Opened 1 trade;
Long SUP @ 9.26
Short GNTX @ 8.32
Long SUP @ 9.26
Short GNTX @ 8.32
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Pair Trading Strategy Journal
- Thread starter jonnysharp
- Start date
Quote from Trend Fader:
SUP- has a $240mil market cap?
Yes I know, GNTX has a mkt cap of 1.16B, I don't mind being long a small cap stock against a larger stock. Ive decided to re-organise my watchlists into industries instead of sectors, therefore ive included more small cap stocks on my radar.
Quote from jonnysharp:
If you are referring to APA/OXY its here http://www.elitetrader.com/vb/showthread.php?s=&threadid=134253&perpage=6&pagenumber=61
Hello
I missed it because you were using a different name "ozzyarb".
Take care
Gabe
money with all this journal talk.
If you dont have this pair in your inventory, check it out. CFR and PRSP - both are strong high quality texas regional banks. On a simple term - when one moves 4 to 6 percent on the other, go against it. You can run all the other data and testing you want on it to get at a more statistical signal, but the end result will be a signal triggered about the same time.
The only real divergence was in 2/08 due to an adjustment related to earnings.
Both have great asset quality, but if one erodes relative to the other after earnings (npa/ta), be careful to see if the correleation fades. If not, its easy money over and over.
Another great pair is knx/htld. To short-to-medium haul trucking stocks. Triggers seems to manifest near the dollars, but id wait for 6 to 10 percent moves to fade or begin ranging into it slowly.
If you dont have this pair in your inventory, check it out. CFR and PRSP - both are strong high quality texas regional banks. On a simple term - when one moves 4 to 6 percent on the other, go against it. You can run all the other data and testing you want on it to get at a more statistical signal, but the end result will be a signal triggered about the same time.
The only real divergence was in 2/08 due to an adjustment related to earnings.
Both have great asset quality, but if one erodes relative to the other after earnings (npa/ta), be careful to see if the correleation fades. If not, its easy money over and over.
Another great pair is knx/htld. To short-to-medium haul trucking stocks. Triggers seems to manifest near the dollars, but id wait for 6 to 10 percent moves to fade or begin ranging into it slowly.
Johnny,
Can you go into some detail about the MGG pair? I have been eyeing this stock as a stand alone long but upstream MLP's make me nervous....thanks!
Can you go into some detail about the MGG pair? I have been eyeing this stock as a stand alone long but upstream MLP's make me nervous....thanks!