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Closed two pairs; BDX:BCR @ 0.9031 from 0.9194 MOO:IGE @ 1.2810 from 1.2675, took a loss because they are ETFs on different industry and it seems more like a divergence.

1 fill, 1 short, 1 flat after fees. Larger on longs.

Are thoses 300 shares on many trades or just 1-2? If over 4-5, do you think comish is going to eat you up?

Got our of TXN/ADI @ 0.89 for a tiny profit after fees. Pocket change. Did not want to ride it over the ADI earnings.

Dr Who, how many stocks are there in London that are decent for pairs trading? I mean average daily volume over 500k, Market cap over 200 million and stock price over 5$ Or something around that.

1 fill, 1 long, 1 flat. Should have been a winner (0.05-0.10) but somehow I closed it when I wanted to put a limit higher. Only managed to send 1/3 of my orders, was late in the process. Back with all my charting real estate after a week of Googling to reinstall the OS. I had screwed it...

It's been on my to do list for a little while now. First, we dont trade a fix number away from the mean, we trade a fix number of stdev away from the mean (well, I can only talk for myself). The difference is that it takes into account for the "current" (recent past) volatility and it can also...

Can you reset the database of both PTF and see if they still show different results? Best would to have an exact copy. After that I will be susprised if you get different results.

2 new trades Short MOO/IGE @ 1.2675, target 1.2. ETF play. Short TXN/ADI @ 0.9058, target 0.85. Couldn't resist even with the ADI earnings coming.

A classic early close: Sold AGU @ 48.55 Covered POT @ 109.80 +1% net on the ratio (0.5% on total cash) Closed to 1/3 of my target, I will have to learn to hold.

1 fill, 1 short, 1 winner, +0.26 average. Tough times. Played the longs wide , shorts a little too. Played the insurers only on the short side with a 2x enveloppe.

New trade, short BDX @ 65.90 long BCR @ 71.68 Passed the following: BGC:ENS (earnings guidance), CPRT:KMX (correl) and TXN:ADI (ADI earnings soon).

1 fill, 1 short, 1 loser, -0.09 average. Larger on longs.

You can use the search function(OSG,jonnsharpe) 04-30-09 02:27 AM

Passed XLNX/NVDA. Went long into AGU/POT at 0.4372 even though it did not pop into my scanner (It should have).

11 fills, 10 longs, 1 short, 10 losers, 1 winner, -0.06 average.

Risk of ruin

I have my own code that I wrote in C++ probably much faster than the VB that they might be using in PTF. I can use it with 1 minute bars and scan once per minute for intraday patterns. I guess PTF is fine for daily things. I do it with the correlation, not the cointegration. Since we are...

Dont worry about that. Everyday I take over 1550 stocks and analyse all possible pairs combination (over a million). I can do that in about 40 seconds with an unoptimised code.

2 fills, 2 longs, 2 winners, +0.09 average.