bullish

Long ICICI (ICICIBC IN), Short HDFC (HDFCB IN): Fresh Statistical Arbitrage Signal in Indian Banks

449 Views01 Oct 2025 15:17
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%.
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