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Pair Trading Strategy Journal
- Thread starter jonnysharp
- Start date
Hi
Yes Darshan ... The earning seasons is the worst period to pairs trade , it's hard to find good pairs without earning annoncement coming .
Opened monday afternoon
Long POR
Short FPL
Today
Opened
Long OGE
Short DTE
Closed ( Cleaning old positions )
CLX-CHD 0.003 % Gain
AVB-BRE 0.005 % gain
JCI-ALV 1% gain
Yes Darshan ... The earning seasons is the worst period to pairs trade , it's hard to find good pairs without earning annoncement coming .
Opened monday afternoon
Long POR
Short FPL
Today
Opened
Long OGE
Short DTE
Closed ( Cleaning old positions )
CLX-CHD 0.003 % Gain
AVB-BRE 0.005 % gain
JCI-ALV 1% gain
Quote from mike4628:
Hi
Yes Darshan ... The earning seasons is the worst period to pairs trade , it's hard to find good pairs without earning annoncement coming .
Opened monday afternoon
Long POR
Short FPL
Today
Opened
Long OGE
Short DTE
Closed ( Cleaning old positions )
CLX-CHD 0.003 % Gain
AVB-BRE 0.005 % gain
JCI-ALV 1% gain
Do you use pair trade finder?
I've been dabbling a bit with the seetings... this is what I came up with.
Under Chart options.... Correlation lookback 100
RSI lookback 14
Volitility STD lookback 14
Volatility Average lookback 100
Signal Settings
STD lookback 20
Ration Lookback 14
Stretch lookback 14
Exit 00
maximum day 15
Wondering what variable the rest of you have on there... I'm pretty sure this is what johnny sharp was using, although I'm not sure about the STD.
what do you guys have? Just curious?
Hello,
I have closed RNR-WRB pair for small loss of 0,37% today.
I have also opened few new pairs few minutes ago:
Sold ACE @ 53.77
Bought CB @ 52.21
Sold CI @ 34.42
Bought CVH @ 22.00
Sold BVN @ 37.02
Bought GG @ 45.76
Included is my overall stats. I am +6,5% (since beginning of march) on my account (without commissions), but right now have few pairs opened with open loss, so it will be interesting to watch how this unfolds.
M.
I have closed RNR-WRB pair for small loss of 0,37% today.
I have also opened few new pairs few minutes ago:
Sold ACE @ 53.77
Bought CB @ 52.21
Sold CI @ 34.42
Bought CVH @ 22.00
Sold BVN @ 37.02
Bought GG @ 45.76
Included is my overall stats. I am +6,5% (since beginning of march) on my account (without commissions), but right now have few pairs opened with open loss, so it will be interesting to watch how this unfolds.
M.
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I haven't posted on the forum for a while but those with a memory may be able to remember that I'm based in the UK and trade pairs via my spread betting account. I tried CFD's for a while but the expenses were too high.
Now that I've been doing it for a year or so, I'm looking at the consequences of spread betting rather than buying shares using a broker. No one likes to say they 'spread bet' as it just doesn't sound the same as 'investing' or 'share dealing' etc. There's something a little unsavoury about the term.
My initial reservations about spread betting was that I assumed I was going to get the worst of it by a wide margin but in reality its quite the reverse.
The world of spread betting has changed quite considerably over the past few years and as more players have come forward, the spreads have become tighter and tighter. I'm generally not much worse off than 1.5p at each end of the deal, so my average Buy share price might be 501.5p compared to 500p. But I would have broker costs of around £18 to factor in too (2 x £9 for the pair).
However, there's no doubt that overall I would be slightly better off when it comes to my gross profit if I'd dealt directly in shares rather than using a spread betting account and I've calculated that my approx £35,000 profit would have been around £37,000.
So, there ya go, dealing in shares IS better than spread betting. But hang on a minute, I've forgotten capital gains tax which, in this case would be around £4860 making my nett profit, if I'd dealt in shares, as only £32,140.
So by spread betting I end up better off by around 8% because its tax free in the UK. And on top of that I haven't needed to tie up £35,000 in capital for each deal. As I generally have around 8 pairs open at any stage, this would mean tieing up around quarter of a million pounds at any one time rather than about £25,000 with a spread betting account.
So, depending on your local tax laws, I'd advise anyone thinking of pairs trading to look a little more closely at what spread betting can offer. Spreads are tighter than you probably imagine and if you can get over the hurdle of saying the words 'spread betting' you may find it a viable alternative.
Now that I've been doing it for a year or so, I'm looking at the consequences of spread betting rather than buying shares using a broker. No one likes to say they 'spread bet' as it just doesn't sound the same as 'investing' or 'share dealing' etc. There's something a little unsavoury about the term.
My initial reservations about spread betting was that I assumed I was going to get the worst of it by a wide margin but in reality its quite the reverse.
The world of spread betting has changed quite considerably over the past few years and as more players have come forward, the spreads have become tighter and tighter. I'm generally not much worse off than 1.5p at each end of the deal, so my average Buy share price might be 501.5p compared to 500p. But I would have broker costs of around £18 to factor in too (2 x £9 for the pair).
However, there's no doubt that overall I would be slightly better off when it comes to my gross profit if I'd dealt directly in shares rather than using a spread betting account and I've calculated that my approx £35,000 profit would have been around £37,000.
So, there ya go, dealing in shares IS better than spread betting. But hang on a minute, I've forgotten capital gains tax which, in this case would be around £4860 making my nett profit, if I'd dealt in shares, as only £32,140.
So by spread betting I end up better off by around 8% because its tax free in the UK. And on top of that I haven't needed to tie up £35,000 in capital for each deal. As I generally have around 8 pairs open at any stage, this would mean tieing up around quarter of a million pounds at any one time rather than about £25,000 with a spread betting account.
So, depending on your local tax laws, I'd advise anyone thinking of pairs trading to look a little more closely at what spread betting can offer. Spreads are tighter than you probably imagine and if you can get over the hurdle of saying the words 'spread betting' you may find it a viable alternative.