Performance of Pairs Trading Strategies Based on Renko and Kagi Charts
“Results show that both chart-based strategies generate significant excess returns and exhibit strong Sharpe ratios before costs.”
AssetEquitiesindices
StrategyPairs tradingshort-term reversal
GeographyGlobalUS
ClaimSharpe ratioexcess return
Also stated: Long-short, benchmark, costs
Missing from abstract: out-of-sample test, multiple testing, universe
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The paper's neighbourhoodPairs trading and statistical arbitrage by year
FamilyPairs trading and statistical arbitrage93Momentum and trend following289Factor investing240Machine learning return prediction15318 more · 909
AssetEquities51
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