Long ICICI Bank vs. short HDFC Bank highlights a potential relative value opportunity for quantitative traders seeking mean-reversion pair trades.
What is covered in the Full Insight:
Introduction to Statistical Arbitrage in Indian Banks
Analysis of Price Ratio Deviation
Trade Setup and Execution
Historical Simulation and Risk Management
Strengths and Drawbacks of Statistical Arbitrage
Boomeranged on Fri, 21 Nov 2025 05:56
A fresh entry opportunity has emerged as the price ratio crosses the two-standard-deviation threshold again, after fluctuating between the one- and two-standard-deviation bands in recent days. The current target return, based on a reversion to the one-standard-deviation line, is 3%.