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Old 01-07-2015, 05:21 PM
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Originally Posted by Oxymoron View Post
Yeah, I'm working on that. Where can we get a list of co names with nse symbol - with names that sync with money control?

I got this:
http://www.marketonmobile.com/search.php

but there's a bit of a formating issue:
K E C Intl. (in this) vs KEC Intl (in MC)

Oxy, Any luck in finding turn-around to Spilt etc adjusted data? I am working on pair-trade algorithm in Matlab and it generates fake signal in backtest at times as and when split happens.

Thanks,
Anirudh
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Old 01-07-2015, 07:09 PM
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Originally Posted by anirudhsnewworl View Post
Oxy, Any luck in finding turn-around to Spilt etc adjusted data? I am working on pair-trade algorithm in Matlab and it generates fake signal in backtest at times as and when split happens.

Thanks,
Anirudh

Hi Anirudh,
I've developed the program for downloading historical data and automatically adjusting for splits, name changes and bonuses (aber dividend nicht!). There are some occasional spikes for data before 2004 but I used a median filter to remove them. I will pm you by this weekend. I still need to write the program for updating this automatically on a daily basis.

P.S: Pair trading seemed to stop working after 2011. Market seemed to get more efficient and less volatile after that. Need to look for some other stat arb.
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Old 01-07-2015, 07:25 PM
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Hi Oxy,
Thanks a lot, Pls share. For few of the pairs I tested, I still get some good results for banking stocks and pharma at least. However, it is still in testing phase and have implemented in VBA and now replicating in Matlab basis literature from E Chan's book. Will share the excel with you today. I trade +/-2.5 SD contrarian trades in general but varies from pair to pair.

Thanks,
Anirudh Mehta

"aber dividend nicht!" - Oh since our last discussion, you have moved to Germany I see.
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Old 01-07-2015, 07:32 PM
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Originally Posted by anirudhsnewworl View Post
Hi Oxy,
Thanks a lot, Pls share. For few of the pairs I tested, I still get some good results for banking stocks and pharma at least. However, it is still in testing phase and have implemented in VBA and now replicating in Matlab basis literature from E Chan's book. Will share the excel with you today. I trade +/-2.5 SD contrarian trades in general but varies from pair to pair.

Thanks,
Anirudh Mehta

"aber dividend nicht!" - Oh since our last discussion, you have moved to Germany I see.

With banking and pharma pairs, you are exposing yourself to specific risks. If you look at the risks top down, we have:
1) Country risk
2) Sector risk
3) Stock specific risk

By using pairs in the same sectors, we eliminate (1) and (2) but using different sectors just eliminates (1) and is only slightly different to trading individual stocks long/short since you are exposing yourself to different influences of the sectors - there is no intuitive reason for stocks in two different sectors to be stationary with each other.

and no, I'm in US
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Old 01-07-2015, 08:34 PM
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Originally Posted by Oxymoron View Post
With banking and pharma pairs, you are exposing yourself to specific risks. If you look at the risks top down, we have:
1) Country risk
2) Sector risk
3) Stock specific risk

By using pairs in the same sectors, we eliminate (1) and (2) but using different sectors just eliminates (1) and is only slightly different to trading individual stocks long/short since you are exposing yourself to different influences of the sectors - there is no intuitive reason for stocks in two different sectors to be stationary with each other.

and no, I'm in US

Sorry, for being unclear. I meant pairs within banking and pharma not across. For e.g. HDFC-ICICI, CIPLA-Reddy et al. Cool, you are moving across the globe pretty fast.
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