Well, the more I look into it, and the more profitable systems I compare Pairs Trading QID QLD 2.0 and the original to, the more I realize I have the best trading system in the world.
With an APR a little greater than 200% leveraged, with dd around 20%, calmar of 10, sharpe above 2, I have yet to find anybody with research that good, even from a backtest, especially for systems generated during the past two years. It was kind of a pyramiding approach. As each successive new portion of the script was added, the underlying basis became quite obvious, buy when everyone's selling and sell when everyone's buying. It's not quite contratrend, because of the brief holding periods, and seeks to catch temporary swings down during the long term trend.
Step 1 of finding the edge is completed, now it just takes time to compound for about 40 years.
Along the way other systems came along, but none quite as easily traded as my pairs model. Still waiting for Jack's system to turn a year old. I think some unforseen event will spark heavier volume in SPX, till then it hasn't had a statistically significant number of trades.
Pairs trading is discussed on the internet, but is never explained correctly. The idea of a pairs trade is to find two <i>nearly perfectly</i> correlated securities, be it negatively or positively correlated. When you find these pairs, building the system is quite easy. Simply optimize on the pairs you have and move on to the next one. It's never been clear to me why the QID and QLD model works the best. SDS and SSO seem to have some internal directional problems being composed of more than 500 securities. I'm thinking 100 securities as part of an index move more closely in the same direction than 500.
Just my thoughts for the day going into this week.
As I posted Friday, it looks like we need a 3% move to trigger a trade short in QID, but QLD's predicted value keeps moving higher. If we do move higher on Monday by 3%, what it will come down to is whether QLD will be predicted to go higher Tuesday as evidenced by its projection on Monday night. If any of the predicted values point to a higher market, we would stay out. The last time that happened, I had just purchased QLD at 78 to sell at 73.4. The next trade in QLD did not occur until it had reached below $25 because our projected values pointed to a lower market the entire time, so if anybody still thinks what I've done is random or luck I would say to them it kept me out of the worst performing quarters of my lifetime. For that reason, I'm sticking to this plan called Pairs Trading QID QLD 2.0.
With an APR a little greater than 200% leveraged, with dd around 20%, calmar of 10, sharpe above 2, I have yet to find anybody with research that good, even from a backtest, especially for systems generated during the past two years. It was kind of a pyramiding approach. As each successive new portion of the script was added, the underlying basis became quite obvious, buy when everyone's selling and sell when everyone's buying. It's not quite contratrend, because of the brief holding periods, and seeks to catch temporary swings down during the long term trend.
Step 1 of finding the edge is completed, now it just takes time to compound for about 40 years.
Along the way other systems came along, but none quite as easily traded as my pairs model. Still waiting for Jack's system to turn a year old. I think some unforseen event will spark heavier volume in SPX, till then it hasn't had a statistically significant number of trades.
Pairs trading is discussed on the internet, but is never explained correctly. The idea of a pairs trade is to find two <i>nearly perfectly</i> correlated securities, be it negatively or positively correlated. When you find these pairs, building the system is quite easy. Simply optimize on the pairs you have and move on to the next one. It's never been clear to me why the QID and QLD model works the best. SDS and SSO seem to have some internal directional problems being composed of more than 500 securities. I'm thinking 100 securities as part of an index move more closely in the same direction than 500.
Just my thoughts for the day going into this week.
As I posted Friday, it looks like we need a 3% move to trigger a trade short in QID, but QLD's predicted value keeps moving higher. If we do move higher on Monday by 3%, what it will come down to is whether QLD will be predicted to go higher Tuesday as evidenced by its projection on Monday night. If any of the predicted values point to a higher market, we would stay out. The last time that happened, I had just purchased QLD at 78 to sell at 73.4. The next trade in QLD did not occur until it had reached below $25 because our projected values pointed to a lower market the entire time, so if anybody still thinks what I've done is random or luck I would say to them it kept me out of the worst performing quarters of my lifetime. For that reason, I'm sticking to this plan called Pairs Trading QID QLD 2.0.
