Month: April 2018

Pair Trading GLD and GDX

When the correlation between the two securities temporarily weakens, i.e. one stock moves up while the other moves down, the pairs trade would be to short the outperforming stock and to long the underperforming one, betting that the “spread” between the two would eventually converge. The divergence within a pair can be caused by temporary […]

Testing for Cointegration of GLD and GDX for use in a Pair Trading Strategy

In this research I am going to test whether the price series of two securities GLD (Gold Price) and GDX (Gold Miners Equity ETF) are cointegrated. This is crucial if we want to develop a pair trading strategy around those two securities. I want to test if the spread between the two series is stationary […]