HDFC - BAJAJFINSV Pair Analysis

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End-of-day divergence (Standardized residual) is 0.855.
Half life of pair is 1.24.
Real time (live) divergence is calculating using following formula:
[bajajfinsv_price - (3.44 * hdfc_price) - 2.55]/140

(where 2.55 is mean error and 140 is standard error)
Technical strength of HDFC is 2.8. (Support & Resistance)
Technical strength of BAJAJFINSV is 4.7. (Support & Resistance)
Recommendation
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Entry Criterion: Take positions when divergence becomes (+/-)1.5. And exit positions when divergence becomes (+/-)0.
Stop Loss: Put your stop loss when divergence becomes more than 2.0 or less than -2.0. 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.
Click here to see all recommendations for pair hdfc-bajajfinsv.
Analyse any other pair:

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

Charts

HDFC Futures - NSE
Expiry Date Close Price Open Interest Number of Trades No of Contracts Underlying Closing Price
August 27, 2020 1788.15 29338200.0 22904.0 22904.0 1783.75
September 24, 2020 1792.15 104400.0 278.0 278.0 1783.75
October 29, 2020 1798.7 6000.0 8.0 8.0 1783.75
Lot size: 250.

BAJAJFINSV Futures - NSE

Expiry Date Close Price Open Interest Number of Trades No of Contracts Underlying Closing Price
August 27, 2020 6329.5 820250.0 4340.0 4340.0 6295.7
September 24, 2020 6341.55 7875.0 61.0 61.0 6295.7
October 29, 2020 6202.0 125.0 0.0 0.0 6295.7
Lot size: 125.
Click here for backtesting results.

HDFC-BAJAJFINSV Analysis with different time frames and thresholds

Time Frame 1month, Entry Threshold 1.5, Stop Loss Threshold 2.5, Total Profit 103215.574349
Time Frame 1month, Entry Threshold 1.5, Stop Loss Threshold 2, Total Profit 85607.8259991
Time Frame 3months, Entry Threshold 2.5, Stop Loss Threshold 3, Total Profit 29262.8446478
Time Frame 3months, Entry Threshold 2, Stop Loss Threshold 2.5, Total Profit 29232.7319761
Time Frame 3months, Entry Threshold 2, Stop Loss Threshold 3, Total Profit 25264.5830356

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