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 PIZZAPIZZA:
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.
Thanks pizza il check em out.
Alright Ive had my holidays, time to get stuck back into trading, Ive revamped my watchlists and added a few more pairs, Ive got my watchlists split into industries now instead of sectors. Busy day today opened 4 new trades;
Long SE @ 16.85
Short EP @ 8.81
Long GES @ 16.08
Short JWN @ 15.20
Long MT @ 25.75
Short SID @ 15.14
Long SIM @ 5.18
Short GNA @ 7.00
Long SE @ 16.85
Short EP @ 8.81
Long GES @ 16.08
Short JWN @ 15.20
Long MT @ 25.75
Short SID @ 15.14
Long SIM @ 5.18
Short GNA @ 7.00
Attachments
Quote from jonnysharp:
Alright Ive had my holidays, time to get stuck back into trading, Ive revamped my watchlists and added a few more pairs, Ive got my watchlists split into industries now instead of sectors. Busy day today opened 4 new trades;
Long SE @ 16.85
Short EP @ 8.81
Long GES @ 16.08
Short JWN @ 15.20
Long MT @ 25.75
Short SID @ 15.14
Long SIM @ 5.18
Short GNA @ 7.00
SIM- trades less than 100k shares per day. Is that of concern?
Quote from Trend Fader:
SIM- trades less than 100k shares per day. Is that of concern?
Yes it averages a tad under 100k per day, Monday was 153k traded, it is on the low side for me, I wouldn't trade any stock that averaged significantly lower than 100k per day, however some of the these low traded stocks offer good trade opportunities as the big funds can't trade them and we can.
Hi,
Sorry if this is not the topic being discussed, but I often hear about the opening pair gap play.
This works well on paper as if the spread increases a whole bunch to play to mean revert it. But how exactly is this executed.
Stocks don't open all @ the same time, and if they do open I have to imagine the slippage of putting them both on are huge.
Could you accomplish this by sending OPG orders? But what if they post aren't filled?
I'm confused.
Sorry if this is not the topic being discussed, but I often hear about the opening pair gap play.
This works well on paper as if the spread increases a whole bunch to play to mean revert it. But how exactly is this executed.
Stocks don't open all @ the same time, and if they do open I have to imagine the slippage of putting them both on are huge.
Could you accomplish this by sending OPG orders? But what if they post aren't filled?
I'm confused.
Quote from Sky123987:
Hi,
Sorry if this is not the topic being discussed, but I often hear about the opening pair gap play.
This works well on paper as if the spread increases a whole bunch to play to mean revert it. But how exactly is this executed.
Stocks don't open all @ the same time, and if they do open I have to imagine the slippage of putting them both on are huge.
Could you accomplish this by sending OPG orders? But what if they post aren't filled?
I'm confused.
I don't play pairs via OPG, I mostly use MOC orders to get filled. Id imagine it would be difficult to pair trade this way as you would need to use MOO orders and have a prior opening price indication and like you say stocks have staged opening so your other side could move dramatically after been filled on one side. I find entering just before the close or on the close to be the most effective way to get filled.