PAIRS TRADING STRATEGY IN THE BIST100 INDEX: THE EFFECTIVENESS OF THE DISTANCE METHOD AND THE ROLE OF THRESHOLD LEVELS

Öz

This study aims to evaluate the applicability of the distance method in the Borsa Istanbul (BIST) 100 index, assessing the financial performance of the strategy in emerging markets. A dataset comprising stocks from the BIST 100 index, covering the period from August 4, 2020, to July 28, 2024, was used in the research. The study provides a detailed examination of the impact of threshold level selection on the profitability and risk-return profile of the strategy. The analysis results show that threshold levels significantly affect the strategy's profitability. Higher threshold levels (±2.5σ) improve the win/loss ratio by offering fewer but more profitable trades. In contrast, lower threshold levels (±1σ) increase trading frequency but reduce profitability. While the strategy offers higher absolute returns, its risk-return ratio is lower due to volatility. These findings suggest that the distance method can be effectively applied to the BIST 100 index and that the careful selection of threshold levels is critical for optimizing the strategy's performance. In conclusion, it has been determined that the distance method is applicable in emerging markets and that threshold levels have a significant impact on the strategy's profitability and risk profile.

Anahtar Kelimeler

• Pairs trading
• Distance method
• Financial performance

BIST 100 ENDEKSİNDE İKİLİ ALIM-SATIM STRATEJİSİ: UZAKLIK METODUNUN ETKİNLİĞİ VE EŞİK SEVİYELERİNİN ROLÜ

Öz

Bu çalışma, uzaklık metodunun Borsa İstanbul (BIST) 100 endeksinde uygulanabilirliğini inceleyerek, stratejinin gelişmekte olan piyasalardaki finansal performansını değerlendirmeyi amaçlamaktadır. Araştırmada, 4 Ağustos 2020 ile 28 Temmuz 2024 tarihleri arasındaki dönemi kapsayan BIST 100 endeksindeki hisselerden oluşan bir veri seti kullanılmıştır. Çalışmada, eşik seviyelerinin seçimlerinin stratejinin kârlılığı ve risk-getiri profili üzerindeki etkileri ayrıntılı olarak incelenmiştir. Analiz sonuçları, eşik seviyelerinin stratejinin kârlılığını önemli ölçüde etkilediğini göstermektedir. Yüksek eşik seviyeleri (±2,5σ), daha az ancak daha kârlı işlemler sunarak kazanan/kaybeden oranını iyileştirmektedir. Buna karşılık, düşük eşik seviyeleri (±1σ) işlem sıklığını artırarak kârlılığı azaltabilmektedir. Strateji, daha yüksek mutlak getiriler sunsa da, volatilite nedeniyle risk-getiri oranı daha düşüktür. Bu bulgular, uzaklık metodunun BIST 100 endeksinde etkin bir şekilde uygulanabileceğini ve eşik seviyelerinin dikkatli seçiminin stratejinin performansını optimize etmek için kritik olduğunu göstermektedir. Sonuç olarak, uzaklık metodunun gelişmekte olan piyasalarda da uygulanabilir olduğu ve eşik seviyelerinin stratejinin kârlılığı ve risk profili üzerinde önemli bir etkiye sahip olduğu tespit edilmiştir.

Anahtar Kelimeler

• İkili alım satım
• Uzaklık yöntemi
• Finansal performans

Kaynakça

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