Recent content by ar1zona

I will re-run it with an in sample before the crisis and see what happens. Could you elaborate on the data snooping part? Suppose the time is at the end of the in sample period and I dunno anything about the future, then I can not make the assumption that my in sample period was more...

Hi I know there are many pair traders out there and you all have your own tweaks so performance varies, but in general, do you find the financial crisis had a strong influence on your performance? I have been working on a pair trading model, the hypothetical equity curve from June 2000 to...

Haven't been here for a while, I am testing an opening strategy which is similar to Don Bright's OPG (which I traded before). It requires me to simultaneously buy a basket of stocks at market open and exit at market close. The basket is a hedged portfolio. So unlike the OPG strategy where you...

Thanks mercury I came up with a new sheet yesterday to test the aforementioned formula of percentage spread where I long the ratio when A1/A0 - B1/B0 < -x% and short the ratio when A1/A0 - B1/B0 > x% and get out when A1/A0 - B1/B0 = 0 where A0 and B0 are reference points I tried to use...

besides the two variations mentioned above, i still really want to try the high-low open-high thing. Both Rehoboth and Mercury77 mentioned about it but I am not 100% sure as where and when to genetrate entry and exit signals. Could someone elaborate on that please? Thanks.

Thanks for the reply. Could you elaborate on the open-high, open-low, high-low system? To summarize what I found from replies and PMs (and again I really appreciated everyone's effort), BBand doesn't work well. From my backtests in the morning BBand is too abnormal due to gaps, and in the...

Yes I have heard quite a few ways to calc this ratio. This is probably the biggest difference between everyone's models. The rest of the story (take trades when the ratios are out of whack) are pretty similar for all pair traders of all timeframes. Have never thought about adjusting for...

This is to reply your PM, from my understanding you prefer to check this thread over PM so I'm posting the questions here. It is very encouraging to know you and others are profitable with intraday pairs. At least this gives intraday-pairs-wanna-be people like me a boost in confidence. Now...

Could you expand a lil bit on that ratio please? You are the first one I heard calculating them this way. What exactly is the ratio used for? bring the spread to a certain range so it fits your chart or? And how do you go about determining the ratio, is it a different value everyday? I...

Really appreciate your advice. For 1. I guess I can try position sizing according to ATR of each stock For 2. This is actually I do right now, for example if the bollinger band is (200, 2), i first wait for the ratios to go above/below 2.2 standard deviations (give it 10% margin), then I...

Sorry I forgot to mention this I have prop firm account so there's access to real time tick data. And although I did backtesting with 1-5 min bars (from Qlink) the execution is intended to be reading tick data real time from Sterling T&S. The main reason I used 1- and 5- min bars is because...

I kind of tried both high and medium correlations. For equities I backtested, I have a sheet from someone else who used to do pairs intraday. He had 96 pairs and that was half a year ago. I retested those pairs but only a few turned out to be profitable. Even those that are profitable, the...

Hi Is there anyone here still trading equity/ETF pairs on an intraday basis? Searched some of the older threads found a few members who used to trade this way and claim to be successful. I just made an excel sheet backtesting using 1-min and 5-min bars and the results were really...