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hi,
some scrips within the same sector show strong corelation in their
market price over a long period. Their ratio exhibits the corelation.
1. I need to explore / search for such scrips from a sector
2.plot closing prices of 2 such securities on same chart
3.plot their price ratio (price of scrip 1 / price of scrip 2)in a
different pane.
4. plot say 60days mean of this ratio on the ratio chart.
5.plot bolinger bands for this mean on the same chart.
strategy - The scrips exhibit a strong correlation and
have a tendency to revert to the mean and move in a trading band.
when price ratio shifts to the upper or lower boundry of the trading
range. Traders
may initiate a neutral strategy and go long on scrip A and go short on
Scrip B.
reverse / square the trade when the ratio shifts to the mean.
can anyone help me on afl?
regards
dr zingaro
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