Pair Trading Strategy Journal

Quote from jonnysharp:

Exited two trades

Sold BAS @ 6.53
Covered HAL @ 16.26

Sold WLL @ 23.93
Covered PTEN @ 9.05

New trade

Long ETE @ 20.21
Short MGG @ 18.57
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Nice Journal... Thanks Johnny...

Any thoughts on UPS - FDX... :)
 
Quote from total_keops:

One new trade
Short EWW 26.26
Long EWG 14.18
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Thats a interesting pair, a mexican ETF against a german ETF, I plugged the pair into PTF and one thing I noticed is when the pair diverges, is when it comes back to the mean it often overshoots, i.e.....much more profitable to exit at +1 or -1 stdev than 0. Ive attached a chart of previous divergences measured in stdev showing what Im saying.
 

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Quote from EdgeHunter:

Nice Journal... Thanks Johnny...

Any thoughts on UPS - FDX... :)
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I wouldn't trade this pair, FDX is very weak relative to UPS and there is a strong downtrend in the ratio chart also supported by the correlation chart breaking down.
 

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Hey Jonny,

I have the same ver of PF as you, but I don't have a "plus/minus" chart.

How did you get that ?

regards
Ivan
 
I downloaded the latest version from www.pairtradefinder.com/freeTrial.php yesterday, they added that new feature a few days ago, if your on their mailing list they sent us a update, its a free upgrade. its basically charting the current standard deviations from the mean, pretty handy to see current divergences against historical ones. also im seeing you can hold onto pair trades a bit longer or shorter, or scale in and out based on the stdev reading, like for example you could scale into a pair at -2.00 stdev, add another layer at -2.30 , then maybe scale out at -0.50 and +0.50 with a 10 day time stop, just some ideas im currently looking at...
 
Thanks mate, I am on their list but didn't get an email for some reason.

Looks like to forgot to step the rev then as your new ver is same as my old

I'll download it now


Ivan
 
IMO pair trading comparing unrelated stock, or almost any stock, seems too much effort very little reward, somewhat gimmicky. I'd rather see stock divergence compared to an ETF or underlying index opposed to another stock. But I'll observe these trades nevertheless.
 
Quote from NevouS:

IMO pair trading comparing unrelated stock, or almost any stock, seems too much effort very little reward, somewhat gimmicky. I'd rather see stock divergence compared to an ETF or underlying index opposed to another stock. But I'll observe these trades nevertheless.
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I don't see how trading a stock against another stock is more work than a stock against a ETF, and according to numerous backtests ive done, stock vs stock pairs are significantly more profitable than stock vs ETF or ETF vs ETF pairs.
 
Johnny,

updating to the new version scrambled my value adjustments a bit. What value do you have for ''Volatility Standart Deviation Lookback'', please?

Much thanks in advance!
saico
 
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