Pair Trading Strategy Journal

Although I do not post regularly to this forum, I have been pairs trading in a similar manner to those here that have followed the lead of Jonnysharp.
Like many of you, I was using pairtradefinder to select pairs and run signals.
Eventually I migrated the system over to a customizable platform in order to manage more ideas & integrate other system metrics I like.
I have now been pairs trading since March 2010 and, by the end of October, was up 12.5% on unleveraged gross notional capital ...which is quite good.
Out of the 8 months, only 2 were losers.
My win rate was 76%, with my average gain at 2.3% & my average loss at -1.85%.
...once again, quite good.
November & December have not been nearly the same, however.
Back to back losing months.

As I have customized my system from the rather simple MOC entry & reversion to the mean exit that PTF is based on, I'm wondering how those "active" traders who are still following Jared's basic method have been faring?

Thanks & happy holidays to all
 
I only trade UK stocks as I'm based there. The last few months have been rubbish for me as most of my longterm predictable winning pairs have fallen apart. I've scaled down my sizing by quite a bit.
 
Anyone have or know of any portfolio tracking software that will keep track of pairs trades, preferably with performance stats... an account equity line wouldn't be too bad either...lol
 
How to calculate the pnl from the ratio chart? What does increase in 2.3 points on the ratio chart represent? A gain of 2.3% assuming the trade is right on the direction of the ratio?
 
Have any PTF users had much success with pairs combining individual stocks and their relevant index ?

I'm UK based and on a backtest some shares seem to have worked well but I don't know how they walk forward. So it would be nice to hear of the experiences of those that have played around with that concept in the US.
 
Quote from VinMan:

PTF went to FOREX for a reason no?
More...

To make Jared more money I suspect. I'm not fully convinced that it will do him as much good as he'd hoped.
 
Anyone have a pairs platform that will connect to sterling trader, or an excel spreadsheet that can connect.

doing some research on intraday pairs trading.

thanks.
 
An update on my little experiment w/Jared's EA;
Bottom line - I'm extremely uncomfortable trading when the RR is 1:7 even though the WL rate is 95% so it was probably always going to end like this. The robot traded ten times (5 small profits and 5 breakevens) so obviously this is statistically insignificant therefore you can take from this what you will.
I readjusted the risk parameter from 5% to 1% after the robot first went AWOL. I have no explanation for this although Jared suggests there might have been a loss of connectivity (if so, it would have been measured in nanoseconds or my black ops game fanatic son would have informed me).
Then a couple of days ago I had to manually close a trade as either the robot didn't transmit the TP order or the platform didn't accept/receive it. Either way, this is not exactly the "sitting back in your armchair sipping pina coladas whilst the money flows in" mode that the industry projects.
I've got to admit though that the whole idea of having your very own little robot trading away on your behalf is quite alluring - especially when it regularly racks up profits. However the day that it doesn't will hurt, the second day could seriously injure you and the third day, if it arrives like a London double decker bus, will kill you.
The big advantage of EA's is that the TP and SL levels are not known to the broker/platform. That seems to be why most of them trade with very wide stops. Way too wide for my liking.
Also, since Dr Who's withering criticism of the MT4 platform, I am considering closing my AskoBid account and transferring funds to the devil I know Oanda.
 
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