do you ever do these futures trades
ES/NQ
YM/NQ
YM/ES
ES/NQ
YM/NQ
YM/ES
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
thanks gehko that makes sense now,
increasenow, i don't pair trade futures that game is pretty much zipped up by large funds, not much room for competition there, plus there plenty of good stock pairs out there.
Opened 2 new trades today;
Long MOT @ 4.56
Short JNPR @ 16.76
Long APA @ 71.80
Short MUR @ 50.00
increasenow, i don't pair trade futures that game is pretty much zipped up by large funds, not much room for competition there, plus there plenty of good stock pairs out there.
Opened 2 new trades today;
Long MOT @ 4.56
Short JNPR @ 16.76
Long APA @ 71.80
Short MUR @ 50.00
Attachments
Yeah baby! Those nasty open losing trades finally came back and closed them at reasonable size loss's.
Sold ROK @ 29.95
Covered WY @ 47.48
Sold FCX @ 45.37
Covered BHP @ 43.98
Sold GG @ 24.85
Covered ABX @ 28.12
Open trades: 7
Win %: 71
Win:Loss 0.64
Continuing to outperform the SP500.
Sold ROK @ 29.95
Covered WY @ 47.48
Sold FCX @ 45.37
Covered BHP @ 43.98
Sold GG @ 24.85
Covered ABX @ 28.12
Open trades: 7
Win %: 71
Win:Loss 0.64
Continuing to outperform the SP500.
Exited one trade Wednesday;
Sold ALTR @ 16.95
Covered XLNX @ 19.49
Sold ALTR @ 16.95
Covered XLNX @ 19.49
Quote from irucken:
Jonnysharp,
This is an excellent forum, thanks for maintaining the effort.
I am looking to demo Pairtrade Finder and have a question.
It uses Yahoo & Comsec as data providers.
Doesn't this mean that all of your generated signals are produced by data that is 15 mins old?
cheers
thanks irucken,
Yes data is delayed, when I get a signal, I check realtime prices in my broker platform and as long as they haven't converged significantly il enter the trade, a lot of the time il get better prices than when the prices in pt finder when the signal was generated, so i guess it evens out. I have along with other pt finder users have requested real time data and they said it will be released in several weeks which will be good, however im coping fine atm.
Closed one pair trade today for nice profits;
Sold APA @ 75.74
Covered MUR @ 43.72
Opened one new trade;
Long HD @ 19.70
Short LOW @ 18.35
Attachments
jonnysharp,
I was wondering if you have an opinion as to which indicator is your best guide to mean reversion. Is it the high and increasing correlation, or RSI? Your latest spread, HD-LOW seems to be in the middle of its range. Don't you prefer to put a spread on when its near its channel extreme? Also do you find the volatility indicator useful? thanks
I was wondering if you have an opinion as to which indicator is your best guide to mean reversion. Is it the high and increasing correlation, or RSI? Your latest spread, HD-LOW seems to be in the middle of its range. Don't you prefer to put a spread on when its near its channel extreme? Also do you find the volatility indicator useful? thanks
Also, since it seems so many spreads go against you initially, what do you think of waiting for spreads to get uglier before putting them on? I am unsure of what is better... counting on spreads to mean revert, or playing them to continue once they blow past their channel boundaries.
It seems some days they all revert beautifully, then the next day most spreads just keep getting wider.
It seems some days they all revert beautifully, then the next day most spreads just keep getting wider.