Pair Trading Strategy Journal
- Thread starter jonnysharp
- Start date
apologies yobo, it wasn't a stab at you, more of a generalization, I know your doing well with your spreadsheet and if its working for you, keep it up!
Just like that it comes back so quickly, today just closed 2 of my best trades for significant profits, portfolio at an all time high. I continue to build trust and faith in the pair trading strategy and the trading system Im using.
Sold BEBE @ 6.23
Covered UA @ 16.33
Sold PUK @ 10.15 (went long this stock at 7.63 last week!)
Covered AXA @ 12.67
New trade:
Long BKI @ 2.18
Short IP @ 9.20
Sold BEBE @ 6.23
Covered UA @ 16.33
Sold PUK @ 10.15 (went long this stock at 7.63 last week!)
Covered AXA @ 12.67
New trade:
Long BKI @ 2.18
Short IP @ 9.20
Quote from Yannis:
I couldn't remember what that acronym meant -- so I googled it
got me too
Hi everybody, great thread, really interesting.
Unfortunately, Pair Trade Finder is not a "couple hundred dollars" software any more, so I'd like to ask some questions (as I've had some problems with the trial installation):
a) is it able to read a Metastock formatted database, or it is pretty much necessary to download data from yahoo??
b) what are the "imput data" for the "intraday spread chart" shown here (bottom of the page):
http://www.pairtradefinder.com/overview.php
c) I've not completely get Jonny's pointing out: "you can collate different spread togheter".... the example posted here (bottom of the page, 20 pairs, 175 trades taken and about 65k of theorethical profit)
http://www.pairtradefinder.com/tradeExample.php
is it just a sum of 20 single pair backtests???
Thanks in advance.
data is automatically loaded into the program every 5 mins for free via yahoo finance, or you can pay for real time data via IQfeed(I have). intraday spread chart plots the difference between the 2 stocks using the same data. when you export data to a spreadsheet from the backtester there is a column showing the running PnL for the pair, you can copy and paste each column for each pair into one spreadsheet, use the =SUM function to combine each column, then highlight the column and click on line chart and wala you have a portfolio equity curve, I would say this is how they have done it on their example page.
I'm using Pair Trade Finder Version 2.50727. I paper traded before trading for real starting March 5. I've made 21 pair trades of $2500 each side ($5000 total each pair) and my profit is $4004, in 14 trading days. It feels pretty good to finally be profitable in the stock market.
I now have a serious confidence problem with the software. Many of my ratio graphs skip LARGE periods of days. To confirm, in preferences, I set the Pair Watching Chart Options for the Ratio to 20 days, and then to 10 days, and called up Ratio Charts for 9 pairs. Over half of them skipped many days. On two 10 day charts, the graphs were straight lines, showing only first and last points, skipping all days in between. On several 20 day charts, the days shown are: 9, 10, 11, 12, 16, and 26. Missing are 13, 17, 18, 19, 20, 23, 24, and 26. This GREATLY skews the graph and distorts the Moving Average. This occurs on many graphs and for many Ratio periods, not just 20 and 10 days (I chose those to try to force the software to choose days that were missing in longer period charts.) With out reliable charts, I'm now loosing confidence in the software giving me reliable data to make decisions. Is there work being done to correct this problem?
Walt B
I now have a serious confidence problem with the software. Many of my ratio graphs skip LARGE periods of days. To confirm, in preferences, I set the Pair Watching Chart Options for the Ratio to 20 days, and then to 10 days, and called up Ratio Charts for 9 pairs. Over half of them skipped many days. On two 10 day charts, the graphs were straight lines, showing only first and last points, skipping all days in between. On several 20 day charts, the days shown are: 9, 10, 11, 12, 16, and 26. Missing are 13, 17, 18, 19, 20, 23, 24, and 26. This GREATLY skews the graph and distorts the Moving Average. This occurs on many graphs and for many Ratio periods, not just 20 and 10 days (I chose those to try to force the software to choose days that were missing in longer period charts.) With out reliable charts, I'm now loosing confidence in the software giving me reliable data to make decisions. Is there work being done to correct this problem?
Walt B
Walt, those are some great results for such small trade size, congrats.
regarding missing days in ratio chart, you will have to contact them for help, Im sure they will fix you straight away, you may just need a database refresh, I do know however that data in the charts and data computed in the formulas are different so It won't affect your signals, you must be doing something right to get the huge return that you have in such short time.
Refresh does not clear the problem, and opening and closing the program does not help. I did ask a month ago and the answer was strange - about difficulty in computing to get all the days in the graph properly, perhaps they did not understand my question fully. So I did send them an email today, and also posted to their forum today.
Yes, I'm pleased with the return received in my first days of live pairs trading, but I do realize that it is really, only a few days. Time will tell.
I did take a trade on Monday without hedging it, went short without buying long. I lost about $800. I really hope I will someday learn, but I still take risks when I know better.
I did a lot of analyzing of your trades, Jonny, and am grateful for your openness and sharing of your results. Thanks, Jonny.
And the ideas shared by everyone have helped me a lot. Thanks.
Walt B