Hi,
I am a Equity Research Analyst & i have a task to do. "Ranking of Pair
Trades" i.e.i have so many parameters like share price, Technical
indicators(like Stochastic Indicator, Relative Strength Index, Directional
Movement Indicator, Moving Acerage Convergence Divergence) and so on. Now i am
looking for the trading opportunities in pair on the basis of all the above
parameters. I want to give ranks to all the pairs to get in which pair i have
more opportunity to play and earn...
I have already started with using Principal Component Analysis(PCA) basically
to reduce the dimension of the parameters on the basis of which i have to give
the rank to the pairs. And after that i will go for the skewness in all the
pair with respect to the reduced parameters.Where the skewness is more that
will be rank 1 pair & so on.Because where the skewness is more there we will
have more opportunities to play.
But i am not confident with this appraoch. So, can you please help me with
some other good method to solve this problem....
Thanks in Advance
Regards,
Ramesh
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