Pair Trading Strategy Journal

[jonnysharp]

Quote from ScreenLocal:

So BIDU/GOOG would be something like 175/100 is that correct? Then I understand!

-SL

Yes close. Say I want to purchase $10,000 of each stock I divide 10,000 / share price = shares long/short.

 

[rjiecs]

Quote from jonnysharp:

Thanks yobo, you have been the most regular contributor to this journal and I appreciate that. Yes several weeks ago I was slighty down, however now Im up 21% so yes I am profitable. I'm not using pair trading to make a living atm, Im using it to grow my capital, although I expect next year or maybe 2010 I can make a living doing this, I would just have to put on more trades per month to increase the probability of being profitable every month, so if I take 15-20trades per month I should be profitable 10 out of 12 months, however if I take 100 trades per month I should be profitable 49 out of 50 months and could use it to make a living plus grow capital.

thanks everyone who has contributed to this thread. i'd had no idea how to trade pairs in stocks before coming by this thread.

jonny, on 9oct you said you were down 2.9% of your acct, but after a few trading days you were back up to 21%

does this mean the pnl varies a lot?

 

[jonnysharp]

Quote from rjiecs:

thanks everyone who has contributed to this thread. i'd had no idea how to trade pairs in stocks before coming by this thread.

jonny, on 9oct you said you were down 2.9% of your acct, but after a few trading days you were back up to 21%

does this mean the pnl varies a lot?

Yes my account doesn't usually see 20% swings in several days, but as I and others predicted when the turmoil subsided many of my pairs returned to their norm very quickly, I don't think thats a normal event only because of the craziness of the last several weeks. my profit has been growing steadily since then.

 

[rjiecs]

Quote from jonnysharp:

Yes my account doesn't usually see 20% swings in several days, but as I and others predicted when the turmoil subsided many of my pairs returned to their norm very quickly, I don't think thats a normal event only because of the craziness of the last several weeks. my profit has been growing steadily since then.

congrats! this really inspires me..i always like pair trading

i just installed the software u'r using..have some questions:

how do u add a list of stocks? i have to click and search for every single one..

have u tried other exchanges? i tried adding singopre stock exchange but couldn't find any stock..

again thanks for ur help

 

[jonnysharp]

Quote from rjiecs:

congrats! this really inspires me..i always like pair trading

i just installed the software u'r using..have some questions:

how do u add a list of stocks? i have to click and search for every single one..

have u tried other exchanges? i tried adding singopre stock exchange but couldn't find any stock..

again thanks for ur help

Yes you have to add them one by one which is a bit time consuming, i think of it as a labour of love however I think they said on their forum they are updating the program to import stock lists at once, looking forward to that.

Im only trading US stocks atm, was looking to get into LSE stocks in the nearby future but finding plenty of opportunities on the NYSE & NASDAQ.

 

[TraderBS]

Quote from rjiecs:

does this mean the pnl varies a lot? [/B]

There is a famous saying about pairs trading - that is has "twice the risk and half of the return".

 

[jonnysharp]

Quote from TraderBS:

There is a famous saying about pairs trading - that is has "twice the risk and half of the return".

We traders have a saying ''those who can't trade try to give crap to those who can''

 

[gkishot]

How long do you hold your positions on average? Do you use any recommendations from pairtrade finder?

 

[jonnysharp]

Quote from gkishot:

How long do you hold your positions on average? Do you use any recommendations from pairtrade finder?

I think my average trade lasts about 7-10 days and yes I take all my signals from pairtrade finder.

Closed one trade today for good profits;

Sold TV @ 16.45
Covered OMC @ 27.93

Opened 2 new trades;

Long GRS @ 3.12
Short EGO @ 3.38

Long BAX @ 59.08
Short GENZ @ 73.57

 

[gkishot]

Do you use a broker who pays you interest on the short side ( or at least does not charge you interest) as yobo suggested at the beginning of the thread?