TCS - AMBUJACEM Pair Analysis

home > strategies > pairs-trading
End-of-day divergence (Standardized residual) is 1.08.
Half life of pair is 13.4.
Real time (live) divergence is calculating using following formula:
[ambujacem_price - (0.0998 * tcs_price) - 0.417]/15.3

(where 0.417 is mean error and 15.3 is standard error)
Technical strength of TCS is 6.0. (Support & Resistance)
Technical strength of AMBUJACEM is 7.7. (Support & Resistance)
Recommendation
You need to register and login with techpaisa to view detailed recommendations.
Entry Criterion: Take positions when divergence becomes (+/-)2.0. 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 tcs-ambujacem.
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

TCS Futures - NSE
Expiry Date Close Price Open Interest Number of Trades No of Contracts Underlying Closing Price
July 27, 2017 2480.7 2075750.0 8303.0 11210.0 2481.7
August 31, 2017 2502.0 5263500.0 8232.0 11042.0 2481.7
September 28, 2017 2510.3 19750.0 87.0 90.0 2481.7
Lot size: 250.0.

AMBUJACEM Futures - NSE

Expiry Date Close Price Open Interest Number of Trades No of Contracts Underlying Closing Price
July 27, 2017 264.55 1952500.0 2247.0 3040.0 264.6
August 31, 2017 265.2 8295000.0 1791.0 2610.0 264.6
September 28, 2017 266.05 55000.0 12.0 12.0 264.6
Lot size: 2500.0.
Click here for backtesting results.

TCS-AMBUJACEM Analysis with different time frames and thresholds

Time Frame 6months, Entry Threshold 2, Stop Loss Threshold 3, Total Profit 74162.2836032
Time Frame 6months, Entry Threshold 2, Stop Loss Threshold 2.5, Total Profit 70893.0723812
Time Frame 6months, Entry Threshold 1.5, Stop Loss Threshold 2.5, Total Profit 42122.9117348
Time Frame 1year, Entry Threshold 2, Stop Loss Threshold 3, Total Profit 35967.1209328
Time Frame 6months, Entry Threshold 1.5, Stop Loss Threshold 2, Total Profit 33192.7271441