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What you think of ATR? Adjust leverage based on ATR, does not makes sense to you?

Don, Imagine the following scenario: Stock A beta is 1 Stock B beta is 2 You short 1k stocks for stock A and long the same amount for stock B. The market goes down 15% in 10 days, most probably your long side will lose more than your short side, since the beta difference. You are...

There are different ways to calculate beta. You can use different time period and index reference. E.g. from yahoo help page: The Beta used is Beta of Equity. Beta is the monthly price change of a particular company relative to the monthly price change of the S&P500. The time period for...

Walt, according to yahoo finance CVI beta is 2.26 while DK is only 1.19. This could dissuade a dollar-neutral approach. But, i have some doubts about yahoo finance beta calculation. Any idea how many days are considered and what is the reference index?

What was your stop? How are you setting your stops?

Not for me, I am still not trading financials.

It's just me, or lately it's almost impossible to find decent pairs?

I also can't understand this trade. According to my charts and to PTF, the ratio crossed mean ratio 1st of June. It's possible that you had some luck and missed the exit signal, Johny? Just a quick note, it's almost impossible achieve such high performance on a single trade, unless you...

According to yahoo finance TCO closed @27.94 and SPG @54.59 . Are you not trading in the end of the day, or these were the prices you got with IB MOC orders? Thanks

No more than 10% on each position, and you will be fine :)

"It's a market of our own allowing us to profit" . Sorry, this sounds great, but I can't understand it. Why the big players would ignore the opportunities you are taking? What's so special in this strategy, that hedge funds are not able to exploit it?

The trade was opened 15th April. The loss should be around 3.5%. Besides the loss, there is the opportunity cost and interest you have to pay on some short positions or if you are leveraged. Anyway, John mentioned it was a smaller position than usual. But you raised a very important...

Imagine: ratio=1.1 Average ratio for last 14 days= 1 Percent from the mean is 10% . PercentFromTheMean it's a indication of your possible profit. But do not forget ratio and average ratio, is changing every day. If you trade pairs where the percentfromthemean is to low (<3%), you...

Total, how are you doing? Can you share your statistics? I am asking, because I am following a different aproach. These 2 pairs are techically very strong, but EV presented results today : " Analysts say flows weaker than expected (Updates with analyst, executive comments; comparatives...

From IB WebSite: "An account must have at least USD 100,000 (or USD equivalent) in Net Liquidation Value to be eligible for a Portfolio Margin account" With less than 100k i think you have to open a cash account, where you does not have the option to use margin, when trading stocks...

I am interested on Rob Friesen's book "Art of the arb ", if anyone wanna sell it at a reasonable price please PM

Any thoughts on the pair UTEK(long)-XXIA(short) ?

Backtesting has one problem. Probably your backtest will consider trades triggered by news specific to a particular stock. I guess you will not enter a trade, when the deviation is justified by recent news, but your backtest will consider that trade, and somehow corrupt the final results...

If, your short-side beta is much larger than your long-side, you are losing market-neutrality, and in fact, betting that the markets will decline (what seems a good option, right now :-) ). Can you get the beta((from yahoo) for your short stocks, and compare with your long stocks beta? A...

Interesting. Are you taking note of stocks beta? Can you calculate average beta for short and long sides? How many pairs are you holding?