Search results

Is there a list of bug fixes/changes for 3.03?

I am only running windows xp but I am doing this on a Mac using parallels.

My PTF 3.01 is running fine. If anything, slightly faster than 2.99. I have been running lots of backtests of multiple stock groups. No issues other than I got a memory exception when I tried to backtest 5 stock groups at once. So I now just backtest 3-4 max at the same time.

Basically I am just replacing correlation with cointegration in my process. I am using high correlation (.95+) as my first criteria. But then I am still apply all the other criteria like you mention in your post: - a good ratio chart - looking at news/earnings for stocks - etc. I am just...

I have done some quick comparisons between high correlation and high cointegration with PTF 3.01 and I am seeing much better results with cointegration. Using the same groups of stocks/ETFs with a correlation of 80% or greater the average P/L for the group is about 1.5%. For high cointegration...

This looks very similar to pairtrade finder

Yes. According to PTF, cointegration doubles the average profit per pair trade. I have started backtesting with the new version and I do see that many of my best actual pairs trades have higher cointegration value vs my losing pairs. This is just a quick reaction and I have more analysis to...

For those of you interested in Pairtradefinder. The newest version (3) was released today and has added co-integration. This should produce better results vs the prior version which was based on correlation.

coreed thanks for sharing. It looks like you are doing very well. One question, what happened to the 3/11 FFIN/FHN trade? I don't see that on your spreadsheet.

coreed I am not sure if you are understanding what I am doing. I am sticking to the system and trying to make this as mechanical as possible and maximizing the profit potential of each pair. This is just a nuance of the P&L math of the ratio over time. If you look at the slope of the MA line in...

Well this trade just got the exit signal anyway. I have had too many good trades reverse the next day after almost exiting with a profit. So I added this trading rule to look ahead one day. Occasionally I give up a bit on the upside but in my experience I have preserved more profit this way and...

Just closed CY/FCS for a nice gain. Thanks to coreed for the trade idea. I closed before I got the signal and it might get an exit signal today anyway. But a bird in the hand..... I will exit early if it looks like the ratio has hit tomorrow's mean range. See the chart below. I used...

Entered new pair: Long SWN Short UPL This has been one of my better pairs. Hope it stays that way.

salco, how have you setup tos to trigger signals? I also use tos and would like to know how to do this. Thanks.

No

Bigsalid and jones: I am calculating individual trade return then an average of all wins (losses). So if I am investing 10,000 for each pair then my trade return (p&l) is trade return/loss divided by 20,000. I am using the pair trade finder software and sticking pretty much to it's...

144 trades since 8/2009. Win rate 72.2% Ave win 1.45% Ave loss 2.18% There is some learning curve in these numbers and lately ave win/loss have been the same. I had a couple of larger losses that I let run too long. Now I am better about cutting losses. Have also gotten a bit better at...

Briefing.com has upgrades/downgrades and I signed up for their email updates. Their morning update includes this list. I also check the news on each one of my pairs before the market opens. This quickly gives me any up/downgrades but also any other news that could impact the position. I use...

You are correct, the dividends do tend to even out over time. At first I didn't pay attention to them but now I check them (in particular short side) along with earnings release dates before placing trade. If it is a small div then I might just go ahead but the larger divs obviously create a...

Meant to say this 1-2 day trade.....close out before you have to pay dividend.....