Google, amazon and youtube are your friends. You didn't search hard enough. Besides at this end of this article, you have references. So get to work and do your homework!

Pairs trading strategy on bond futures

basket trading = statistical arbitrage with more than two assets (in general a basket of pairs are more stable (cointegrated) in time than two currency pairs). We could name basket trading a form of statistical arbitrage (is worked well in stocks, ...

Pairs trading strategy on bond futures

1.3 for EUROSTOXX 50 and 1 CAC 40 = money neutral. Each leg of the trade have the same amount of money. image Here is the trade on euro-bund/Bobl which is closed. So the PnL is: The PnL is (150.95-151.07)*1000 + (128.11-128.02)*2000 = -120 + 180 = ...

Pairs trading strategy on bond futures

Yes, spread of 1 for both assets. Period of return 10 and standard deviation of 20 for the returns of 10 periods. No slippage, with a spread of 2 should do the trick. Here you have the true PnL curve. image

Pairs trading strategy on bond futures

Here is a new pairs trading strategy on CAC 40/EUROSTOXX 50 on H1 data (from LMAX exchange): url I don't made the basic statistics, but it can be done very quickly in excel. The raw results are the trades taken and the PnL curve.

Pairs trading strategy on bond futures

R(a,t) = return of A at the t period, for example let calculate the eurobund return of 31 october 2014 of 1 period. Here are the values of eurobund CFD futures contract: image The valus are in the right of the picture. SO R(eurobund, 31/10/2014) = ...

Pairs trading strategy on bond futures

I wrote on the first post: So 1 period for the returns and 20 periods for the standard deviation of the returns from the equation 1

Pairs trading strategy on bond futures

Here is the Signal from the equation 1: image Here is the signal calculated with the CFD futures contract with Activtrades: image The PnL is (151.22-151.07)*1000 + (128.11-128.12)*2000 = 150 - 20 = + 130€ so far! The position should be closed ...

Pairs trading strategy on bond futures

You read a lot of scholar articles and you test the models until finding some winning models! Pairs trading is finding, backtesting and forward testing. The models with time have to change unfortunately.

Pairs trading strategy on bond futures

I don't use matlab since a long time ago. I get to used R, it is free and easy to implemente some basic statistical functions, but my preference goes to Excel (easy to write code and for pairs trading the code is not so difficult to write anyway). I ...

Pairs trading strategy on bond futures

With some delayy, here is a signal long 1 euro-bund futuress CFD contract and 2 short BOBL futures CFD contract with CFD at Actvtrades image long 1 euro-bund futuress CFD contract at 151.07 2 short BOBL futures CFD contract at 128.11 (not 128.13 ...

Pairs trading strategy on bond futures

You could three options to do that: Money neutrality or money neutral = same amount of money on each leg Beta neutrality or beta neutral = OLS on the returns of the two assets (or another method to estimate the beta) Volatility neutrality or ...

Pairs trading strategy on bond futures

No, 1 eurobund contract for two bobl contract because the eurobund futures is more volatile.

Pairs trading strategy on bond futures

I have already done a backtest on the 28 major currency pairs, and for now it seems fine. I have to test it in real time in order to compare the resultas with the backtests, but with the formula you have th idea. A profitable pair trading strategy ...

Pairs trading strategy on bond futures

Hello everyone, Here is a simple pairs trading strategy on the eurobund/bobl futures. The two assets are very correlated. The resultas are pretty good. I think the same strategy could be applied on the US bond futures market and the UK bond futures ...

Pairs Trading: Reversion to the Mean