Pairs strategy

2023년 12월 29일

Hello, Tradingview community,

I am been playing with this idea that nowadays trading instruments are interconnected and when one goes too far "out of order" it should return to the mean.

So, here's a relatively simple idea.

This is a LONG-ONLY strategy.

• Buy when your traded instrument's last bar closes down, and the comparing instrument closes up.
  

• Sell when close is higher than the previous bar's high.
  

Best results I found with medium timeframes: 45min, 120min, 180min.

Also, feel free to test non-typical timeframes such as 59min, 119min, 179min, etc.

My reasoning for medium timeframes would be, that they are big enough to avoid "market noise"
of smaller timeframes + commissions & slippage is less negligible, and small enough to avoid exposure of higher timeframes, although, I haven't tested D timeframe and above.

The best results, I found were with instruments that aren't directly correlated. I mostly tested equities and equity futures, so for equity indexes, equity index futures, or large-cap stocks, SMH, NVDA, EURUSD, and Crude Oil would be a good candidate for comparing symbols.

When testing either futures or stocks, please adjust the commission for each asset, for stocks I use % equity, so it compounds over time, whereas, for futures, I use 1 contract all the time.

Here's MSFT on 119min chart



Here's SPY on 59min chart using NVDA as comparison



Here's ES1! on 179min chart using CL1! as comparison

To change comparison symbol just insert your symbol between the brackets on both fields down here.

SymbolClose = request.security("YOUR SYMBOL HERE", timeframe.period, close)
SymbolOpen = request.security("YOUR SYMBOL HERE", timeframe.period, open)

Since I am still relatively new to testing, hence, I am publishing this idea, so you can point out some crucial things I may have missed.

Thanks,

Enjoy the strategy!