Resistance)
Technical strength of ULTRACEMCO is 6.0. (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 shreecem-ultracemco.
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

SHREECEM Futures - NSE
Expiry Date Close Price Open Interest Number of Trades No of Contracts Underlying Closing Price
October 26, 2017 18203.1 35850.0 28.0 28.0 18213.05
Lot size: 50.0.

ULTRACEMCO Futures - NSE

Expiry Date Close Price Open Interest Number of Trades No of Contracts Underlying Closing Price
October 26, 2017 4030.85 1179800.0 775.0 841.0 4034.35
November 30, 2017 4052.4 109400.0 55.0 67.0 4034.35
Lot size: 200.0.
Click here for backtesting results.

SHREECEM-ULTRACEMCO Analysis with different time frames and thresholds

Time Frame 1month, Entry Threshold 1.5, Stop Loss Threshold 2.5, Total Profit 57978.2504006
Time Frame 1month, Entry Threshold 1.5, Stop Loss Threshold 2, Total Profit 44834.4523711
Time Frame 3months, Entry Threshold 2.5, Stop Loss Threshold 3, Total Profit 27530.4999587
Time Frame 3months, Entry Threshold 2, Stop Loss Threshold 3, Total Profit 11356.2857594
Time Frame 6months, Entry Threshold 2.5, Stop Loss Threshold 3, Total Profit 9971.30396006