Pair Trading Strategy Journal

Pairtrade Finder does not give you a backtest of a full portfolio, nor for a date range. At least not in a summary form. You can though export for each pair an excel spreadsheet with all trade details. I presume a Virtual Basic or database programmer could extract detailed portfolio backtest info out of the spreadsheets.

I do think Paritrade Finder is worth the investment. It is doing things other pieces of software do not do. At the same time I do wish for a number of improvements, and portfolio backtest is one of them.
 
Quote from jonnysharp:

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.
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To my understanding IB offers limit orders on combos, but not stop orders. So one could enter a pair trade with a limit order, but the capability for an automated exit with a stop on the pair spread is not there.
 
Quote from jonnysharp:

....also testing time based stops is something i suggested to them too.
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I made the same request. Based on manual analysis on a number of pairs in the exported spreadsheets, seems to me results could be significantly improved with a time based stop.
Also I have the impression that a different time stop for different pairs would be better than a fixed one.
However, my sample for the test is not big enough to draw conclusions and a backtester incorporated into the program - or post-analysis of the exported spreadsheets would be of great help. Any excel/database wizards here? :-)
 
Quote from thetrendfollowe:

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 ...
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I agree also, I've programmed the whole thing myself and it was a full week of work. Even if I had some codes that I could use for some recuring features. Only think that if you get the data from Yahoo you need to look that every date is there and filter for missing dates. You really need to be a decent programmer.
But programming it myself gives me full flexibility over what I can do. There is a tradeoff.
 
Quote from Yannis:

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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.
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I was searching for such a solution.
Talking with Ninja Trader, seems to me that one could implement entries and exits for pairs by writing code for trading in an IB account. It could not be done using their 'wizard', though, and one will have to use C#. As I am not familiar with NJ nor C# I did not take this on.

I was thinking of writing EL code for Tradestation, but I am not sure whether a. solutions for trading with TS in an IB account (e.g. Ninja Trader or TWS Link) are robust enough, and b. is there an efficient way to write entry and exit modules for pairs that will use limit (not market) orders for each stock, and will follow up to ensure execution.

Anyone with EL/TS and/or NJ experience with insights on above? I would be thankful if you post or PM me.
 
I was dollar neutral on my pairs today and lost my shirt. I didnt have any financial stocks in my pairs. I did hold them hoping they come back in down the road

a few pair questions I have (newbie with pair trading)


1. with pairs and profit targets, when do feel you hit your profit target? what is a figure or formula one uses with pairs for profit?

2. when exiting pairs, do you do an M.O.C or get out when you hit your profit target?

3. In the morning when putting on pairs, I like to do it about 20 or 30 minutes after opening, what time of the day are people starting to put pairs on?

4. how does one handle news on pairs? assume Im in ED/SO and news comes out for one of the tickers, (assume the news will go against you, how do you play it or just suck it up?)

5. do you guys look at the beta of pair?


thanks again!
 
Quote from jonnysharp:

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.
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Oh man Johnny, you hurt my feelings. I have a great excel spreadsheet to analyze pairs and generate alerts. My spread sheet does everything Pairtrade finder does and probably a few things it doesn't do.
 
Quote from jonnysharp:

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.

.
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do you have a link for this?
 
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