BHEL - TATAPOWER Pair Analysis

home > strategies > pairs-trading
End-of-day divergence (Standardized residual) is -0.222.
Half life of pair is 5.98.
Real time (live) divergence is calculating using following formula:
[tatapower_price - (1.37 * bhel_price) - 0.386]/3.64

(where 0.386 is mean error and 3.64 is standard error)
Technical strength of BHEL is 6.5. (Support & Resistance)
Technical strength of TATAPOWER is 7.1. (Support & Resistance)
Recommendation
You need to register and login with clearnifty to view detailed recommendations.
Entry Criterion: Take positions when divergence becomes (+/-)1.5. 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

BHEL Futures - NSE
Expiry Date Close Price Open Interest Number of Trades No of Contracts Underlying Closing Price
July 30, 2020 36.8 49014000.0 1127.0 1127.0 36.7
August 27, 2020 36.85 2751000.0 18.0 18.0 36.7
September 24, 2020 36.5 84000.0 2.0 2.0 36.7
Lot size: 10400.

TATAPOWER Futures - NSE

Expiry Date Close Price Open Interest Number of Trades No of Contracts Underlying Closing Price
July 30, 2020 48.4 56943000.0 7173.0 7173.0 49.8
August 27, 2020 48.5 2538000.0 438.0 438.0 49.8
September 24, 2020 47.2 94500.0 8.0 8.0 49.8
Lot size: 9000.
Click here for backtesting results.

BHEL-TATAPOWER Analysis with different time frames and thresholds

Time Frame 3months, Entry Threshold 1.5, Stop Loss Threshold 2.5, Total Profit 59523.456992
Time Frame 1month, Entry Threshold 1.5, Stop Loss Threshold 2, Total Profit 41033.1838579
Time Frame 1month, Entry Threshold 1.5, Stop Loss Threshold 2.5, Total Profit 24307.681776
Time Frame 3months, Entry Threshold 2, Stop Loss Threshold 3, Total Profit 20356.7931033
Time Frame 6months, Entry Threshold 2, Stop Loss Threshold 3, Total Profit 17077.4356708

Get Clearnifty's Android App.

Get clearnifty on Google Play
Get clearnifty on Google Play