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Pair Trading Strategy Journal
- Thread starter jonnysharp
- Start date
Passed XLNX/NVDA.
Went long into AGU/POT at 0.4372 even though it did not pop into my scanner (It should have).
Went long into AGU/POT at 0.4372 even though it did not pop into my scanner (It should have).
Great job. i have you at over 150% IRR or something ridiculous like that.
FYI I'm still running > 80% IRR but my selections don't seem to make as much money as yours per trade.
But, here's something i just noticed today the last 17 trades I closed were all winners! Now I'll jinx myself.
My oldest few open ones which are typically bigger losers arn't doing bad either. Maybe i'm learning!
Mike
FYI I'm still running > 80% IRR but my selections don't seem to make as much money as yours per trade.
But, here's something i just noticed today the last 17 trades I closed were all winners! Now I'll jinx myself.
My oldest few open ones which are typically bigger losers arn't doing bad either. Maybe i'm learning!
Mike
Quote from jonnysharp:
Closed 2 trades for nice profits, portfolio at all time high.
Sold JBHT @ 25.66
Covered KNX @ 16.09
Sold TNP @ 18.91
Covered OSG @ 31.43
New trade
Long ZEUS @ 16.51
Short SIM @ 5.64
When did you enter the TNP/OSG trade? I see no signal on PTF for it in recent weeks.
Did anyone here backtested:
a. Time stop (always exiting trades if they have not reached the mean after n days, e.g. n=6 or n=8) .
b. Stoploss based on standard deviation, or percentage loss, or other criteria.
In the past I have analyzed a number of past trades and seemed to me that an overall time stop (would have improved results, but I did not look at enough trades to be statistically significant, and I do not have the tools or ability to program a backtest.
a. Time stop (always exiting trades if they have not reached the mean after n days, e.g. n=6 or n=8) .
b. Stoploss based on standard deviation, or percentage loss, or other criteria.
In the past I have analyzed a number of past trades and seemed to me that an overall time stop (would have improved results, but I did not look at enough trades to be statistically significant, and I do not have the tools or ability to program a backtest.
Quote from saratur:
Did anyone here backtested:
a. Time stop (always exiting trades if they have not reached the mean after n days, e.g. n=6 or n=8) .
b. Stoploss based on standard deviation, or percentage loss, or other criteria.
In the past I have analyzed a number of past trades and seemed to me that an overall time stop (would have improved results, but I did not look at enough trades to be statistically significant, and I do not have the tools or ability to program a backtest.
Im actually in the process, brother.
Im trialling a triple exit system.
Im entering at 10% divergence.
Adding to both positions at 15%.
EXIT either at:
1/ Reversion to the mean
2/ Maximum stop loss at 20% (that should never or very rarely get hit - pretty much a disaster stop)
3/ And time based exit after X number of days. I will have to optimise which X works best.
(Whichever comes first)
I will post the results here as they become available, hopefully in the next several weeks.
Has anybody else trialled similar sorts of exits?
Particularly time-based?
Quote from total_keops:
You can use the search function(OSG,jonnsharpe)
04-30-09 02:27 AM
I did not doubt your trade but there seems to a software problem with PTF.
The PTF software has different numbers now than the screenshot that you submitted on 4/30. They are now showing no signal on that day. Have you ever noticed this before?