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Article from trader magazine talking about professional pair traders making heaps from the recent volatility http://www.tradersmagazine.com/news/-103588-1.html?ET=tradersmagazine:e268:52965a:&st=email

Long AEC @ 5.84 Short HME @ 35.20

closed very nice trade on thursday, significant profits on both sides Sold BKI @ 2.40 (went long 2.18) Covered IP @ 8.03 (went short 9.20)

Closed my same stock arbitrage trade on Monday for a profit Sold SU.TO(TSX) @ 28.25 Covered SU(NYSE) @ 22.12

Interesting, you cut one side and let one side run, is this a bet the market is going down? or are your trying to cut the losing side quickly and let the profitable side run? what sort of trailing stop do you use? %, $, pt-based, ATR, MA?

No currently happy with swing trading pairs, haven't ventured down the intra-day path.

Yes I increased the settings once and backtested them, found avg time in trade increased(not good) and PnL decreased, so I just figured I leave it on default, I think the guys that developed it would have tested for the best settings.

For example.......If the 50 day high of the spread is $10 and the 50 day low is $5, and I got a signal to go long stock A @ 30 and short stock B @ 39, hence betting on a decreasing spread, I would want the current spread reading to be in the top range of the 50 day spread chart, in the above...

Yes I haven't pair traded financials at all, said right at the start of the journal that I prob won't be trading them to 2010, and even then Im not sure, fat tail risk is too high. I can't wait to things settle down in the financial sector, because there are 1000's of highly correlated pairs...

You can either factor it into your trading model or simply not trade stocks with a dividend due in the next 2 weeks, go to www.earnings.com to check for upcoming ex-dividend dates. I prefer not to trade around dividend time unless I can go long the dividend paying stock and collect the dividend...

Couldn't agree more yobo, keeping it simple is my motto, and yes the ratio charts are what I mostly look at too, however I find it interesting to look at other filters out of curiosity and see what could be enhanced. Its all about continual improvement and consistent application.

walt, great to see your've done your work, studied my trades, taken it a step further and thought outside the box, all the qualities of a great trader. you've made a few good points that have made me think. with regards to a pair backtesting well, its a valid argument you present and I agree...

Walt, those are some great results for such small trade size, congrats. regarding missing days in ratio chart, you will have to contact them for help, Im sure they will fix you straight away, you may just need a database refresh, I do know however that data in the charts and data computed in...

data is automatically loaded into the program every 5 mins for free via yahoo finance, or you can pay for real time data via IQfeed(I have). intraday spread chart plots the difference between the 2 stocks using the same data. when you export data to a spreadsheet from the backtester there is a...

got me too :D

Just like that it comes back so quickly, today just closed 2 of my best trades for significant profits, portfolio at an all time high. I continue to build trust and faith in the pair trading strategy and the trading system Im using. Sold BEBE @ 6.23 Covered UA @ 16.33 Sold PUK @ 10.15...

apologies yobo, it wasn't a stab at you, more of a generalization, I know your doing well with your spreadsheet and if its working for you, keep it up!

yes i tryed to construct a pair trading system in excel and it ended up being very messy and time wasting, pt finder has been the best couple hundred dollars ive spent in my trading career as everyone can see in the journal. every professional trader i talk to uses some sort of specialist...

Sold ETE @ 20.15 Covered MGG @ 17.54 Thought Id try something different today and I placed an cross boarder pair trade, same stock arbitrage between New York and Toronto. Long SU(TSX) @ 30.90 Short SU(NYSE) @ 25.29 Currency hedge in place -> long USD/CAD @ 1.2392 Current spread...

I know IB offer combo orders as such, other than that, execution is done manually, and its an area i want to start focusing more on, that is trading like a market maker, placing bids and offers inside the spread and offering liquidity instead of taking it.