hi, some scrips within the same sector show strong corelation in their market price over a long period. Their ratio exhibits the corelation. 1. I need to explore / search for such scrips from a sector 2.plot closing prices of 2 such securities on same chart 3.plot their price ratio (price of scrip 1 / price of scrip 2)in a different pane. 4. plot say 60days mean of this ratio on the ratio chart. 5.plot bolinger bands for this mean on the same chart.
strategy - The scrips exhibit a strong correlation and have a tendency to revert to the mean and move in a trading band. when price ratio shifts to the upper or lower boundry of the trading range. Traders may initiate a neutral strategy and go long on scrip A and go short on Scrip B. reverse / square the trade when the ratio shifts to the mean. can anyone help me on afl? regards dr zingaro
