{"title":"动态ETF配对交易系统。来自澳大利亚的证据","authors":"N. Robert Enemuwe","doi":"10.2139/ssrn.2662258","DOIUrl":null,"url":null,"abstract":"This study evaluates the profitability of dynamic pairs trading strategies using a proposed 3-step pairs selection approach. We extend the pairs trading methodology employed by Miao (2014) to the broad-based exchange traded funds (ETFs) listed on the Australian Securities Exchange (ASX). The 3-step approach incorporates the correlation, cointegration and error correction coefficient as the pre-selection criteria during the formation period. In the subsequent trading period, we employ a daily re-calibration of the parameters using a 252-day rolling window from January 1, 2013 to September 30, 2015. We developed a real-time trading system using the Java programming language and KDB database, and back test the strategies using tick-by-tick historical quotes during the trading period. The back testing of the top five ETF pairs: ISO-SSO, IOZ-VAS, IOZ-STW, STW-VAS and STW-SFY yield cumulative returns of 10.08%, 4.41%, 19.70%, 62.27%, 46.60% and Sharpe ratios of 2.21, 1.00, 9.29, 15.12, 11.17 respectively. The maximum draw down is -32.47% over the trading period.","PeriodicalId":23435,"journal":{"name":"UNSW Business School Research Paper Series","volume":null,"pages":null},"PeriodicalIF":0.0000,"publicationDate":"2015-10-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"1","resultStr":"{\"title\":\"Dynamic ETF Pairs Trading System. Evidence From Australia\",\"authors\":\"N. Robert Enemuwe\",\"doi\":\"10.2139/ssrn.2662258\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"This study evaluates the profitability of dynamic pairs trading strategies using a proposed 3-step pairs selection approach. We extend the pairs trading methodology employed by Miao (2014) to the broad-based exchange traded funds (ETFs) listed on the Australian Securities Exchange (ASX). The 3-step approach incorporates the correlation, cointegration and error correction coefficient as the pre-selection criteria during the formation period. In the subsequent trading period, we employ a daily re-calibration of the parameters using a 252-day rolling window from January 1, 2013 to September 30, 2015. We developed a real-time trading system using the Java programming language and KDB database, and back test the strategies using tick-by-tick historical quotes during the trading period. The back testing of the top five ETF pairs: ISO-SSO, IOZ-VAS, IOZ-STW, STW-VAS and STW-SFY yield cumulative returns of 10.08%, 4.41%, 19.70%, 62.27%, 46.60% and Sharpe ratios of 2.21, 1.00, 9.29, 15.12, 11.17 respectively. The maximum draw down is -32.47% over the trading period.\",\"PeriodicalId\":23435,\"journal\":{\"name\":\"UNSW Business School Research Paper Series\",\"volume\":null,\"pages\":null},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2015-10-14\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"1\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"UNSW Business School Research Paper Series\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.2139/ssrn.2662258\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"UNSW Business School Research Paper Series","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.2139/ssrn.2662258","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
Dynamic ETF Pairs Trading System. Evidence From Australia
This study evaluates the profitability of dynamic pairs trading strategies using a proposed 3-step pairs selection approach. We extend the pairs trading methodology employed by Miao (2014) to the broad-based exchange traded funds (ETFs) listed on the Australian Securities Exchange (ASX). The 3-step approach incorporates the correlation, cointegration and error correction coefficient as the pre-selection criteria during the formation period. In the subsequent trading period, we employ a daily re-calibration of the parameters using a 252-day rolling window from January 1, 2013 to September 30, 2015. We developed a real-time trading system using the Java programming language and KDB database, and back test the strategies using tick-by-tick historical quotes during the trading period. The back testing of the top five ETF pairs: ISO-SSO, IOZ-VAS, IOZ-STW, STW-VAS and STW-SFY yield cumulative returns of 10.08%, 4.41%, 19.70%, 62.27%, 46.60% and Sharpe ratios of 2.21, 1.00, 9.29, 15.12, 11.17 respectively. The maximum draw down is -32.47% over the trading period.
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