Yes I can see that. I wasn't aware that they are paying in stock, not sure how that works with my short position yet, typically with dividends the stock price reflects the dividend been paid out, so the drop in the stock price should offset the dividend payable.
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Pair Trading Strategy Journal
- Thread starter jonnysharp
- Start date
Yes I can see that. I wasn't aware that they are paying in stock, not sure how that works with my short position yet, typically with dividends the stock price reflects the dividend been paid out, so the drop in the stock price should offset the dividend payable.
how's your performance so far?
Quote from LazyLightnin:
I'm new to this too, so take this with a grain of salt. In theory a larger Std. Dev. should produce better results, but you have to look harder at why the spread has gotten so large. Make sure it isn't news or earnings related and possibly check the volume during this time to see if maybe there is heavy buying or selling going on. Either of those situations I think would make the signal unreliable. I'm sure there are other things to think of too.
Thanks for the reply, yes I will have to spend some hours backtesting. Did some initial tests today and yes the average trade is much bigger, but I need to collate the data and see the other charateristics it presents
Ivan
Quote from jonnysharp:
Looking at the ASX I think you will be able to find plenty of good pairs to trade. When backtesting, filter your pairs for above $300 average profit per trade, therefore your brokerage is well covered, but yes having low commissions is vital to any trading success, focus on good execution aswell, try and trade inside the spread, buy on the bid and sell on the ask, this small edge over time really adds up. You can change the universal stretch to 3.00 and backtest that setting, so you can see what the average profit per trade is and if its better. To reduce your commissions relative to profits try trading more volatile pairs with less size.
Thanks Jonny,
So far my search on the ASX has shown up virtually zero pairs Seems the USA being much bigger would be a better target. I've started backtesting at 2.5 stretch as I think the 3.0 would be too great. As you probably know the backtesting in PT is quite crude so it takes me a while to manipulate the trades thru excel.
From the thread it seems you have been successful with PT for your trading ?
All the best
Ivan
Quote from Ivan:
I've started backtesting at 2.5 stretch as I think the 3.0 would be too great. As you probably know the backtesting in PT is quite crude so it takes me a while to manipulate the trades thru excel[/B]
Hi Ivan,
I'd be interested in what you find. Looking back through charts RS divergence does seem to work quite well. Too bad it wasn't an automated function to detect it. Hopefully as time goes on they get more buyers of the program it will become more robust.
Someone else posted here that stochastic divergence was yielding good results when used with signals. It's probably showing the same general thing.
Lazy
anyone know how he is performing? i would love to see how effective pair trading is, however the post only shows the trade and not the pnl from the trade.
anyone know a place where i can check out the backtested performance of pairtrading?
anyone know a place where i can check out the backtested performance of pairtrading?
Quote from Ivan:
Thanks Jonny,
So far my search on the ASX has shown up virtually zero pairs Seems the USA being much bigger would be a better target. I've started backtesting at 2.5 stretch as I think the 3.0 would be too great. As you probably know the backtesting in PT is quite crude so it takes me a while to manipulate the trades thru excel.
From the thread it seems you have been successful with PT for your trading ?
All the best
Ivan
Do you have the ASX stock code list? I can see many pairs. yeah 3.0 stretch has very few trade signals. yes PT has been working great for me.
Quote from chiefraven:
anyone know how he is performing? i would love to see how effective pair trading is, however the post only shows the trade and not the pnl from the trade.
anyone know a place where i can check out the backtested performance of pairtrading?
you can see my trade results on page 71 of this journal.