PAIR TRADING TOOL

Finding Trading Opportunities on the JSE

WHAT IS PAIR TRADING TOOL


  • Based on academic research
    This tool uses a research paper written by Gatev et al (2006) - considered to be the landmark paper of pairs trading. It is typically referred to as the "distance method".

  • Pair Trading
    Pair trading is a market neutral strategy that seeks to profit off the relationship between two similar stocks. For example, one can expect similar companies like Absa and Nedbank to exhibit similar behaviour. PTT identifies the 20 best pairs and when they generate signals.

USER TIPS: How to use the Pair Trading Tool


  • Looking for pairs with a trade signal?
    The "Pairs Menu" sheet provides an overview of trading instructions for the top 20 pairs as well as which ones have a "Enter Trade" instruction.

  • Analyse a pair in detail
    The "Trade Screen" sheet provides a detailed look at the pair relationship. If a spread is significantly wide, then a trade signal is triggred.

  • Always use a stop loss
    Since it is not a perfect world, sometimes unforeseen circumstances will prevent a relationship from reverting to normal. This means that the pair "diverges". Always employ a stop loss on the net return of the pair to cap any losses.

Latest Pair Trading Tool


FILE NAMEUPLOAD DATE/TIME
Sharenet Pair Trading Tool 20210905.xlsm (1.8Mb)2021-09-06 09:13
Sharenet Pair Trading Tool 20210904.xlsm (1.8Mb)2021-09-06 09:13
Sharenet Pair Trading Tool 20210903.xlsm (1.8Mb)2021-09-06 09:13
Sharenet Pair Trading Tool 20210824.xlsm (1.8Mb)2021-08-25 09:31
Sharenet Pair Trading Tool 20210823.xlsm (1.8Mb)2021-08-24 08:37

Risk Warning: Share trading may not be suitable for everyone and can result in losses, so please ensure that you fully understand the risks involved. All dealings are on an execution only basis. Sharenet does not give advice and any statement made by Sharenet to a client shall not constitute advice or a recommendation to trade or close a trade in any way.