BHEL VS PUNJ(L)

 

Apart from being a conservative long – short strategy, pair trading can also assist in stock selection. What to buy? When to buy? What to sell? When to sell? Now considering we have a worst status for Punj(L) and a still a best status for Bhel. The stocks are running at 5% and 95% respectively. We ran a pair check on the stocks and the JISEKI pair cycles delivered a maximum of 71% from Sep 2009 till May 2011. This is 45% annualized. The JISEKI cycle signal was running in favor of LONG BHEL and SHORT PUNJ(L) till JULY 2011. This again would have delivered about 35% annualized.  A reversion signal to the other side has not happened yet. Whenever it happens, SHORT BHEL and LONG PUNJ(L) will deliver. This is likely to happen because BHEL is the best and PUJ(L) is the worst. The latest ALPHA carries technical cases, Jiseki cycles and the respective pair review.

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Our Jiseki Time cycles are seasonal patterns of strength or weakness in assets. They are derived from percentile rankings from 1 to 100. The higher the percentile more the chance for an asset to weaken and worst the ranking, better the chance for the respective asset to outperform. 100 is top relative performance and 1 is worst performance. The idea is that performance is cyclical. A top performer will underperform in future and vice versa. A top relative performer is also the worst value pick and the top relative underperformer is the best value pick. Jiseki is another name for Performance cycles, time triads and time fractals. The signals are illustrated as a running portfolio and as Jiseki Indices. These signals can be used by fund managers for relative allocations, traders for leverage bets and high net worth clients for selective trades.
Jiseki Interpretation. Signals are interpreted as crossovers between various Jiseki Cycles. All three Jiseki cycles (Jiseki 1,2 and 3) depict different time frames. Example: An asset is ranked above 80 percentile and all the three Jiseki cycles are pointing lower, this suggests a running SHORT SIGNAL. Our Jiseki Indices use different kind of exits based on price and Jiseki Cycles. We have color coded the (Jiseki 1>Jiseki 2) SHORT zones with brown sandy (burlywood) and grey (Jiseki 1>Jiseki2) for LONG SIGNALS.

Avinash Barnwal is Master of Science in Statistics and Informatics from IIT Kharagpur. He has worked on human response time at Department of Psychology, University of Amsterdam.  Avinash is a Quantitative Analyst at Orpheus developing money management solutions and building statistical models to address temporal challenges.