Stochastic Spread Pairs Trading in the Indian Commodity Market
Pairs trading and statistical arbitrage in commodities, studied by Mahajan and Chandra in 2019. The abstract mentions a Sharpe ratio but not a benchmark, an out-of-sample test, transaction costs, multiple testing or the size of the universe.
“The results show a sharpe ratio of above 1.4 for all the commodity cointegrated pairs in the backtesing period.”
AssetCommodities
StrategyPairs trading
GeographyIndia
ClaimSharpe ratio
Missing from abstract: benchmark, out-of-sample test, costs, multiple testing, universe
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The paper's neighbourhoodPairs trading and statistical arbitrage by year
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