You are using an out of date browser. It may not display this or other websites correctly.
You should upgrade or use an alternative browser.
You should upgrade or use an alternative browser.
Pair Trading Strategy Journal
- Thread starter jonnysharp
- Start date
Quote from gehko:
I've been getting hammerd this week on my pairs.
It seems like one stock in the pair does nothing and the other stock in the pair goes bonkers.
Luckily with the increased volatility it hasn't been too hard to get back the losses and then some.
how is everyone else doing?
Its been very tough. Mean reversion has not been working. I've changed my pair strategy based on the 14 day RSI and looking for a RSI spread of at least 10% and going long the stronger and shorting the weaker expecting the stock spread to continue widening. Still looking for strong correlation. This seems to be working for now as investors sell their underperformers first.
Quote from gehko:
I've been getting hammerd this week on my pairs.
It seems like one stock in the pair does nothing and the other stock in the pair goes bonkers.
Luckily with the increased volatility it hasn't been too hard to get back the losses and then some.
how is everyone else doing?
I would be having an amazing week but i've been doing all kinds of stupid shit going extra long and extra short, if i just stick to scalping my pairs i would be cleaning up....tabernac!
I'll probably be flat afer paying all those juicy bright commissions.
Quote from GGSAE:
I would be having an amazing week but i've been doing all kinds of stupid shit going extra long and extra short, if i just stick to scalping my pairs i would be cleaning up....tabernac!
I'll probably be flat afer paying all those juicy bright commissions.
GGSAE,
Are you the one who trades through the Bright Vancouver office? Just curious as to how things are different, deal wise versus being directly under Bright.
Thanks.
Quote from GGSAE:
I would be having an amazing week but i've been doing all kinds of stupid shit going extra long and extra short, if i just stick to scalping my pairs i would be cleaning up....tabernac!
I'll probably be flat afer paying all those juicy bright commissions.
GGSAE,
What pairs do you like to scalp?
Quote from yobo:
GGSAE,
Are you the one who trades through the Bright Vancouver office? Just curious as to how things are different, deal wise versus being directly under Bright.
Thanks.
I'm in Langley...deal wise, not sure there is any aside from the rent structure of being in an office vs at home, i haven't' been there long so let me get back to you...
yeah I don't think sudden & significant increases in volatility is good for open spreads because we are basing are calulations on past data when volatility was lower, however might be a good time to put on spreads. I'm finding pair trading to be very similar to selling premium. Also with turmoil in many markets hedge funds are being swamped with redemptions which means exiting positions across the board, including their statistical arbitrage trades at a loss hence increasing the divergence's currently occurring just like we had back in August last year when big funds were reporting 25 sigma events happening that were only suppose to happen once every 100,000 years. I think commodities coming off hard & fast caught a lot of funds off-guard which in turn lead to pressure on the IB's that were funding them, which created a halo effect and now we have wall street playing musical chairs except there's 1 chair for every 5 players and the music has stopped. Sell the rallies could be the mantra for a long time to come. Well that's my take on it anyway.
Exited one trade today for a profit;
Sold LOW @ 24.21
Covered HD @ 26.73
One new trade today;
Long BAX @ 66.42
Short GENZ @ 80.39
Open trades: 11
Wins: 15
Losses: 0
Exited one trade today for a profit;
Sold LOW @ 24.21
Covered HD @ 26.73
One new trade today;
Long BAX @ 66.42
Short GENZ @ 80.39
Open trades: 11
Wins: 15
Losses: 0
Attachments
I don't know johhny, i've heard from many people that once you learn how to scalp pairs then you really know how to trade and after awhile these conditions are like printing money...there's a guy here that did a million shares in a day, the opportunities in a market like this are endless.
GGSAE, I agree atm day traders would be having a ball, those intra-day moves look like 10 year SP charts, even 30sec charts are making some very nice, liquid moves. I definately want to get into intraday pairs trading as a additional trading plan to my existing swing pair trading plan. Kudos to the guys that do it everyday.