Recent content by TRADER PA

Please disrecard Pair TZA and FAZ the chart and calculation have been changed to 6 months look back instead of 3 months. PA

How do you think about these Pairs. Long GLD Short SLV return 7.80% expected http://www.catalystcorner.com/index.php?m=pair_tool&p=graph&t1=GLD&t2=SLV&datefrom=04/19/2010&dateto=10/19/2010&capital_employed=2000 Long TZA Short FAZ ( different sector) return 20.50% expected...

High WB, I read your post on the above date. Would you please clearify that the pair that divert against the trend of the market or the trend of it's own ratio should do well. I think that the RTM pair is not doing to well in bullish market like now...

Hi fredman007, I think it is very good pairs with good correlation and high cointegration. http://www.catalystcorner.com/index.php?m=pair_tool&p=graph&t1=KBE&t2=KRE&datefrom=04/18/2010&dateto=10/18/2010&capital_employed=2000 I sold this pair once when it started diverging...

Hi Jonny Glad to see you again. I was studying back test and I did not think PTF use correlation into consideration when doing back testing. I also think that RTM Pairs is not doing well with bullish market like now because the strong stocks that I short get stronger and my combos...

I just look at drawdown on P&L on backtest if the highest drawdown is to high I would cut loss at some point and wait for any sigh of reversion. I am already back in today (10/07/10) a little bit better price than when I was stopped out. PA

Hi fredman007 I get into this Pair earlier and was stopped out on 10/5/07 lost about 5 %. It look like a good pair but drawdown is continueing. SLV is very strong relative to GLD. I am planning to get back as soon as there is some sign of RTM. PA

Thanks fredman007, if I plan to keep pair overnight I trade one leg at a time usually trade the short side first then buy long sometimes I can get a better price if I am right on the direction of the stock. When I do day trade I use combo stock/stock offered by IB, sometimes I do not get the...

I am also new for Pair Trading, still checking the program and creating the system that suite me. I have a low pain threshold for drawdown and am trying to find way to screen out large draw down. If I can do that I will use largest drawdown for the past year or two as my stop loss point. I am...

I already asked Jared if he could make screening out a large draw down easier. This is his response :In version 3 we are going to add portfolio back testing which will allow you to see drawdown that includes the collated open PnL from every trade from every pair in the backtest, at the moment...

Hi fredman007 My look back period is one year, after the back test I screen out the pairs that I don't like then save the rest of the pairs. This was done about 1.5 month ago. I keep removing the pairs that have correlation < 80 from my watch list. I just...

Hi coreed and DGunz, I agree that the return are minimum. I do not trade this pair. This is a pair that has more than 10 years of data which I just showed it to jonny that I was not able to do 10 years of back test. I would go for ultra strength pairs such as QLD and SSO or QID...

Jonny I do not see my previous response to you I just want to say that as your suggestion I can test the pairs up to 10 years now. Thanks for your help, PA

Hi jonny I did specified 10 years once on one of my computer it did not work then. I tried it again as you suggested this time it was working fine, returned 37 transactions. I might have done something wrong when creating a stock group then. Thank you very much for...

Jonny below is anoter screen shot for 10 year look back of QQQQ an SPY. PA