NIFTY - BANKNIFTY Pair Analysis

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End-of-day divergence (Standardized residual) is -4.52.
Half life of pair is 9.38.
Real time (live) divergence is calculating using following formula:
[banknifty_price - (2.57 * nifty_price) - -47]/774

(where -47 is mean error and 774 is standard error)
Technical strength of NIFTY is 3.25. (Support & Resistance)
Technical strength of BANKNIFTY is 3.5. (Support & Resistance)
Recommendation
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Entry Criterion: Take positions when divergence becomes (+/-)2.5. And exit positions when divergence becomes (+/-)0.0.
Stop Loss: Put your stop loss when divergence becomes more than 3.0 or less than -3.0. 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 nifty-banknifty.
Analyse any other pair:

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

Charts

NIFTY Futures - NSE
Expiry Date Close Price Open Interest Number of Trades No of Contracts Underlying Closing Price
April 30, 2020 8084.5 9590325.0 255856.0 255856.0 8083.8
May 28, 2020 8103.5 1236600.0 6440.0 6440.0 8083.8
June 25, 2020 8113.75 106950.0 1066.0 1066.0 8083.8
Lot size: 75.

BANKNIFTY Futures - NSE

Expiry Date Close Price Open Interest Number of Trades No of Contracts Underlying Closing Price
April 30, 2020 17175.8 980340.0 254562.0 254562.0 17249.3
May 28, 2020 17222.85 66100.0 4957.0 4957.0 17249.3
June 25, 2020 17275.35 4220.0 302.0 302.0 17249.3
Lot size: 20.
Click here for backtesting results.

NIFTY-BANKNIFTY Analysis with different time frames and thresholds

Time Frame 3months, Entry Threshold 2.5, Stop Loss Threshold 3, Total Profit 22452.3179346
Time Frame 6months, Entry Threshold 2.5, Stop Loss Threshold 3, Total Profit 13839.9505751
Time Frame 1year, Entry Threshold 2.5, Stop Loss Threshold 3, Total Profit 12466.6250227
Time Frame 3months, Entry Threshold 1.5, Stop Loss Threshold 2.5, Total Profit 9636.43503156
Time Frame 3months, Entry Threshold 1.5, Stop Loss Threshold 2, Total Profit 5102.11440363

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