New trades
Long LNN @ 39.69
Short BUCY @ 25.43
Long MET @ 27.71
Short PRU @ 31.00
Long LNN @ 39.69
Short BUCY @ 25.43
Long MET @ 27.71
Short PRU @ 31.00
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Pair Trading Strategy Journal
- Thread starter jonnysharp
- Start date
Quote from jonnysharp:
New trades
Long LNN @ 39.69
Short BUCY @ 25.43
Long MET @ 27.71
Short PRU @ 31.00
I'm confused about the LNN/Bucy pair. According to Pairtrade Finder, the signal was given on May 1st- Closing Prices 39.37 and 23.36. You seem to have put on the trade much later at very favorable prices. Could you explain the difference and what strategy you employed to wait for a better entry price?
Isn't it just about how you set the parameters? If your system triggered on may 1st you may want to have a look at that! I dont trade LNN because it has not enough volume but this pair would never have triggered in my screener (my own code, not PTF).Quote from neospecialist:
I'm confused about the LNN/Bucy pair. According to Pairtrade Finder, the signal was given on May 1st- Closing Prices 39.37 and 23.36. You seem to have put on the trade much later at very favorable prices. Could you explain the difference and what strategy you employed to wait for a better entry price?
This is an excellent thread and I have enjoyed reading it from start to finish. J-sharp deserves serious credit for following through all this time. Two questions if I may:
Does anyone make beta adjustments on either a total portfolio or individual trade basis?
If so would you mind sharing thoughts / methods used?
This could be a way to smooth performance and thus make the pair relationships the true crux of the account. Not to mention that placing / lifting the hedge could offer an extra chance to buy low/sell high. I'm assuming that SPY would be the vehicle of choice more often than not.
I thank all in advance who have insight on this issue, and would especially like to hear from Don Bright or any of his traders. This seems like something they may do or at least have considered.
Does anyone make beta adjustments on either a total portfolio or individual trade basis?
If so would you mind sharing thoughts / methods used?
This could be a way to smooth performance and thus make the pair relationships the true crux of the account. Not to mention that placing / lifting the hedge could offer an extra chance to buy low/sell high. I'm assuming that SPY would be the vehicle of choice more often than not.
I thank all in advance who have insight on this issue, and would especially like to hear from Don Bright or any of his traders. This seems like something they may do or at least have considered.
I think it makes sense to make beta adjustment on each pair trade, not on portfolio level.
On each pairtrade you have 2 choices, or you exclude stocks with large beta difference or you position size your trade, according to each stock beta, otherwise you are losing market-neutrality.
I am following the first approach for now.
On each pairtrade you have 2 choices, or you exclude stocks with large beta difference or you position size your trade, according to each stock beta, otherwise you are losing market-neutrality.
I am following the first approach for now.
New trade:
Long MFC @ 18.90
Short PRU @ 43.00
Long MFC @ 18.90
Short PRU @ 43.00