Comment on Live Example - 2

Kumar Mayank commented on 11 Jun 2018, 12:34 AM

Hello sir
I got a trade opportunity b/w SBI(X) and Baroda(Y) on 5 June with 200 data points.
Beta= 0.438
Intercept= 28.76 (22% of Y)
Z-Score= -2.678
ADF= 0.0109
But i faced a problem with the position sizing. If i long 2 lots (8000) of Baroda then ideally i should have shorted 3504 shares of SBI whereas one lot of SBI has 3000 shares. If i try to balance the size then capital (8 lacs) requirement goes beyond my reach. Still i have been tracking it on paper with 2 lot of Baroda and one lot of SBI.
I want to know your views on the 1) Trading signal 2) Position size.
Btw, the trade is in green 🙂 and touched the profit of Rs 2600 when zscore was at -2.255. Got some relief after a setback in Baroda-IndianBank pair.
Thank you very much, sir 🙂

View the full comment thread »