One new trade;
Long ANV @ 3.77
Short GRS @ 5.55
Long ANV @ 3.77
Short GRS @ 5.55
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Pair Trading Strategy Journal
- Thread starter jonnysharp
- Start date
Quote from jonnysharp:
SD doesn't show on the charts and you don't need it too. In your preferences for signal settings and in layers, the number used for pair stretch is the same as standard deviation, so if your pair stretch is 2.00 and your 2nd layer is pair stretch 2.30, you will receive an entry signal when the pair deviates 2 stdevs and another signal at 2.3 stdevs.
I like that 2nd layer signal. Jonny, I wouldn't have any idea about how to set that w/o your instruction. Thanks. I've also set a layer 3 and 4 at 0.3 SD intervals. Don't know it that will ever trigger, but why not.
wb
Jonny,
Question for you. I have pair trader finder and V/MA came up as a trade, did you take this? If not, why not? I am just trying to pinpoint when I get in and when I dont.
Question for you. I have pair trader finder and V/MA came up as a trade, did you take this? If not, why not? I am just trying to pinpoint when I get in and when I dont.
Quote from waltbx:
I got a Layer 1 and 2 signal on TGP/TOO (Spread dropping) Good trade?
Your trade today ANV/GRS the spread is increasing. How does that factor in? I would think an increasing spread is favorable.
wb
Yes I got in at a spread of $1.78, my trade in this same pair on the 9th was at a spread of $1.12, both times ive bet on the narrowing of this spread, yes the spread chart has ticked up but overall its in a downtrend, that is technically ANV is stronger than GRS.
Quote from hucriel1615:
Jonny,
Question for you. I have pair trader finder and V/MA came up as a trade, did you take this? If not, why not? I am just trying to pinpoint when I get in and when I dont.
I didn't have this pair on my radar, ive added it now as its got good correlation at 96% plus they are 2 very similar business's which makes for a good pair. Yes I see the entry signal generated on Wednesday, yeah I would have taken a good look at that trade, going over the charts seems ok.
Quote from bwolinsky:
So I guess no one told you there's no significance between a stock priced at $100 divided by a stock priced at $1. It's a waste to just look at the ratio.
The twenty or so steps beyond that chart are what makes the big money, and distinguishes between an amateur and the quant.
So I guess no ones told you to get off your high horse?
Has anyone on this thread done opening only strategies. If so, how would you compare that strategy to pairs trading as far as consistency, risk, difficulty, etc. Obviously to each his own but just curious for some input. Don Bright starts his student with Open Only orders but pairs trading appears lest risky to me?
Quote from jonnysharp:
Yeah sure, here is a spreadsheet with all my trades exactly as entered in this journal. Profit/loss is based on $10,000 invested in each trade. As you can see the majority of my profits have been made on the short side and my performance has improved since starting this journal.
Jonnysharp,
Thanks for staring this thread and posting your excel sheet of trades. Great to see you are improving so much. Have you increased your share size as you improve?
Exited one trade for profits;
Sold GFI @ 9.67
Covered AU @ 27.69
Sold GFI @ 9.67
Covered AU @ 27.69