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Neste estudo são apresentadas potenciais melhorias à estratégia de pairs trading proposta por Gatev et al. (2006). Com a utilização de ações do índice S&P 500 durante o período compreendido entre 2012 e 2022, a estratégia obteve um retorno semestral médio de 10,20%. Além disso, veio apoiar a ideia já presente na literatura de que a estratégia apresenta melhores resultados em períodos de crise económica, uma vez que foi no período da COVID-19 que registou o seu maior retorno. A primeira alteração aplicada a esta estratégia incluiu a utilização dos preços bid e ask em oposição aos preços diários de fecho, o que veio resolver a questão de “1 waiting day” para abrir e fechar posições de Gatev et al. (2006). Em adição, com o intuito de melhorar o retorno gerado pela estratégia, foram praticados 3 métodos diferentes: uma estratégia com stop loss de 5 dias, uma com stop win de 5 dias e uma outra com a junção das duas anteriores. Desta forma, concluiu-se que a aplicação do método de stop win, ativada após 5 dias consecutivos de ganhos, foi a estratégia que gerou melhores resultados.
In this study, potential improvements to the pairs trading strategy proposed by Gatev et al. (2006) are presented. By using stocks from the S&P 500 index during the period from 2012 to 2022, the strategy achieved an average semi-annual return of 10.20%. Furthermore, it supported the idea already present in the literature that the strategy performs better during economic crises, as it recorded its highest return during the period of the COVID-19 pandemic. The first modification applied to this strategy involved using bid and ask prices instead of daily closing prices, which resolved the issue of "1 waiting day" to open and close positions as employed by Gatev et al. (2006). Additionally, in order to improve the strategy's return, three different methods were practiced: a strategy with a 5-day stop loss, a strategy with a 5-day stop win, and a strategy combining both of the previous methods. It was concluded that the application of the stop win method, activated after 5 consecutive days of gains, generated the best results.
In this study, potential improvements to the pairs trading strategy proposed by Gatev et al. (2006) are presented. By using stocks from the S&P 500 index during the period from 2012 to 2022, the strategy achieved an average semi-annual return of 10.20%. Furthermore, it supported the idea already present in the literature that the strategy performs better during economic crises, as it recorded its highest return during the period of the COVID-19 pandemic. The first modification applied to this strategy involved using bid and ask prices instead of daily closing prices, which resolved the issue of "1 waiting day" to open and close positions as employed by Gatev et al. (2006). Additionally, in order to improve the strategy's return, three different methods were practiced: a strategy with a 5-day stop loss, a strategy with a 5-day stop win, and a strategy combining both of the previous methods. It was concluded that the application of the stop win method, activated after 5 consecutive days of gains, generated the best results.
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Keywords
Pairs trading Bid prices Ask prices Stop loss Stop win Closeness