tag:blogger.com,1999:blog-35364652.post7670633886152225581..comments2024-03-22T10:29:59.088-04:00Comments on Quantitative Trading: Gold vs. gold-miners: another arbitrage opportunity?Ernie Chanhttp://www.blogger.com/profile/02747099358519893177noreply@blogger.comBlogger16125tag:blogger.com,1999:blog-35364652.post-2504167341116057572023-04-24T12:15:21.185-04:002023-04-24T12:15:21.185-04:00Use orthogonal, or Deming, regression instead of O...Use orthogonal, or Deming, regression instead of OLS.<br />Ernie Chanhttps://www.blogger.com/profile/02747099358519893177noreply@blogger.comtag:blogger.com,1999:blog-35364652.post-15297050759055746872023-04-24T11:58:24.479-04:002023-04-24T11:58:24.479-04:00When doing linear regression to figure out the hed...When doing linear regression to figure out the hedge ratio what does it mean if the residuals are stationary but end up looking like the price time series of y. Do I still trade on y ~ x or should I look for another combination? Anonymoushttps://www.blogger.com/profile/16811197932014326195noreply@blogger.comtag:blogger.com,1999:blog-35364652.post-5209137179773598832017-02-03T10:35:18.383-05:002017-02-03T10:35:18.383-05:00Hi Jaroslav,
Yes, pairs do come in and out of coin...Hi Jaroslav,<br />Yes, pairs do come in and out of cointegration. Trick is how to prevent too steep a drawdown while they are out.<br />Ernie<br />Ernie Chanhttps://www.blogger.com/profile/02747099358519893177noreply@blogger.comtag:blogger.com,1999:blog-35364652.post-70201116595375428362017-02-03T10:34:00.637-05:002017-02-03T10:34:00.637-05:00Seems that between 2007 and 2014 the GLD and GDX w...Seems that between 2007 and 2014 the GLD and GDX were not really co-integrated well. Interestingly, since the beginning of 2014, they are again co-integrated nicely - see the gray line being (GLD$AdjClose - GDX$AdjClose) in https://www.dropbox.com/s/yk31rccgza0470k/GDX_vs_GLD.png?dl=0Anonymoushttps://www.blogger.com/profile/09245942950854244246noreply@blogger.comtag:blogger.com,1999:blog-35364652.post-16496698379657927152013-06-30T13:05:58.633-04:002013-06-30T13:05:58.633-04:00This pair recently gone to the new low !This pair recently gone to the new low !Ethan Masahttps://www.blogger.com/profile/04012610428662989693noreply@blogger.comtag:blogger.com,1999:blog-35364652.post-17970763699741798372012-08-28T23:14:36.560-04:002012-08-28T23:14:36.560-04:00Hi Ernie,
I just wanted to share with your reade...Hi Ernie, <br /><br />I just wanted to share with your readers my implementation of the gld/gdx arb on quantopian: https://app.quantopian.com/posts/ernie-chans-gold-vs-gold-miners-stat-arb<br /><br />thanks,<br />fawcefawcehttps://www.blogger.com/profile/00483373470211239901noreply@blogger.comtag:blogger.com,1999:blog-35364652.post-6315731703795299622010-10-07T20:54:08.207-04:002010-10-07T20:54:08.207-04:00Hi Tom,
You must be referring to the z-score for G...Hi Tom,<br />You must be referring to the z-score for GDX-GLD as shown on http://epchan.com/subscription/spread.htm.<br /><br />Indeed, this spread has wandered very far from its original mean since 2006. However, if you trade this spread using the Bollinger band approach, you would be updating the mean and SD regularly. <br /><br />The purpose of my web page is to show that some spreads do wander away, and is not really cointegrating, but others, like EWC-EWA, do remain cointegrating out-of-sample.<br /><br />ErnieErnie Chanhttps://www.blogger.com/profile/02747099358519893177noreply@blogger.comtag:blogger.com,1999:blog-35364652.post-76921033879276069882010-10-07T17:20:26.910-04:002010-10-07T17:20:26.910-04:00EC - I just bought your book and was interested in...EC - I just bought your book and was interested in the recent (last 3 months) history of the GDX-GLD spread. The current data (10/7/2010) shows a z score of 10.46.<br />Is that 10+ standard deviations? How long has it been in a 3+ standard deviation range?.......Tom McUnknownhttps://www.blogger.com/profile/09926865473393502795noreply@blogger.comtag:blogger.com,1999:blog-35364652.post-62922528669017136562010-06-14T08:02:14.150-04:002010-06-14T08:02:14.150-04:00Hi Julian,
I regress GLD's against GDX's p...Hi Julian,<br />I regress GLD's against GDX's prices.<br />The regression coefficient determines the hedge ratio.<br />ErnieErnie Chanhttps://www.blogger.com/profile/02747099358519893177noreply@blogger.comtag:blogger.com,1999:blog-35364652.post-43960210299923013792010-06-12T23:07:25.622-04:002010-06-12T23:07:25.622-04:00Hi, I have recently read your book, and I have som...Hi, I have recently read your book, and I have some questions, how did you figure that we need to go long 60 shares and short 100shares with GLD,GDX using MatLab?<br /><br />Thank you, <br />Julianjuliannoreply@blogger.comtag:blogger.com,1999:blog-35364652.post-86449801765275412412009-07-11T11:01:15.142-04:002009-07-11T11:01:15.142-04:00Hi Ryan,
Example 7.5 in my book has sample code on...Hi Ryan,<br />Example 7.5 in my book has sample code on how to calculate half-life for mean-reversion.<br />ErnieErnie Chanhttps://www.blogger.com/profile/02747099358519893177noreply@blogger.comtag:blogger.com,1999:blog-35364652.post-58931005100846062392009-07-10T11:56:07.489-04:002009-07-10T11:56:07.489-04:00Hey Ernie,
I just read your book and I gained som...Hey Ernie,<br /><br />I just read your book and I gained some valuable insight into developing my own trading strategies. In fact I modified matlab script published in your book to download daily price data on the S&P500, then perform cointegration tests for every stock against the other stocks in their sector. I am now working on developing a script that will help me identify which pairs have a shorter mean holding time. Can you give me any advice? Maybe you have published some code that I didn't see or are willing to share? Keep up the good work.<br /><br />RyanRiggsterhttps://www.blogger.com/profile/00308078331316421842noreply@blogger.comtag:blogger.com,1999:blog-35364652.post-39804962023036704742009-03-05T16:18:00.000-05:002009-03-05T16:18:00.000-05:00dk,Yes, it had been a rough year for this pair. Bu...dk,<BR/>Yes, it had been a rough year for this pair. But inevitably, some pairs fall out of line for a long time (a year?) and then come back, others will never converge. The key is to divide the capital among many pairs so each one cannot do too much damage.<BR/>ErnieErnie Chanhttps://www.blogger.com/profile/02747099358519893177noreply@blogger.comtag:blogger.com,1999:blog-35364652.post-38606179836389318372009-03-05T15:21:00.000-05:002009-03-05T15:21:00.000-05:00Mr. Chan,I recently came upon your site, which is ...Mr. Chan,<BR/>I recently came upon your site, which is quite interesting. Thank you.<BR/><BR/>Have you revisited the Gold vs. Gold miner arbitrage? Has the relationship changed? It behaved well until last summer/fall. How would you have handled that? Thanks for your thoughts.Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-35364652.post-36527210457063548892006-11-09T08:36:00.000-05:002006-11-09T08:36:00.000-05:00Yaser: thanks for these great ideas! I will look i...Yaser: thanks for these great ideas! I will look into them and do some analysis in the next while and post them here. -ECErnie Chanhttps://www.blogger.com/profile/02747099358519893177noreply@blogger.comtag:blogger.com,1999:blog-35364652.post-34196157125265186772006-11-09T08:26:00.000-05:002006-11-09T08:26:00.000-05:00EC-
A similar opportunity could be found in the n...EC-<br /><br />A similar opportunity could be found in the new CME derivatives for housing and housing stocks. the housing derivatives are fairly new so adoption hasn't been very quick, but slowly it's going to come and then similar arbitrage opportunities could be found.<br /><br />What do you think about pairing lumber futures with housing stocks?NAhttps://www.blogger.com/profile/09308905056511377295noreply@blogger.com