Recent content by RogerWilco

I tried paper trading on different loopbacks. When you increase stdev loopbacks you get less trades and it takes more time for them to converge, however, it slightly improves avg. returns from each such a trade. However, from the capital usage perspective I found those improvements...

If loopback is on daily data (I believe that you still use hourly prices for your loopback calcs), then I would assume that most of your trades are getting closed within 1 or 2 days period, right? What's the max loss in % you would keep before closing the trade and what is your average win %...

AFAIK PTF doesn't support intaday loopbacks. Which lookback period do you use for your STDEV calcs (I believe you're not using any correlation filters at all and you STDEV calcs are based on daily EST closing prices)?

May be I will share not the brightest idea, but why not to paper test ETF pairs (or stocks) intraday which correlate on a longer time frame ? The idea is to identify correlating profitable pairs on a 365-day range with let's say 15 days of SD loopback and 30 days of R loopback (for example...

I believe that commissions will eat all the profits, especially, on the small capitals.

ar1zona, do you need to identify pairs which converge/diverge within one day? If you're talking about regular Z distances (2.0 to track converging, <1.0 to track diverging) - there won't be much pairs like that for sure. But if you intend to maximize your profits by checking divergence...

He asks $500 for PTF or his robot, hence, he needs just 2000 purchases to make a mil. But youe can make much more (and much quicker) on prop. trading once you have a profitable strategy.

If it really had, he could have started a serious 1B hedge fund already rather then spamming over e-mails like "how to create an iPhone application and become a millionaire".

I've put together a simple Java program which reads all the stocks from Yahoo Finance, gets the 500 day historical prices for all the stocks for which it's available and then backtests each pair possible per industry (updating historical prices with latest available). As long as it...

Yes, virtually (on paper) though. I have a universe of over 800 backtested pairs with the only criterias of a) pair being correlated with avg R>0.7 over last 100 days; b) earning more then 2.5% per trade (on one side); c) having more then 8 trades a year. My current goal is to execute as...

I started my paper trading on Nov 17 and by Dec 17 I was about 4.6% when margined 100% with RegT. Out of more then 250 completed trades I lost only 12% of them with average win of around 4.5% and average loss of around 9%. Another thing I noticed is that entering correlation has no effect...

Can you guys pls share how you deal with rogue trades? I am not talking about the ones which diverge more, but more about the ones which do not converge well after diverge. For example, once in every 20 trades I usually have a pair which is loosing more money when it converges from 2.5Z to...

mpat89, I would believe this is quite a normal thing when the ratio continues to diverge until the trend reverses (which will happen sooner or later). I would be entering into a trade only when the mean trend. Also, if I notice that, while ratio is moving back to the mean, the actual...