A Simple Pair Trade Strategy In Liquid ETFs
|January 13, 2013||Posted by Oddmund Grotte under strategies|
This sunday morning I was just testing some ideas on these different ETFs: SPY, EEM, EWG, EWU and EWJ. They seek to copy the performance of the most important stock exchanges in the world. I tested the following:
- Every day rank each ETF based on this formula: (c-l)/(h-l)
- Buy on the close the one with the lowest value, short the one with the highest value
- Exit on the close next day
Here is the equity curve in %:
Test period is from 1. January 2005 until present. No commission and no slippage.
I did this test in about 15 mins and have not double checked for any errors.
Does anyone trade something similar too this? Obviously this one is hard to implement because the MOC needs to be sent 15 mins before close.