Algokid

PAIR TRADE - FEU/XLB - ETFs

BATS:FEU   SPDR STOXX EUROPE 50 ETF
1166 4 2
This is how I visualize pair trade on my other platform. It may look confusing , but it's actually very simple.

I use the Bollinger bands to measure standard deviation of a pair. When the ratio of the pair is at +/- 2.5 Std deviation( green lines I enter the trade. The correlation needs to be at least at 75 % + and co- integration at 70 % + .

I exit the trade when the ratio is above or below +/- 1 std deviation ( red line) .

See trade detail on chart.

Algo
point of entry

FEU = 32.40 long

XLB = 38.41 short
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Quick Note : We are technically LONG this spread. To be profitable , the spread needs to be above 0.85 when it crosses the - 1.0 standard deviation.
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Closing this pair with a profit. Selling FEU @ 33.44 , and covering XLB 38.66 . :)
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