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Pair Trading Strategy Journal
- Thread starter jonnysharp
- Start date
I know there is something I dont get. Can someone point to me what it is? Dividend, rebalancement... ?
Short: IVV @ 77.89
Long: SPY @ 77.16
I know there must be something wrong but took it for the sake of knowledge. Nothing else interesting on my side.
Short: IVV @ 77.89
Long: SPY @ 77.16
I know there must be something wrong but took it for the sake of knowledge. Nothing else interesting on my side.
The Spy's just went ex-div today in the amount of 56 cents. That may explain some of the difference.Quote from total_keops:
I know there is something I dont get. Can someone point to me what it is? Dividend, rebalancement... ?
Short: IVV @ 77.89
Long: SPY @ 77.16
I know there must be something wrong but took it for the sake of knowledge. Nothing else interesting on my side.
Don
Thanks. I knew it was it but dit not find the info. Two other comish to the broker, lol.Quote from Don87109:
The Spy's just went ex-div today in the amount of 56 cents. That may explain some of the difference.
Does someone know of a place where I can get the info on ETF dividend in advance?
Quote from Yannis:
Excellent thread, thank you guys for doing this!
Does anyone know if there's software out there that would allow me to trade pairs with IB or TS? I'm mainly interested in placing limit or stop orders based on the combined price of the pair. TIA.
I know IB offer combo orders as such, other than that, execution is done manually, and its an area i want to start focusing more on, that is trading like a market maker, placing bids and offers inside the spread and offering liquidity instead of taking it.
Sold ETE @ 20.15
Covered MGG @ 17.54
Thought Id try something different today and I placed an cross boarder pair trade, same stock arbitrage between New York and Toronto.
Long SU(TSX) @ 30.90
Short SU(NYSE) @ 25.29
Currency hedge in place -> long USD/CAD @ 1.2392
Current spread implies FX rate of 1.2218, 174 pips out of whack.
Covered MGG @ 17.54
Thought Id try something different today and I placed an cross boarder pair trade, same stock arbitrage between New York and Toronto.
Long SU(TSX) @ 30.90
Short SU(NYSE) @ 25.29
Currency hedge in place -> long USD/CAD @ 1.2392
Current spread implies FX rate of 1.2218, 174 pips out of whack.
Attachments
After doing alot of work with a programmer over the last several weeks trying to code up a system using MS/TradeSim, Iv decided that the easiest and most cost-effective way to trade pairs is to in fact buy this software.
I'll still do the research on pairs myself, but once I have the pairs I will backtest and look for entries/exits using the software. Free EOD data for all those exchanges with automatic updates saves heaps of $ and time.
Jonny, good to still your still doing well.
I'll still do the research on pairs myself, but once I have the pairs I will backtest and look for entries/exits using the software. Free EOD data for all those exchanges with automatic updates saves heaps of $ and time.
Jonny, good to still your still doing well.
Can anyone tell me just how good the backtester feature is on pairtrade finder?
Can you at least backtest at the portfolio level?
Eg. If I invest $100k over the following pairs from 01-01-2006 until 31-12-2007 what is the return? drawdown? win%? average win/average loss? sharpe? equity curve?
Can you set the backtester to only test between certain dates?
Thanks.
Can you at least backtest at the portfolio level?
Eg. If I invest $100k over the following pairs from 01-01-2006 until 31-12-2007 what is the return? drawdown? win%? average win/average loss? sharpe? equity curve?
Can you set the backtester to only test between certain dates?
Thanks.
yes i tryed to construct a pair trading system in excel and it ended up being very messy and time wasting, pt finder has been the best couple hundred dollars ive spent in my trading career as everyone can see in the journal. every professional trader i talk to uses some sort of specialist software to trade with, spreadsheets are for amateurs ive learnt.
the backtesting feature is pretty basic and gives the average correlation for the backtested period, number of trades, total PnL, avg PnL per trade, you can export the results into excel where there is a running PnL column of each pair and you can collate different pairs together to construct a portfolio equity chart, however they still have a way to go with the backtesting and its something ive suggested to them and I know others have in their pair trading forum aswell, they did get back to me and say the backtesting feature is being enhanced in version 3, due out later this year, im really looking forward to testing different money management strategies using the layers and possible scaled out exits according to the +/- stdev reading, also testing time based stops is something i suggested to them too.
But as with every trading system, is not about optimizing every last parameter, its about doing what is logical, practical and keeping a diversified portfolio of different pairs from different industries is as good as form of insurance as any other.
the backtesting feature is pretty basic and gives the average correlation for the backtested period, number of trades, total PnL, avg PnL per trade, you can export the results into excel where there is a running PnL column of each pair and you can collate different pairs together to construct a portfolio equity chart, however they still have a way to go with the backtesting and its something ive suggested to them and I know others have in their pair trading forum aswell, they did get back to me and say the backtesting feature is being enhanced in version 3, due out later this year, im really looking forward to testing different money management strategies using the layers and possible scaled out exits according to the +/- stdev reading, also testing time based stops is something i suggested to them too.
But as with every trading system, is not about optimizing every last parameter, its about doing what is logical, practical and keeping a diversified portfolio of different pairs from different industries is as good as form of insurance as any other.