Pair Trading Strategy Journal
- Thread starter jonnysharp
- Start date
I also think you might find more success and better entry signals if instead of doing all of these 1:1, take the ratio to make the trade mroe even. In other words, BIDU is about 1.83 times AAPL so a spread can be, for example, 100 BIDU Long/Short 183 AAPL.
Chart that spread and you will see entry and exit patterns. That is how I have been doing spread trades with some success.
Chart that spread and you will see entry and exit patterns. That is how I have been doing spread trades with some success.
Thanks for your comments guys, good to see senior members chime in.
Closed first trade today:
Sold AMT @ 40.50
Covered CCI @ 36.39
Profitable on both legs.
Opened 2 new trades today:
Long GR @ 50.33
Short COL @ 51.81
Long MBT @ 64.23
Short TII @ 13.50
Open Trades: 9
I will post & update a spreadsheet at the end of each month showing closed trades.
Closed first trade today:
Sold AMT @ 40.50
Covered CCI @ 36.39
Profitable on both legs.
Opened 2 new trades today:
Long GR @ 50.33
Short COL @ 51.81
Long MBT @ 64.23
Short TII @ 13.50
Open Trades: 9
I will post & update a spreadsheet at the end of each month showing closed trades.
Bogan7, I just Googled it and saw some stuff mentioning code for Ninjatrader for trading pairs, I haven't looked into much in depth yet. There should be a week coming up in September when I can dedicate time to coming up to speed in Ninjatrader, I'll let you know if I discover anything useful.
Nice one yobo, you would have got a better cost avg than I did on those trades.
One Trade today:
Long ROK @ 46.74
Short WY @ 53.28
Open Trades: 10
One Trade today:
Long ROK @ 46.74
Short WY @ 53.28
Open Trades: 10
Just founds this thread. Very interesting!! I trade intraday pairs with The IPTS at www.daytradepairs.com The only downside is that you need Tradestation to run it.
Good luck Johnny,
I ran your last trade through my system and it did not register a buy. I also got an email alert from pairtrade finder for long F and short GM. My system again did not register a buy.
My parameters are pretty strict. I find it interesting however how my system will sometimes match pair trade finder and sometimes not.
For instance, their email alert said long F and short GM. My system did not generate the same signal. The reason being is that my system won't generate a trade unless the pair ratio is two std. dev. away from the mean and the long stock has to have an RSI of 40 or greater and short side needs an rsi of 60 or less. Ford has a 14 day RSI of 38 thus not qualifying and the ratio is also not outside the two std deviations but within it. So I wait.
Regarding your trade of ROK and WY, I see the the pair ratio is still within its normal trading range of less than 2 std deviations away from the mean. The RSI's are ok but neither are in over bought or oversold mode. Hence no buy signal for me.
Good luck. I'll be looking to take profits off the table tomorrow. Pair trading seems to be an effective strategy so far in this volitle market.
I ran your last trade through my system and it did not register a buy. I also got an email alert from pairtrade finder for long F and short GM. My system again did not register a buy.
My parameters are pretty strict. I find it interesting however how my system will sometimes match pair trade finder and sometimes not.
For instance, their email alert said long F and short GM. My system did not generate the same signal. The reason being is that my system won't generate a trade unless the pair ratio is two std. dev. away from the mean and the long stock has to have an RSI of 40 or greater and short side needs an rsi of 60 or less. Ford has a 14 day RSI of 38 thus not qualifying and the ratio is also not outside the two std deviations but within it. So I wait.
Regarding your trade of ROK and WY, I see the the pair ratio is still within its normal trading range of less than 2 std deviations away from the mean. The RSI's are ok but neither are in over bought or oversold mode. Hence no buy signal for me.
Good luck. I'll be looking to take profits off the table tomorrow. Pair trading seems to be an effective strategy so far in this volitle market.
Thanks yobo, yeah I guess pairtrade finder signals have different variables in them compared to yours, also I can tweak the parameters for how the signals are generated, interesting how one of your conditions is for the long stock to have RSI > 40 and short stock to have RSI < 60, I haven't looked into doing that, although I remember a few years back seeing a trend following system that had similar filters, RSI must be overbought to buy, did ok i think, I only use the ratio RSI not as a strict filter however I do pay close attention to ratio/RSI divergences. good trading to you.