Portfolio cross rate/ratio

Discussion in 'Trading' started by Sergey Kamenshchikov, Nov 9, 2015.

  1. Hello dear traders and analysts!

    What do you think about trading of portfolio ratios? Is there any sense in comparison to spread trading or long/short portfolios. Each time I make an order a capital parity is preserved automatically.

    Example - DJI-"top" stocks vice DJI index: [HD+UNH+...]/DJI. It is not obvious how to make optimization of such "cross rate", however I suppose that only closely correlated portfolios fit for such trading model. I have made a candlestick chart of such ratio in one portfolio platform. Looks good since 2011. Comparison with DJI is not bad although correlation more than 20%.

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