Sheet1

Date:
Data:

12/05/12
12-04-2012 to 11-05-2012

Sl.No Group
1 Bank Nifty
2 Bank Nifty
3 Energy
4 Bank Nifty
5 Bank Nifty
6 Bank Nifty
7 Bank Nifty
8 IT
9 Bank Nifty
10 Bank Nifty
11 Bank Nifty
12 Bank Nifty
Note:

23 Days
PairX
SBIN
SBIN
BPCL
BANKBARODA
PNB
SBIN
AXISBANK
WIPRO
KOTAKBANK
KOTAKBANK
KOTAKBANK
AXISBANK

PairY
ICICIBANK
PNB
IOC
ICICIBANK
ICICIBANK
BANKBARODA
BANKBARODA
HCLTECH
BANKBARODA
SBIN
HDFCBANK
KOTAKBANK

Before initiating trade for stocks, pls check if stocks have a close correlation in business model and business structure

Pairs which have been compared

1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29

ICICIBANK
ICICIBANK
ICICIBANK
ICICIBANK
ICICIBANK
ICICIBANK
KOTAKBANK
KOTAKBANK
KOTAKBANK
KOTAKBANK
KOTAKBANK
HDFCBANK
HDFCBANK
HDFCBANK
HDFCBANK
BANKBARODA
BANKBARODA
BANKBARODA
SBIN
SBIN
PNB
BPCL
RELIANCE
HINDUNILVR
RANBAXY
RANBAXY
RANBAXY
SUNPHARMA
SUNPHARMA

KOTAKBANK
HDFCBANK
BANKBARODA
SBIN
PNB
AXISBANK
HDFCBANK
BANKBARODA
SBIN
PNB
AXISBANK
BANKBARODA
SBIN
PNB
AXISBANK
SBIN
PNB
AXISBANK
PNB
AXISBANK
AXISBANK
IOC
CAIRN
ITC
SUNPHARMA
CIPLA
DRREDDY
CIPLA
DRREDDY

Page 1

Bank Nifty
Bank Nifty
Bank Nifty
Bank Nifty
Bank Nifty
Bank Nifty
Bank Nifty
Bank Nifty
Bank Nifty
Bank Nifty
Bank Nifty
Bank Nifty
Bank Nifty
Bank Nifty
Bank Nifty
Bank Nifty
Bank Nifty
Bank Nifty
Bank Nifty
Bank Nifty
Bank Nifty
Energy
Energy
FMCG
Pharma
Pharma
Pharma
Pharma
Pharma

Sheet1
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46

CIPLA
DLF
DLF
HDIL
HEXAWARE
HEXAWARE
HEXAWARE
HEXAWARE
HCLTECH
HCLTECH
HCLTECH
WIPRO
WIPRO
TCS
MARUTI
MARUTI
M&M

DRREDDY
HDIL
UNITECH
UNITECH
HCLTECH
WIPRO
TCS
INFY
WIPRO
TCS
INFY
TCS
INFY
INFY
M&M
TATAMOTORS
TATAMOTORS

Page 2

Pharma
Realty
Realty
Realty
IT
IT
IT
IT
IT
IT
IT
IT
IT
IT
Auto
Auto
Auto

Sheet1
Pairs sorted on Highest Co-relation
X Diff Avg
-1.058965327
-1.058965327
0.245330106
-1.009077868
-1.063547301
-1.058965327
-0.7607397
-0.351985618
-0.303271883
-0.303271883
-0.303271883
-0.7607397

X Volatility
Co-relation
X Beta
X Alpha
35.26008007 0.818577798 0.582811993
0.165097737
35.26008007 0.764861143 0.685216265 -0.279002888
35.78537994 0.763166395 0.473174761 -0.049252674
34.57998961 0.727459086 0.514155524 -0.072543839
33.54091899 0.703410971 0.497453903 -0.020853336
35.26008007 0.678870833 0.636130143 -0.205413305
43.60302248 0.645869488 0.479985008 -0.745754068
45.68756239 0.630748596 0.479924894
0.340060255
35.44932903 0.628771038 0.618858932 -0.789488801
35.44932903 0.627946111 0.656675851
-1.05597709
35.44932903 0.625841017 0.421536717
0.046570516
43.60302248 0.618071735 0.519781761 -0.096398576

a close correlation in business model and business structure.

Page 3

Sheet1

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Sheet1

X Jenson Alpha X Sharp Ratio X Trenor Ratio Y Diff Avg

Y Volatility
Y Jenson Alpha
-0.997114658
-5.1436
-2.363018 -0.531591797
26.77459939
0.150496157
-0.53184615
-4.106
-2.009869 -1.063547301
33.54091899
-0.290020319
0.353664741
1.6921
0.875831
0.134485299
24.49148427
-0.067691557
-0.758917817
-4.0867
-2.128197 -0.531591797
26.77459939
-0.089548396
-0.909282527
-4.6077
-2.480022 -0.531591797
26.77459939
-0.03844245
-0.681126373
-3.9826
-2.164958 -1.009077868
34.57998961
-0.21814875
-0.16287206
-1.9898
-1.433551 -1.009077868
34.57998961
-0.763954592
-0.346095069
-0.6571
-0.518774
0.041284698
37.88509833
0.321857627
0.206311093
-1.3616
-0.76085 -1.009077868
34.57998961
-0.802828738
0.433511602
-1.3353
-0.717034 -1.058965327
35.26008007
-1.067993435
-0.398287515
-1.9766
-1.117006 -0.169740274
23.8212344
0.026324302
-0.443339192
-1.941
-1.323792 -0.303271883
35.44932903
-0.113206215

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Page 6

Sheet1

Y Sharp Ratio Y Trenor Ratio X Signal Count Y Signal Count

-1.8495
-1.118971
3
0
-3.4988
-1.800449
3
0
0.3588
0.271363
0
3
-1.8859
-1.26839
3
0
-1.9443
-1.310975
3
0
-3.1032
-1.720126
3
0
-2.5095
-2.279705
0
3
0.4429
0.421668
3
0
-3.0867
-1.768131
0
3
-3.8849
-2.097222
0
3
-0.4856
-0.40841
3
0
-1.0798
-0.905878
3
0

Page 7

Buy Pair
SBIN
SBIN
IOC
BANKBARODA
PNB
SBIN
BANKBARODA
WIPRO
BANKBARODA
SBIN
KOTAKBANK
AXISBANK

Buy Pair Lot Size

125
125
1000
500
250
125
500
1000
500
125
500
250

Sheet1

Page 8

Sheet1

Buy Pair LTP

1846.65
1846.65
263.35
651.65
750.45
1846.65
651.65
401.15
651.65
1846.65
542.9
996.75

Sell Pair
ICICIBANK
PNB
BPCL
ICICIBANK
ICICIBANK
BANKBARODA
AXISBANK
HCLTECH
KOTAKBANK
KOTAKBANK
HDFCBANK
KOTAKBANK

Sell Pair Lot Size Sell Pair LTP Avg Spread

Current Spread
250
801.95 1219.838888
1044.7
250
750.45 1223.185185
1096.2
500
700.9
424.298148
437.55
250
801.95
122.407407
150.3
250
801.95
3.346296
51.5
500
651.65 1342.246296
1195
250
996.75
348.537037
345.1
1000
487.95
82.514814
86.8
500
542.9
153.461111
108.75
500
542.9 1495.707407
1303.75
500
513.95
32.592592
28.95
500
542.9
501.998148
453.85

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Sheet1

Initiate Above
Initiate Below
Min Spread Diff Max Spread Diff Current Spread Diff
1244.235666
1195.44211
-190.838888
192.511112
-175.138888
1247.648889
1198.721481
-151.485185
143.614815
-126.985185
432.784111
415.812185
-26.648148
16.801852
13.251852
124.8555551
119.9592589
-42.557407
40.842593
27.892593
3.41322192
3.27937008
-53.146296
48.153704
48.153704
1369.091222
1315.40137
-158.096296
168.853704
-147.246296
355.5077777
341.5662963
-43.987037
65.162963
-3.437037
84.16511028
80.86451772
-28.514814
31.435186
4.285186
156.5303332
150.3918888
-49.311111
79.988889
-44.711111
1525.621555
1465.793259
-207.407407
225.942593
-191.957407
33.24444384
31.94074016
-13.142592
18.957408
-3.642592
512.038111
491.958185
-77.898148
122.251852
-48.148148

Page 11