Recent content by tradingtrading

magon, thanks for the link and the research. It would nice if we could get some discussion going on potential pairs, and in the course of looking at them garner some insight into trades/techniques we are all using. I also think FAST/MSM is in play too.

DOV/IEX in play

Thank you for this. It is excellent. I'd be interested to know which pairs you are using, and happy to discuss this with you off this thread. No doubt you are aware of the dangers of cherry picking and then extrapolating future performance from that. If your results are consistent with mine...

sysre, You can see some of my backtested data previously on the thread. I'm interested in your results and specifically over what time period you have tested your system. For example, how did it perform in low volatilty periods and what did you note about how it performed over different...

=stdev(a1:a2) etc whereby a1:a2 just reflects the mean data over the period that you want it. So for 14 day mean it might be =stdev(a1:a14) etc

I'l interject and throw a couple of comments forward... I've found that a stop loss (whether volatility or fixed % based) will dampen down returns, but it shoud also smooth out volatility. I'm coming round to the view that it is necessary, even if the backtesting suggests its not optimal...

I'm UK based and, am not surprised by how few trades you are finding. If you want liquidity and pairs than you really have to play the US market. Your foray into the US represents a data point of one and, has no statistical significance whatsoever. Why not try again with the US?

cooper1308 ej420, Good points there. I think you might be right about stat arb underperforming in an extended bull market, and I think more real-time and back-testing is needed here. However, the question for me is whether there will still be positive expectation in this scenario. It is not...

Thanks Cooper, Apologies for the staccato nature of this post, I had written a longer version in an edit of my last post but, infuriatingly, I lost it in the 30mins time-out rule when I tried to post. Agree 100% on the need for discretion in selecting pairs. Pairs are pairs because their...

Cookie, Many thanks for your response. My pair filtering approach is similar to yours, and I'll be very happy to swap pair ideas with you off-thread. I suspect we (along with most on here) are using different entry/exit criteria based on a systematic method. Therefore, I appreciate that...

cipherscribe, cooper, and to others who are NOT using PTF... I make this distinction because I'm not using PTF either and, I'm interested in thoughts from those that are trading having already created a universe of pairs to select, and wait for entry/exit signals from them to trade. My...

Perhaps the thread has gone cold because there has been too much 'after the event' posting, and not enough swapping of live ideas that we could share? In recognition of that comment, AMAT/LRCX & DTV/CMCSA are worth looking it today...

Sincere Apologies. I mentioned i was monitoring a trade earlier. I've just looked at SPN/BJS closer and noted that BJS is undergoing a corporate action with Baker Hughes. Looks like our old favourite MAS/WHR is coming back into play.

Specific trade ideas have been a bit thin on the ground recently, so I thought I'd mention a few MCHP/INTC PII/HOG in play watching SPN/BJS