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My "trading" is just gambling and not worth anything? Ouch that hurt :(

Hahaha wow not what I expected either! Looks like i Have to step up my game for the next year!

Wow that kinda came out of nowhere...wonder what changed his perception of ACD?

I think ya got some more reading to do before you even begin to ask for the holy grail lol

Gold and Silver had a bit of a reversal today...with silver showing more strength. These things were so oversold a bounce was inevitable. Looked like some capitulation...definately going to be watching these next month/year. We missed one decent spread this month...SLV-GLD. Spread came in...

I see how it is ! JK, i'm just curious about what you have been working on in that basement as of late ;)

bump...curious about this

http://portfolios.morningstar.com/fund/holdings?t=SOCL&region=USA Some of the top holdings I've never heard of, and if your looking for the momo fix you can probably just trade some of the more volatile individual holdings :)

Never heard of it...till now lol. Looks intertesting. Whats the liquidity threshold for trading these things. I remember seeing an article that said 25,000+ shares/day led to proper rebalancing and minimal slippage/spreads.

Ideally would the trade trigger be the A-up of the actual spread or the Asset your targeting(XHB)? Charts look good btw

Pair trading is the most simplest form of Stat Arb. If pair trading is not stat arb then what is?

The weakness there has been unmistakable...when we pushed through 1700 and near the monthly A-up in the beginning of month it looked like we may get some strength. Then we broke down and on the bounce we could not even make a substantial A-up intraday. I knew something was wrong. Hopefully...

Pair trading is technically a form of arbitrage. It's called "Statistical Arbitrage" lol To the OP, sounds like you are doing some basic pair trading? If I'm wrong let me know, but ya if you introduce some leverage into the equation you could have a good approach and make some solid money...

I really liked this book on pairs. It's more based on mean reversion stuff, but I think it gives a good primer on things! I haven't came across any stuff on divergence trading of pairs though. Pairs Trading: Quantitative Methods and Analysis Ganapathy Vidyamurthy

Nice chart! Do you ever stop working John? Lol c'mon take a break you deserve it!

What ever happened to having some prudent risk management in place? You can't justify those types of commissions from your argument...any firm that has such a disregard for risk management deserves to lose money!

Don't follow any of the more exotic ones. I think you can do a search on Finviz and filter for the ETF's. They also have a neat map that lists by sector/country etc. Here's some that aren't mainstream: -JNK, LQD , IYZ, PPH, KBE, DBA

I agree with much of what you have said. But, co integration is a statistical quality of time series. If a pair is co integrated and stays co integrated it will likely be a profitable pair to trade a mean reversion approach. This is a function of the behavior of the spread. The flack that...

Nice where in So Cal? i'm originally from Sacramento, weather doesn't look too bad there...Well relative to Chicago. It actually hasn't been that bad here either, pretty mild from what i expected!

Yes same here! Happy holidays everyone! Off to California tomorrow...hopefully i will be enjoying some better weather for the holidays :)