Pair Trading Strategy Journal

Quote from slepore:

Jonnysharp,

How are you managing the ANV/GRS trade since GRS took off? Do you have an uncle point or just stay in now that it is even more out of whack and you are well diversified anyway. I noticed GRS has had positive news in the last few weeks with positive earnings and an upgrade. Do you even take that into account, even though it is after the fact? Seems like it made a difference although in a delayed way.

Also, you mentioned you trade equal dollar amounts. Does that mean you trade stocks with equal beta's or do you not use beta?

Thanks,

Scott
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no managing at all just waiting for an exit signal, don't really care how long it takes to come back, im mainly focused on finding new trades, and don't even look at my open positions until I get an exit signal, and no on this one I didn't take the fundamentals into account, just a pure technical play, there was a 2nd layer signal on the 26th that would have significantly lowered my cost average but I choose not to play. Yes dollar neutral as in buy 10k worth of stock and short sell 10k worth of stock, simply put 10,000 / share price = shares to buy/sell
 
Quote from jonnysharp:

no managing at all just waiting for an exit signal, don't really care how long it takes to come back, im mainly focused on finding new trades, and don't even look at my open positions until I get an exit signal, and no on this one I didn't take the fundamentals into account, just a pure technical play, there was a 2nd layer signal on the 26th that would have significantly lowered my cost average but I choose not to play. Yes dollar neutral as in buy 10k worth of stock and short sell 10k worth of stock, simply put 10,000 / share price = shares to buy/sell
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You don't even look at your open positions? That is much more discipline than I have! Very nice.
 
Quote from jonnysharp:

ROI = 64% since start of journal
Annualized = 153%
SP500 Outperformance = 102% since start of journal

Also with less risk, exposure and volatility of SP500.
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That's pretty amazing... kudos to you!!!

Btw, I assume that thoses results excludes the drawdown on open positions. In other words, the roi is on closed positions only. If you were to include the current drawdown from the open positions, would your returns be as strong?

thanks,

Walt
 
Quote from jonnysharp:

no managing at all just waiting for an exit signal, don't really care how long it takes to come back, im mainly focused on finding new trades, and don't even look at my open positions until I get an exit signal, and no on this one I didn't take the fundamentals into account, just a pure technical play, there was a 2nd layer signal on the 26th that would have significantly lowered my cost average but I choose not to play. Yes dollar neutral as in buy 10k worth of stock and short sell 10k worth of stock, simply put 10,000 / share price = shares to buy/sell
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I guess that your exit signal comes from "Pairtrade Finder"?

thanks,

Walter
 
Quote from jones247:

That's pretty amazing... kudos to you!!!

Btw, I assume that thoses results excludes the drawdown on open positions. In other words, the roi is on closed positions only. If you were to include the current drawdown from the open positions, would your returns be as strong?

thanks,

Walt
More...

How did you calculate the return on the S&P?
If we take the close on Nov 20/2008 ~ 752 and the close today ~ 845 - about 14% increase in 69 days.
That will give an anual increase of 65% :confused: not 102%.
And let's not forget that we are down almost 38% for the past 52 weeks.

But I would settle for your 64% return so far :)
 
those aren't my calculations; however, I believe that Jonnysharp stated that he has outperformed the S&P 500 by 102% since August of last year (the start of his journal).

Walt
 
Johannysharp wrote:
ROI = 64% since start of journal
Annualized = 153%
SP500 Outperformance = 102% since start of journal
>>>

Johnnysharp - Hats off! And thanks for sharing.

Please clarify: This 64% ROI, at what level of maximum margin (e.g. typical 1:2, or 1:4 portfolio margin) ? Or is it calculated based on the un-leveraged capital (in which case the hat just went to the stratosphere :) )
 
Quote from jones247:

That's pretty amazing... kudos to you!!!

Btw, I assume that thoses results excludes the drawdown on open positions. In other words, the roi is on closed positions only. If you were to include the current drawdown from the open positions, would your returns be as strong?

thanks,

Walt
More...

thanks, yes its calculated on closed positions, if calculated including open returns roi would be slightly less, however that changes daily and isn't important, its not a profit or loss till the position is closed.
 
Quote from Gabe2004:

How did you calculate the return on the S&P?
If we take the close on Nov 20/2008 ~ 752 and the close today ~ 845 - about 14% increase in 69 days.
That will give an anual increase of 65% :confused: not 102%.
And let's not forget that we are down almost 38% for the past 52 weeks.

But I would settle for your 64% return so far :)
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yes as jones confirmed its how much ive outperformed the SP500 since starting this journal on 18th August, SP was 1292.
 
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