Pair Trading Strategy Journal

Yeah no problem saico, anyone can post trades here, I wouldn't mind a bit of friendly competition. I don't pair trade ETF's for reasons previously stated, however with enough leverage the SPY/DIA trade could prove worthwhile.

Exited one trade

Sold AXA @ 7.87
Covered PUK @ 5.92
 
Hi Jonny,

I noticed that you do in fact take losses, but I am not sure I understand the criteria for taking the loss.

Is it time based, for example after so many months, you will close out the trade?

Or since you mentioned that you use the software to take the loss, is it due to the pairs ratio no longer being correct ie positively corelated, or is it the RSI has changed?

Thanks in advance.
 
Quote from oraclewizard77:

Hi Jonny,

I noticed that you do in fact take losses, but I am not sure I understand the criteria for taking the loss.

Is it time based, for example after so many months, you will close out the trade?

Or since you mentioned that you use the software to take the loss, is it due to the pairs ratio no longer being correct ie positively corelated, or is it the RSI has changed?

Thanks in advance.
More...

Yes as said many times before I strictly stick to the system and wait for an exit signal, whether loss or profit as determined by the system, not me.
 
Quote from oraclewizard77:
I noticed that you do in fact take losses, but...
More...
Just to make sure...
Pairs are traded cash neutral, not 100 shares versus 100 shares.
For today's trade:
Long PDC @ 3.49
Short RDC @ 11.83
Assuming a 1000$ in each stock
1000/3.49 = 287 shares in PDC
1000/11.83 = 85 shares in RDC
Profit calculated accordingly. Maybe you had some losses that where wins?
 
Quote from tatankas:

I have these books, about PairTrading:

* McGraw-Hill,.The Complete Arbitrage Deskbook
* Statistical Arbitrage
* The_Handbook_of_Pairs_Trading
* Trading Pairs Capturing Profits And Hedging Risk With Statistical Arbitrage Strategies
*Wiley Finance,.Pairs Trading - Quantitative Methods and Analysis

Anyone knows any other books devoted to pair-trading?

Thanks
More...

1-Merger Mania: Arbitrage- By Ivan Boesky
2-Risk Arbitrage: An Investor's Guide- Keith Moore
3-Convertible Arbitrage- By NIck Calamos

This a Very good thread, congrats!
 
Open new trade this morning:
Short WLL 20.94, long PVA 8.74.
Ratio 2.4, target 2, mental stop 2.75.
Missed EFX:LNC, was not there yesterday at the close, lol.
 
Quote from total_keops:

Open new trade this morning:
Short WLL 20.94, long PVA 8.74.
Ratio 2.4, target 2, mental stop 2.75.
Missed EFX:LNC, was not there yesterday at the close, lol.
More...

Good luck total.
What are the ratio std-devs for this pair? Or you aren't using std-devs at all?

Best Regards
 
More pairs increases the likelyhood of profitability. $ neutrality key as carrying losing pairs if they have continued to perform in the prescribed manner i.e. price, spread etc.
 
You must log in or register to reply here.
Back
Top