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    The Long Short - Deep Fundamental Pair Trading

    WEEKLY UPDATE (-1.52%) Earnings Season: 1 Comfy_Slippers:0 Breezed through last couple of earnings seasons quite well, decided to do the same this week. Fingers caught in the Cookie Jar with OSTK (Short) opening up over 25% post earnings and UWBK (Long) opening down around the same...
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    The Long Short - Deep Fundamental Pair Trading

    Hi Claudius, Here's a good read: http://www.tweedy.com/resources/library_docs/papers/WhatHasWorkedInInvesting.pdf For those who don't want to sift through, here is an excerpt: [Please note I don't blindly follow these results and it is only part of my framework. the study is just...
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    The Long Short - Deep Fundamental Pair Trading

    No, not at all. I would prefer to avoid them. When they inevitably appear I am doing my best to make them work in my favour. Yeah great article. Burry uses FCF...... which for me, makes too many assumptions. Predicting future cashflows is hard at the best of times. Liquidation value...
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    The Long Short - Deep Fundamental Pair Trading

    [/b] Yeah same payoff diagram. the only difference being you are paid a risk premium with the oppies and get nothing long/shorting the stock. Yeah but you are still creating a negative skew. No large, multiday move will ever be in your favour. These large moves just so happen to be the...
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    Taking 410K to 4million by Year End 2010

    Nice One!
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    The Long Short - Deep Fundamental Pair Trading

    I’m of the belief that reversion to underlying value of a company is stronger than most classes of mean reversion. <b><i>Measuring the value of any company is subjective in itself and I guess this is where the edge lies.</b></i> I eliminate analysis that makes forward, unknown...
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    The Long Short - Deep Fundamental Pair Trading

    Hi Claudius, Good to hear from you. To answer your questions i'll answer in two parts. (1) Because I am not trying to replicate back tested performance, I don't have to stick to a rigid rule-set. Your backtested results probably didn't include stops so neither do you. By not employing a...
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    The Long Short - Deep Fundamental Pair Trading

    i'm on the unbundled comission structure, and most months able to generate a rebate back from the exchange for adding liquidity.. Some of the stocks are not overely liquid and paying away the spread in the long term can erode the edge. By keeping your market impact small the volatilty they...
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    The Long Short - Deep Fundamental Pair Trading

    These trades were opened on Friday: 20 Long stocks BRNC – 4.99 CEP – 3.535 CLFC – 6.69 CNO – 6.08 ENER – 7.33 FCAL – 2.995 FRME – 9.138 HAWK – 16.72 HMPR – 2.335 HTCH – 6.25 IMN – 11.285 LACO – 2.27 MIR – 11.75 NGAS – 1.586 NUHC – 3.65 RRI –...
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    The Long Short - Deep Fundamental Pair Trading

    I dabbled with traditional methods of Pair trading with mixed success... I broke even over 18 months... After commissions, spreads & margin interest, I guess you could call it a small win. The common theme was many winners being wiped out by one or two large losses... Sometimes 3-4 months of...
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    The Long Short - Deep Fundamental Pair Trading

    Each month i'll post 20 Long & 20 Short trades. Stocks will be evenly weighted & there will be no bias as to which sector they trade. The portfolio will be rolled over at the end of each month where 40 new stocks will replace the existing porfolio. I will discuss stops/position sizing/risk...
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    How is it possible to print money like hell and cause no inflation

    Well technically the seller of the securities is the one who receives the cash, not the company. This seller now decides where to allocate funds....Saving will help depress inflation, or spending will increase...
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    Taking 410K to 4million by Year End 2010

    This will be interesting to see if Neke was tempted to get involved.....
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