New trades
Long TRE @ 3.42
Short GFI @ 11.06
Long ACE @ 59.16
Short ACGL @ 47.51
Long TRE @ 3.42
Short GFI @ 11.06
Long ACE @ 59.16
Short ACGL @ 47.51
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Pair Trading Strategy Journal
- Thread starter jonnysharp
- Start date
Quote from jonnysharp:
New trades
Long ACE @ 59.16
Short ACGL @ 47.51
Hey Jonny,
A very interesting position on this trade. PairTrade Finder says to Short ACE and Long ACGL -- ie to revert to the mean, ACE must drop in price. The Ratio chart is trending the wrong way and I wouldn't trade it. I don't expect ACE to drop (or ACGL to increase) before the mean ratio increases above the current pair ratio. Also, the Spread graph is terrible.
But you have gone LONG Ace and Short ACGL. Help me with your reasoning, please. This is not mean reversion pair trading, but you must be thinking something that I don't feel secure about. What's up on this one? Or am I not reasoning this properly.
Are you feeling secure about ignoring mean reversion and instead going WITH the trend? Have you tested this?
A very interesting approach. I'll be watching this one.
Walt B
Yes your right Walt thanks for pointing that out, I did a typo, ACE and ACGL are in the wrong lines, suppose to be;
Long ACGL @ 59.16
Short ACE @ 47.51
Long ACGL @ 59.16
Short ACE @ 47.51
Quote from jonnysharp:
Yes your right Walt thanks for pointing that out, I did a typo, ACE and ACGL are in the wrong lines, suppose to be;
Long ACGL @ 59.16
Short ACE @ 47.51
As simple as that. Here I thought you were timing the trend.
I still wonder about your choice, why you took this trade? The down sides look grim to me.
Walt B
Yes I guess its a matter of opinion, to me it all looks fine, ranging ratio chart, spread at 50 day lows, 2.3 stdevs from the mean. Of course ive been wrong before, trade by trade results don't matter though.
New trades
Long IP @ 7.22
Short BKI @ 3.11
Long MGG @ 18.02
Short ETE @ 23.20
Might be time for me to wipe the slate clean, remove all pairs, perform fresh backtests and create new watchlists, Ive had the current pairs for several months now, might be collecting a bit of dust.
New trades
Long IP @ 7.22
Short BKI @ 3.11
Long MGG @ 18.02
Short ETE @ 23.20
Might be time for me to wipe the slate clean, remove all pairs, perform fresh backtests and create new watchlists, Ive had the current pairs for several months now, might be collecting a bit of dust.
Attachments
Quote from dealmaker:
Does anyone here trade the fundamentals of pairs i.e. book value, p/e ratio etc.? And do you trade portfolio of pairs or do you target just one or two pairs a day?
I trade a portfolio of pairs with a fundamental bias based on P/B, P/E, dividends, and also a technical bias based on trend and moving averages.
I think fundamentals are only necessary if your average trade length is greater than a month, since most of us are only holding trades for several days its not relevant imo, although it wouldn't hurt being on the right side of the fundamentals.
New trade
Long CMP @ 49.77
Short SYT @ 41.88
New trade
Long CMP @ 49.77
Short SYT @ 41.88
Attachments
Jonny,Quote from jonnysharp:
I think fundamentals are only necessary if your average trade length is greater than a month, since most of us are only holding trades for several days its not relevant imo, although it wouldn't hurt being on the right side of the fundamentals.
New trade
Long CMP @ 49.77
Short SYT @ 41.88
According to my Excel correlation calculations this pair is only 62% over the last 150 days. The last 90 days it's only 32%.
I don't know how to read your attached graphic so maybe you know this already. Or maybe I'm doing something wrong.
Anyway, despite the apparently poor mathematical correlation these two stocks seem to parallel each other in a fairly wide relative price channel. This could prove to be a good thing. After all we are looking for big divergence/convergence swings.
Anyway, if my correlation figures are correct it's possible you will see a big swing in losses before profit sets in.
Let me know if my correlation figures look wrong to you.
Don
Yes your right Don, im showing low correlation aswell, don't know how I missed that, first time Ive done that, anyway no biggie.
Closed a trade for nice profits
Sold PUK @ 12.00
Covered AXA @ 15.52
2nd time in the last month Ive made good profits on this pair, maybe time to slip back into financials with the low-risk industries in that space. Portfolio is at all time high.
Closed a trade for nice profits
Sold PUK @ 12.00
Covered AXA @ 15.52
2nd time in the last month Ive made good profits on this pair, maybe time to slip back into financials with the low-risk industries in that space. Portfolio is at all time high.