BAJAJ-AUTO - ULTRACEMCO Pair Analysis

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End-of-day divergence (Standardized residual) is 0.764.
Half life of pair is 12.6.
Real time (live) divergence is calculating using following formula:
[ultracemco_price - (1.38 * bajaj-auto_price) - 23.6]/288

(where 23.6 is mean error and 288 is standard error)
Technical strength of BAJAJ-AUTO is 3.7. (Support & Resistance)
Technical strength of ULTRACEMCO is 1.5. (Support & Resistance)
Recommendation
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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 2.5 or less than -2.5. 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.
Analyse any other pair:

How to choose pairs?
Choose stocks from same sector/subsector.
Use stock with large market capitalization as first stock.

Charts

BAJAJ-AUTO Futures - NSE
Expiry Date Close Price Open Interest Number of Trades No of Contracts Underlying Closing Price
April 30, 2020 2042.65 1335750.0 2808.0 2808.0 2033.75
May 28, 2020 2063.6 12000.0 5.0 5.0 2033.75
June 25, 2020 2139.8 0.0 0.0 0.0 2033.75
Lot size: 250.

ULTRACEMCO Futures - NSE

Expiry Date Close Price Open Interest Number of Trades No of Contracts Underlying Closing Price
April 30, 2020 3041.15 1863200.0 1856.0 1856.0 3041.6
May 28, 2020 3066.75 6400.0 14.0 14.0 3041.6
June 25, 2020 3279.65 0.0 0.0 0.0 3041.6
Lot size: 200.
Click here for backtesting results.

BAJAJ-AUTO-ULTRACEMCO Analysis with different time frames and thresholds

Time Frame 6months, Entry Threshold 2, Stop Loss Threshold 3, Total Profit 31819.0154347
Time Frame 6months, Entry Threshold 2, Stop Loss Threshold 2.5, Total Profit 20268.312547
Time Frame 6months, Entry Threshold 2.5, Stop Loss Threshold 3, Total Profit 18884.3909575
Time Frame 6months, Entry Threshold 1.5, Stop Loss Threshold 2, Total Profit 17831.2945666
Time Frame 6months, Entry Threshold 1.5, Stop Loss Threshold 2.5, Total Profit 16758.9430259

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