intraday pair trading

L

londonkid

Hey

I am currently looking at adding a market neutral strategy to my core strategies that I trade each day. I am executing through Sterling and chart through ESignal.

My line of thinking is to find a pair where I can get a nice revert to mean strategy going and get in on limit orders to keep costs down.

I have been playing around with some custom spreads in Esignal. things like:

1.QQQ-8*BAC
2.PEP-CCA

not that I have done anything other than eyeballing the chart on these.

some of the intraday charts look very tradeable to me. I NEVER hold overnight positions so I cant get into pairs where I have to sit for 3 days to wait for them to come back. I am looking for pairs where I can play the RTM all day long and clean up.

Has anybody got any insights or crumbs they can put out there. I am not asking people to share strategies, these things are sensitive I understand.

Best of luck and happy trading.


Londonkid.
 
Quote from londonkid:

Hey

I am currently looking at adding a market neutral strategy to my core strategies that I trade each day. I am executing through Sterling and chart through ESignal.

My line of thinking is to find a pair where I can get a nice revert to mean strategy going and get in on limit orders to keep costs down.

I have been playing around with some custom spreads in Esignal. things like:

1.QQQ-8*BAC
2.PEP-CCA

not that I have done anything other than eyeballing the chart on these.

some of the intraday charts look very tradeable to me. I NEVER hold overnight positions so I cant get into pairs where I have to sit for 3 days to wait for them to come back. I am looking for pairs where I can play the RTM all day long and clean up.

Has anybody got any insights or crumbs they can put out there. I am not asking people to share strategies, these things are sensitive I understand.

Best of luck and happy trading.


Londonkid.
More...

We get a lot of intraday action from our pairs, which probably account for 40% or more of the overall profits. I suggest you contact my pal, Rob Friesen, the resident expert on all this. Just PM me.

Don
 
i don't think pairs trading is any different than non pairs trading. or maybe i should put it this way. trading pairs has no added benefit in terms of being easier or more oppurtunity imo.

my .02
 
Quote from londonkid:

here is a 1min chart this morning (new york time) of SPY-IVV, both S&P etf trackers. looks to be a bit of play in them???
More...

nice spikes. the question is -can you get a fill on both at same time? have checked the actual trades? i'm asking cause last time i've tried something very similar-it didn't' worked in reality,while on paper looks great. just be careful double check and paper trade
 
Hey Bob

This is the question indeed. As stated I am just eyeballing candidates on a chart at present so no live testing. I guess it could be one of those where you just cannot get a fill unless it's a toxic one if you know where I am coming from.

If this is the case maybe I will have to get more inventive with spreads/pairs. These are just thoughts out loud and I am hoping others can share their insights/thoughts.

good trading to you sir.

london
 
Quote from ChkitOut:

i don't think pairs trading is any different than non pairs trading. or maybe i should put it this way. trading pairs has no added benefit in terms of being easier or more oppurtunity imo.

my .02
More...

Hey

Nothing worth having works out to be easy from my experience. I am really looking for a market neutral strat to go with my other strats. I like to execute different intraday strategies and weight up the better performing ones. I just dont want to end up being a one trick pony and then something changes and I find my one strat doesnt work anymore.

good trading.
 
Quote from ChkitOut:

i don't think pairs trading is any different than non pairs trading. or maybe i should put it this way. trading pairs has no added benefit in terms of being easier or more oppurtunity imo.

my .02
More...

The benefit is market neutrality when we see expansion or contraction....making overnights fathomable. We prefer, of course, to do "crutch pairs" much of the time, where we plan our entries in a solid, and directional pattern...and just take profits on the single stock in lieu of pairing it off. But, when we're wrong or the market suddenly changes, we simply pair off to maintain our edge.

Send PM's to me for more on all this, and perhaps we'll dedicate a full and free workshop to all this.

FWIW,

Don
 
Equity market neutral implies you are beta neutral, which may or may not mean cash neutral.

That being said, unless you've got tech like getco, you'll never be able to execute spy vs ivv profitably. You'll end up buying spy, for example, and missing your ivv hedge.

if you back test a pair, track leg profitability. It may be the case where a single leg drives the spread pnl.

gl
 
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