Pair Trading Strategy Journal

[CBuster]

Quote from renton:

Damn! And here I am setting up my Spread Betting account! Well - i'm going to give the Spread Bets a go (contrary to the good advice here). I suppose I need to start small and make my own mistakes though and see how I do. If I make 100 quid profit in a month - then thats really good in my book!

don't panic. nothing wrong with spreadbetting - esp if you are just looking to dabble a bit. but if / when you decide to switch from targetting making a few quid to doing it for a living / serious side cash, then you might want to reconsider

 

[Dr Who]

Just opened an account with IG Markets.
Yes, the difference is fairly plain now.

Tradefair (Bodycote): 135.3 - 136.2
IG: 135.0 -135.75

Tradefair (Dana): 1303.7 - 1309.3
IG: 1306.0 - 1308.0

Every little extra helps

 

[Dr Who]

Just had another look and these are the quotes for Dana Oil now:

Tradefair: 1297.3 - 1304.7
IG : 1313 -1315

Surely arbing between these two markets should be possible too ?

Mmmmm, will have to monitor this....

 

[total_keops]

Dr Who, how many stocks are there in London that are decent for pairs trading? I mean average daily volume over 500k, Market cap over 200 million and stock price over 5$ Or something around that.

 

[Dr Who]

I only trade those in similar sectors that are in the FTSE 100 or 250.
I am watching 68 pairs but some are being culled along the way as I get to know them a little more intimately.

 

[tradingtrading]

Quote from total_keops:

Dr Who, how many stocks are there in London that are decent for pairs trading? I mean average daily volume over 500k, Market cap over 200 million and stock price over 5$ Or something around that.

Guys,

This is a fair point. I'm trying to develop some Continental European and UK trading pairs. I'd appreciate some ideas on this front. For example, in the UK at the moment, I only have...

ANTO/BLT
BP/RDSA
GSK/AZN
IAP/TLPR
PRU/AV
SBRY/TSCO
WPP/AGS

 

[Dr Who]

Now Dana is trading

Tradefair: 1311 - 1315
IG : 1303 - 1305

This is most strange and worthy of looking into. Does anyone else know anything about arbitrage between spreadbetting companies and CFD's ?

 

[Dr Who]

OK, I understand why the discrepency in prices now. That's me jumping the gun.
For some reason the prices shown on the IG Markets interface are delayed 15 mins and its only when you open a ticket and put in a quantity that you can see the 'live' prices for that CFD. Weird idea but at least it shows their very small spread.
1p compared to Tradefair's 4-5p. And there was me getting all excited

 

[total_keops]

Got our of TXN/ADI @ 0.89 for a tiny profit after fees. Pocket change.
Did not want to ride it over the ADI earnings.

 

[Dr Who]

The downside with the IG Markets CFD account is that in order to overcome their minimum commission of £10 at either end, you need to be trading in some reasonably substantial numbers.
I estimate you need to be buying at least 1000 shares of around £8 or so each which would require a margin of around £2000. So, for each pair you'd need a margin of around £4000. So, to be actively trading 5 pairs a day, with each lasting in the region of 9 days say, you may have to finance 80 or more margins at any one time. This means an account of around £160,000.

Perhaps jonnysharp or any others who actively trade CFD pairs could let me know how their numbers compare.