From the course: Algorithmic Trading and Stocks Essential Training

Unlock the full course today

Join today to access over 24,000 courses taught by industry experts.

Case study: ETF pairs trading with algorithms (OIH and XOP)

Case study: ETF pairs trading with algorithms (OIH and XOP)

From the course: Algorithmic Trading and Stocks Essential Training

Start my 1-month free trial Buy for my team

Case study: ETF pairs trading with algorithms (OIH and XOP)

“

- Now that we understand some of the basics of algorithmic trading. I want to start digging in and looking at how we could use data to actually build algorithmic trading models. What you'll observe in this sheet is in column A we've got a series of dates over time and in columns, B, C and D, we have three different securities. Column B is for an ETF or an Exchange Traded Fund, that's focused on oil producers. Column C is also an oil company based ETF. And then column D is for the price of oil. So you might ask yourself, well we've got two different ETFs and both of those ETFs are based on oil companies. You might think, then, that these two ETFs should move in sync with one another. And in fact, that's exactly what we observe. I've put together some graphs for you over here on the right hand side, that illustrate that. And what we observe is that in the period 2012 through 2017, OIH and XOP tend to track one another.…

Contents