Pair Trading Strategy Journal

Quote from jonnysharp:

Just exited my best trade to date for massive profits

Sold ZEUS @ 25.52 (bought this one at 16.51 for a 54.57% gain!)
Covered SIM @ 6.92

Very happy today, whats that quote off the yahoo website ''I love the smell of profits in the morning'' :D
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Well done Jonny, super performance!
 
Just exited my best trade to date for massive profits

Sold ZEUS @ 25.52 (bought this one at 16.51 for a 54.57% gain!)
Covered SIM @ 6.92
More...

That's a great result.

Can I ask a question? Was the ratio way out beyond 2 std devs when you put on the spread or did it swing across the mean to negative std devs when you lifted the spread? It is just that this ratio seems to be quite 'lively' and not what I thought closely correlated/co-integrated pairs do.

I am a fan of your system and discipline and I am just trying to figure out how it all works.

best regards, triples
 
Quote from jonnysharp:

Just exited my best trade to date for massive profits

Sold ZEUS @ 25.52 (bought this one at 16.51 for a 54.57% gain!)
Covered SIM @ 6.92

Very happy today, whats that quote off the yahoo website ''I love the smell of profits in the morning'' :D
More...

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 are playing with extremely volatile pairs, but on that case you are ignoring correlation.
 

Attachments

NUE / X = 300/400, NUE has dividend 06/26.
CPB / KFT = 100/100 KFT has dividend 06/26.
CAT / DE = 100/100 DE has dividend 06/26.

Of-course dividend stocks long.
 
I am sorry if this has been asked before, but I can't seem to find a way to search within this thread only.

What are some brokers that are pair-trading friendly? IB?

Thanks,
 
Quote from ezbentley:

I am sorry if this has been asked before, but I can't seem to find a way to search within this thread only.

What are some brokers that are pair-trading friendly? IB?

Thanks,
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IB does offer the leverage friendly Portfolio Margin account where they will give you up to 6X margin for a good paired portfolio. However, the minimum account balance is $100,000 for that type. I hope that helps.
 
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