Economatica has a powerful yet easy to use module for identifying, analyzing, and back-testing pair trades (long/short).
We used the Economatica system to find all possible pairs of the top 200 ETFs by the dollar value of the 30-day Average Daily Trading Volume.
Out of the universe of 40,000 pairs analyzed in a few moments, the Economatica system identified 29 pairs whose current ratio sits currently more than 2.5 standard deviations from the mean as of 9/24/2018. In addition, in making this selection we asked that only highly correlated pairs (80% or greater) with volatility under 50% were considered.
The table below shows 20 of the pairs meeting the criteria along with various analytical metrics for your review. The list is ranked by the number of deviations away from the mean.
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In this report Economatica’s Pair Trading Module selectively screens 40,000 pairs (200 ETFs) to identify...