Pair Trading Strategy Journal

Exited one trade today;

Sold ABX @ 21.12
Covered KGC @ 11.13

Entered 3 new trades today;

Long AZN @ 36.84
Short DGX @ 43.94

Long AMT @ 21.58
Short TV @ 13.79

Long BAX @ 53.37
Short GENZ @ 68.00
 

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Quote from HLB:

Jonny,

do you go long and short the equal dollar amount? Or maybe you adjust for beta (or some other adjustments)?

Do you use SSFs for pairtrading?
Do you buy OTM options to hedge pairs (or at least short side)?

Let's say short Volksvagen + long Porsche + OTM calls on Volkswagen (just example, not sure how much they correlated).

HLB
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Yes equal dollar amounts on each side, im of the opinion that if you have to adjust size for volatility of each stock then the two stocks are that closely related, ideally they should have similar volatility because they are in the same industry.

No I like to keep it simple and only trade stocks, no SSFs, options or any derivatives just plain ole stocks.
 
Hey johhny how's your overall profitability? A lot of pair traders are getting whacked as many spreads are at retarded stretches.
 
Quote from rjiecs:

hey jon

how do u set up the IQ Feed connection? :confused:

also your version is quite different from mine...
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Ive got the version2 beta, im part of a group that is testing it out, you could try emailing them to see if you can test it out too.
 
Quote from GGSAE:

Hey johhny how's your overall profitability? A lot of pair traders are getting whacked as many spreads are at retarded stretches.
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Overall profitability is great, im still up over 30% since starting this journal. I know there is some dislocation occuring out there, however ive managed to put on some good trades, plus when things normalize thats when pairs quickly return to their mean.
 
Hello Jonny

I noticed that all the trades that you took on 11/19/08 are in the red as of the close on 11/21/08.
On average, how long does it take for your winning trades to be permanently in the green?
When do you decide that a trade is not viable anymore and you close it?

Thanks

Gabe
 
Quote from jonnysharp:

Overall profitability is great, im still up over 30% since starting this journal. I know there is some dislocation occuring out there, however ive managed to put on some good trades, plus when things normalize thats when pairs quickly return to their mean.
More...

Good stuff. Many spreads have been getting blown out but there's been lots of trading opportunities out there to offset potential damange....I just want to introduce a new element to pairs you probably haven't looked at, dividends.
 
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