{"id":43782,"date":"2025-12-27T12:11:10","date_gmt":"2025-12-27T11:11:10","guid":{"rendered":"http:\/\/david.melich"},"modified":"2025-12-27T12:11:10","modified_gmt":"2025-12-27T11:11:10","slug":"sample-strategy-6-pairs-trading-with-country-etfs-2","status":"publish","type":"post","link":"https:\/\/vvv.quantpedia.com\/es\/sample-strategy-6-pairs-trading-with-country-etfs-2\/","title":{"rendered":"Sample strategy #6 &#8211; Pairs Trading with Country ETFs"},"content":{"rendered":"<p>\n\t&nbsp;&nbsp; An academic paper from <strong>Thomakos, Wang and Schizas<\/strong> offers one such option. They use ETFs, which provide a much smaller universe and have one great advantage compared to stocks &#8211; the ETF is a portfolio of stocks and is therefore more resilient to unexpected news related to single stock (which often breaks a promising convergence in stock&#39;s pairs). Pairs Trading with Country ETFs is therefore an easy and promising version of a pairs trading strategy.<\/p>\n<p>\n\t&nbsp;&nbsp;<strong> Performance and risk characteristics<\/strong> of this strategy also look very promising &#8211; the backtest indicates <strong>more then 20% p.a. performance<\/strong> with <strong>10% volatility<\/strong> which means an attractive <strong>Sharpe ratio of 1.66<\/strong>.<\/p>\n<p>\n\t&nbsp;&nbsp; The source paper can be found on the following web page: <a href=\"http:\/\/www.fma.org\/Denver\/Papers\/pairetf.pdf\">http:\/\/www.fma.org\/Denver\/Papers\/pairetf.pdf<\/a><\/p>\n<p>\n\t&nbsp;&nbsp; Our strategy overview with <strong>extracted trading rules<\/strong> and hypothetical <strong>performance chart with probability bands<\/strong> can be accessed here: <a href=\"http:\/\/\\\/\\\/new-fmhwbzh6ghd9hede.swedencentral-01.azurewebsites.net\/Screener\/Details\/55\">http:\/\/\\\/\\\/new-fmhwbzh6ghd9hede.swedencentral-01.azurewebsites.net\/Screener\/Details\/55<\/a><\/p>","protected":false},"excerpt":{"rendered":"<p>\n\t<strong>Pairs trading<\/strong> (sometimes known as <strong>statistical arbitrage<\/strong>) is a very popular trading strategy between traders. It has also become a favorite strategy for investigation by financial academics. The most well-known variant is stock&#39;s pairs trading where a trader buys and simultaneously sells two correlated stocks when they diverge from their normal synchronized moves. The equity universe is broad and therefore it is time-consuming to look for pairs which are correlated or cointegrated (aka. they move together). But isn&#39;t there some simple version of this strategy?<\/p>","protected":false},"author":11586,"featured_media":0,"comment_status":"closed","ping_status":"closed","sticky":false,"template":"","format":"standard","meta":{"footnotes":""},"categories":[1],"tags":[],"class_list":["post-43782","post","type-post","status-publish","format-standard","hentry","category-uncategorized"],"_links":{"self":[{"href":"https:\/\/vvv.quantpedia.com\/es\/wp-json\/wp\/v2\/posts\/43782","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/vvv.quantpedia.com\/es\/wp-json\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/vvv.quantpedia.com\/es\/wp-json\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/vvv.quantpedia.com\/es\/wp-json\/wp\/v2\/users\/11586"}],"replies":[{"embeddable":true,"href":"https:\/\/vvv.quantpedia.com\/es\/wp-json\/wp\/v2\/comments?post=43782"}],"version-history":[{"count":0,"href":"https:\/\/vvv.quantpedia.com\/es\/wp-json\/wp\/v2\/posts\/43782\/revisions"}],"wp:attachment":[{"href":"https:\/\/vvv.quantpedia.com\/es\/wp-json\/wp\/v2\/media?parent=43782"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/vvv.quantpedia.com\/es\/wp-json\/wp\/v2\/categories?post=43782"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/vvv.quantpedia.com\/es\/wp-json\/wp\/v2\/tags?post=43782"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}