Detailed analysis of 8 long short pairs for trading arbitrage
IMPORTANT NOTE: It looks like I mixed up my short and long!! (see below)
This was the original but see the correct combo below:
These are mixed results but definitely the rules need tightening up as described in the video
Out of 32 potential pairs, added positions for:
SLG EQY
PLT MSCI
VSH ON ß wrong
AWK SBS <- tight but may work
UCTT CEVA -> traditionally long performed better but short recently outperform
TRNO MNR -> traditionally short outperformed but long recent outperformed
NNI V
Conditions for entry is Each stock must have SMA 20 > SMA 200 and ratio of each close > trendline 20
Here is the proper order of the short and long!
Short=SLG long=EQY
PLT MSCI
VSH ON ß wrong
AWK SBS <- tight but may work
UCTT CEVA -> traditionally long performed better but short recently outperform
TRNO MNR -> traditionally short outperformed but long recent outperformed
NNI V
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