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Nice analogy, and thanks for clearing it up for me. So it seems like PTF users may be approximating cointegration by trading non-trending ratio charts, and entering when pairs are see at high deviations from the spreads mean point. Walt may have a point about scanning stocks based on their...

No trade is suicidal unless your position size is too big. Jonny has stressed many times that he only trades small position size relative to his account. This seems to be a sticking point for pair trading criticism. No single trade is important in the scheme of 1000 trades. Fundamentals, I...

Treve, Keep your head up. Yea, last week was pretty awful for me also. I have one pair that has eaten into my profits, to the extent of around 20% of the position size (CEPH/VRX). However I don't yet have enough trades to make any significant statements, and I'm not going to start...

Hi Angelo. True, Jonny's trades have alot of subjective choices added in. Thank you for your links. Perhaps you can crystalize my thinking. As I understand it is that if two prices move in the same general direction, then they can be said to correlate. However If one is moving in the...

Jonny, On my radar, this trade showed an exit yesterday. Did you not clear out on this one, or are you still holding it? Cheers, Adrian

John, I should probably think more about your post before answering, but your post raises questions that I had been pondering also. For example, just because I filter my universe of pairs based on correlation and %/$ profit, does that mean I am cherry picking the best pairs going forward...

Some good information to think about. I guess it really comes down to whatever works for the individual. Certainly cointegration seems to be the valid method from a mathematical perspective, but correlation seems to be a reasonable facsimile, going by the results of Jonny's trades. What...

Neo, As I understand it, MOC orders are independent of broker. The exchange offers what is known as a closing auction. This auction can sometimes be an execution spread of prices, with the average being the closing price listed on Yahoo. Ie sometimes you will get an improved/reduced price...

I get MOC orders on NASDAQ stocks through IB no problems. Most of the the time the execution price is the closing price.

Yes, I have. I have entered a trade, then the next day, it reverted to 'watching'. A bit of a sticky issue, but not enough for me to stop using what I see as an excellent tool. Adrian

I figured I'd add them up just for the hell of it and see. The beta's average higher on the longs than the shorts (Yahoo data)..... Average Beta Long: 1.324 Average Beta Short: 1.314 Nice and close tho, having not really bothered with it from the start. There are some discrepancies...

Hi Tatankas, No, no note of betas. It's not one of my filters, but occasionally I will check when something else looks a bit awry - like larger than normal price differences between the pairs. I'm currently holding 6 pairs. Adrian

I've noticed a strange occurance with my portfolio of pairs. Even though I am following Johnny's suggestions, and trading dollar neutral, so i'm short and long an equal number of equities and $$ figure, my portfolio seems to either stand still or creep forward an inch during positive days, or...

It's been a while since I posted, and hats off to you Johnny, great job on achieving your results. I'm re-reading the journal now that I have time to start trading again, and I have a question regarding your recent MA-V trade. A recent post you mentioned a rule based on bullish/bearish...

Some great info here, thanks to the contributors. That ratchet effect of Parrondo's Paradox is a nice example of how stop losses that are too tight can affect your equity in what would otherwise be winning trades. Unless I read the article incorrectly... I currently use Amibroker for...

Tough day. Up +3k by 9:00am thanks to PRU and a couple of others, but whittled away the rest of the day down to +158.

I'm fairly new to the thread and was wondering what the significance is in # shares traded?

IMO, we have only seen the initial fear selloff. The poor economics of the next 2 years will hit companies fundamentals', causing a much larger selloff based on revised valuations. I just hope we maintain this volatility. It's fantastic for day trading!

Wow! Oil hit an overnight high of 66.97. Not far to your target. Nice.

Do any successful day traders here have daily account level profit targets? Ie: you have a 50k account size at 9:30am. If your realized and unrealized PnL hits some figure, like 5k, you close all open positions and finish for the day? Clearly not an option for swing traders - just those...