USO vs BNO pair trading is unworkable

Dear friends, one of my algorithmic based strategy not works anymore. As you probably informed that WTI oil has more wider contango than Brent does. On practice that means BNO (Brent) was under less decaying in value then USO (WTI based). Hence. the trading long BNO sell USO was in good return and for years i was fine with its steady return vs low volatility. Since last week USO changed its structure and hence no more pair trading that based on high correlation.

Link to strategy code is here . Strategy can be constructed by hand made, but will require capital not lest then $500 000.

Leave a comment

Fill in your details below or click an icon to log in:

WordPress.com Logo

You are commenting using your WordPress.com account. Log Out /  Change )

Google photo

You are commenting using your Google account. Log Out /  Change )

Twitter picture

You are commenting using your Twitter account. Log Out /  Change )

Facebook photo

You are commenting using your Facebook account. Log Out /  Change )

Connecting to %s

%d bloggers like this: