aphexmean

Short strategy on DGAZ & UGAZ

The idea is to open two short position on these etfs with an equal size of money, effectively splitting the investment 50-50. The result, will be the opposite of the showed equity line (which is downward sloping because I cannot enter negative prices in the chart).

In this example:
short sell 145 DGAZ
short sell 50 UGAZ

This idea can be found using cointegration methods as well, though I used another method that run an optimization that spits out weights -- useful for a large number of assets.

The weights are 50-50 because the two assets are 1) highly correlated (~ minus 1), 2) bear the same leverage (3x) and 3) the expected return of the underlyings are negative, thus suggesting negative weightings.

The historical volatility and its mean are showed below.
EN English
EN English (UK)
EN English (IN)
DE Deutsch
FR Français
ES Español
IT Italiano
PL Polski
SV Svenska
TR Türkçe
RU Русский
PT Português
ID Bahasa Indonesia
MS Bahasa Melayu
TH ภาษาไทย
VI Tiếng Việt
JA 日本語
KO 한국어
ZH 简体中文
ZH 繁體中文
AR العربية
HE עברית
Home Stock Screener Forex Screener Crypto Screener Economic Calendar How It Works Chart Features Pricing House Rules Moderators Website & Broker Solutions Widgets Stock Charting Library Get Help Feature Request Blog & News FAQ Wiki Twitter
Profile Profile Settings Account and Billing Get Help Ideas Published Followers Following Private Messages Chat Sign Out