Pair Trading Strategy Journal

Quote from thetrendfollowe:

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?
More...

Backtesting has one problem.
Probably your backtest will consider trades triggered by news specific to a particular stock.

I guess you will not enter a trade, when the deviation is justified by recent news, but your backtest will consider that trade, and somehow corrupt the final results.

Anyway, i am deeply interested on your results, but I think you are not doing the right way.

You should not enter and exit on a % divergence, insted you should enter on a x std_dev from the mean.

10% from the mean, could be 4 or 5 std_devs, on extremely correlated pairs, and most probably never get hit, where the same 10% can be just 0.5 std_devs on low correlated and high volatil pairs.

How are you planning to do the backtesting? What software?
 
Quote from neospecialist:

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?
More...

Yes, I have. I have entered a trade, then the next day, it reverted to 'watching'. A bit of a sticky issue, but not enough for me to stop using what I see as an excellent tool.

Adrian
 
I was just going to email them about a similar issue. I've noticed that I sometimes get different messages for pairs at different times I open the software. Not quite certain how this works out but can only assume intra-day prices can fire off the entries and exits.
That said it happens rarely enough for me for it not to be a problem. And in any case, I usually have PTF open most of the trading day...
 
Quote from tatankas:

Backtesting has one problem.
Probably your backtest will consider trades triggered by news specific to a particular stock.

I guess you will not enter a trade, when the deviation is justified by recent news, but your backtest will consider that trade, and somehow corrupt the final results.
More...

LOL big call don't you think?
Considering you don't even know who you are talking to.

I trade right now and I never look at announcements or watch finance news.
The way I consider it, my software doesn't bother to interpret announcements, so why should I ?

Maybe to some on here thats a foolish way - but according to me its the best way, especially since I'm looking to automate all or most of my systems in the near future (by years' end).

I'm using Amibroker and Tradesim. Tradesim doesn't interface to Ami as well as it does to metaStock, but they can still be used together.

As for systems development, i always papertrade (simulation) systems for 6-12 months before I trade them, so any mistakes in backtesting, If not identified through my rigorous testing methods, will be identified then.

Regards.

Nizar.
 
A classic early close:
Sold AGU @ 48.55
Covered POT @ 109.80
+1% net on the ratio (0.5% on total cash)
Closed to 1/3 of my target, I will have to learn to hold.
 
Hi all- Great Chatter in here; love it...some good ideas floating around I hope to add some soon...

Question - Is anyone using Live Data on thier PTF; and if so can you share how to set it up? I have mine refreshing every 300 seconds but it has not been working properly over the last few days...

Does anyone have any suggestions?

Thanks
 
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