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FYI a couple of trades Friday and Today (Monday). I won't clutter Jonny's journal with my trades, but someone thought my use of expected ratio and expected profit was interesting. My trade size is $2500 each side. A pair entered Friday: Long CS @ 30 Short LYG @ 4.29 Ratio 7 Expected...

Stock was actually Barclay BCS. WB

Thanks for this, Jonny. I'll try to put it into practice. I'll add it to by worksheet spreadsheet. I don't understand what you mean by "fade that direction." Also Saico's tip about avoiding pairs that resist going into the top 1/3. "...that resists at least in the upper 3rd of its recent...

Yah, well, thanks, but I took some losses soon after my post. "Pride goeth before a fall." My profit is down to $3200. I'm not complaining, but thought I'd be straight with you guys. One large loss was a short on BARC (Barclay), a financial. The day after I sold it short, good news came...

Yup, John, I should have said about 36 industries, not sectors. Walt B

I haven't counted my pairs before and did today. I have about 250 pairs, about 550 stocks, and about 36 sectors if I ignore the sectors with only 2 or 3 stocks. The number of pairs per sector varies from 1 or 2 to 40 pairs in Asset Management, which is a new sector I'm exploring. Each pair...

I'm also thankful. I've learned a lot here. In my experience, the refresh ability of PTF with the free data has problems. Sometimes I'll shut PTF down and reopen it to force a refresh. That being said, the software is amazing and has generated information that resulted in a large amount of...

Ratio Mean is the mean average of the ratio, a Moving Average. 20 days. Backtest results in PTF do include all trades (but note that it calculates the profit using the LAST signal values, not the first. So if the layer 2 or layer 3 signals are more profitable, and they always will be, it...

Here is what I did. I'm grateful for the guys who know much more than I do for sharing. I learned from them, especially Jonny. I have read each and every one of the posts listed in this journal, and copied notes into a word processer to use as a training guide. I'm treating it as a...

Refresh does not clear the problem, and opening and closing the program does not help. I did ask a month ago and the answer was strange - about difficulty in computing to get all the days in the graph properly, perhaps they did not understand my question fully. So I did send them an email...

I'm using Pair Trade Finder Version 2.50727. I paper traded before trading for real starting March 5. I've made 21 pair trades of $2500 each side ($5000 total each pair) and my profit is $4004, in 14 trading days. It feels pretty good to finally be profitable in the stock market. I now...

BAS/HAL ended up being one of your largest losses. I've studied the chart you attached to the January post, and studied my graphs of the pair, I've checked the news for the pairs back in January, and I cannot see why the trade should not have been taken. (Except that historically, this pair...

Hey Jonny, are you still in the BAS/HAL pair (1/12/09), or did I miss the close of the pair? Walt B

To calculate the profit from the change in ratios I think this formula will work. The (% profit) = (% change in the ratios)/2 The following is from my spread sheet on recent trades: Example 1: The ratio moves up 9.3%, the profit is 4.7% Example 2: The ratio moves up 23%, the profit...

Over a period of years, are pair trades more successful during periods of higher volatility, and less so during periods of lower volatility. Walt B

I was hoping to find data already calculated. I don't have the stock data (there are about 120 stocks) and, yes I could enter the SD formula, but havn't done that before. It seems simpler to just get the SD, Volatility or will Beta also be satisfactory for the purpose? wb

The trading stragegy we have been examining is mean reversion pair trading, dollar neutral. Something I'm beginning to look at, using the data from Jonny's spread sheet is Unilateral Pairs Trading. One assumes that of the two stocks in the pair, one is the cause of the divergence from the...

I wish it were this simple, and unless I'm misunderstanding something here, this won't work. It is an increase of 18.18% in the ratio, but the profit won't fall out by multiplying that by one side of the leg. Am I missing something? WB

I got a Layer 1 and 2 signal on TGP/TOO (Spread dropping) Good trade? Your trade today ANV/GRS the spread is increasing. How does that factor in? I would think an increasing spread is favorable. wb

I like that 2nd layer signal. Jonny, I wouldn't have any idea about how to set that w/o your instruction. Thanks. I've also set a layer 3 and 4 at 0.3 SD intervals. Don't know it that will ever trigger, but why not. wb