Anyone familiar with pairs trading between a Treasury related ETF and a 3X ETF?
In my simple backtest, it seems pairs like YINN(Direxion Daily FTSE China Bull 3X Shares)-TMF (Direxion Daily 20+ Year Treasury Bull 3X Shares) work very good, yielding nice APR and Sharpe ratio. There are other similar pairs too.
They all involve treasury ETFs on one position and 3X bull/short equity ETF on the other position.
I am new to this topic, so not sure about the rationality here. Any risk of doing mean-reversion trading between these two animals? Any comments are appreciated!
In my simple backtest, it seems pairs like YINN(Direxion Daily FTSE China Bull 3X Shares)-TMF (Direxion Daily 20+ Year Treasury Bull 3X Shares) work very good, yielding nice APR and Sharpe ratio. There are other similar pairs too.
They all involve treasury ETFs on one position and 3X bull/short equity ETF on the other position.
I am new to this topic, so not sure about the rationality here. Any risk of doing mean-reversion trading between these two animals? Any comments are appreciated!
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