Abstract
The development of information technology makes quantitative investment strategy widely used by various investors. Among them, pairing trading strategy has attracted the attention of a large number of investors. In this paper, the validity of paired trading is verified and the validity of Bollinger band signals used for paired trading is tested. To be specific, this paper takes Shanghai and Shenzhen 300 component stocks and China Securities 500 component stocks as data sets. In this paper, the correlation coefficient method is used to match the stocks. This study uses the closing price data of stocks in each pairing group from August 2021 to August 2022 for training, and backtests the training results with trading data from August 2022 to February 2023. From the yield index, the backtest group can get the highest yield of 23.4%. In addition, according to the analysis, the probability of positive returns in the backtest group is up to 80%.
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