We've recently started using stop entries for portfolios that have gone beyond 1 standard deviation. Idea is to catch them upon their return towards fair value. (VWAP & Previous Close)
Example of a trap:
Portfolio: CAT.DE
Weights: 1, -1
Previous Close: 2.49
Standard Deviation: 1.038 (14 day closing px)
When it travels beyond 3.54 a sell stop is placed at 3.44 and a limit to buy at 3.34 to target making a dime. Using stealth orders, wave sizes and priority of execution, traders are able to limit slippage enough to go for dimes! They do this across 40 or more portfolios at a time.
Thought I'd share some ideas...Happy Trading ..greg
Example of a trap:
Portfolio: CAT.DE
Weights: 1, -1
Previous Close: 2.49
Standard Deviation: 1.038 (14 day closing px)
When it travels beyond 3.54 a sell stop is placed at 3.44 and a limit to buy at 3.34 to target making a dime. Using stealth orders, wave sizes and priority of execution, traders are able to limit slippage enough to go for dimes! They do this across 40 or more portfolios at a time.
Thought I'd share some ideas...Happy Trading ..greg
