Pair Trading Strategy Journal

BJS:SPN looks interesting, although SPN tends to be a more volatile and higher beta stock than BJs or HAL.

This looks to be a good example of a trade whereby you need to introduce some beta hedging into affairs.
 
I am very new to Pair Trading and I would like to know more about it. What is most import factors for Pair Traders to pick up stocks, for example, one of factor I know is correlation of two stocks?
 
been away for a little bit guys, some interesting conversations going on, glad to see the thread is alive and well.

There are so many different ways to pair trade, the opportunities are really limited to one's own imagination. For example you could pair up the Australian 10yr bond with the US 10yr bond then pair that ratio against the AUD/USD fx rate, ive seen charts of this and this synthetic pair is well correlated, produces good trading opportunties and are some of the most liquid traded markets in the world, or another idea is that you may be bullish on oil and go long energies and short airlines, you could basket the 2 groups together to create one ratio and trade off that. Lots of potential strategies out there, I think thats what really good traders do, they have a system but they know when to up size, down size, not trade, act responsively or seek out special situations.

In case you guys don't know PTF just released another update, pretty good improvements, they have improved backtesting, allow for custom exits based off the +/- value, time based stop, a new triggers window to see all recent trading signals, removed a few bugs and have added the ability to have the trading signals sent to your inbox or twitter channel for alerts, ive set it up to be notified by email, much easier to be alerted to potential trading opportunities that way and I receive them on the go aswell, very happy they have done this.
 
Thanks for that jonny.

While PTF works well for finding opportunities there are still some gaping holes in the software, not least never being notified when there is an update - not even an email. I appreciate the work thats gone into the software but the developer seems to march ahead without fixing some of the more fundamental issues.
 
Quote from Dr Who:

Thanks for that jonny.

While PTF works well for finding opportunities there are still some gaping holes in the software, not least never being notified when there is an update - not even an email. I appreciate the work thats gone into the software but the developer seems to march ahead without fixing some of the more fundamental issues.
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I actually rely on jonny to tell us there has been an update, or if I spy an updated version via one of his screenshots, but yes I agree, an email would be nice !
 
Quote from jonnysharp:

been away for a little bit guys, some interesting conversations going on, glad to see the thread is alive and well.

and have added the ability to have the trading signals sent to your inbox or twitter channel for alerts, ive set it up to be notified by email, much easier to be alerted to potential trading opportunities that way and I receive them on the go aswell, very happy they have done this.
More...

Hi! Could not find email alert feature in the program - where is it exactly?
 
You'll need to make sure you have the latest version. I think the Alerts started with V2.2f (which is what I currently have) but is no doubt on the later versions (if there are any).

If you have that version or later click on the 'pear' icon top left and down to 'Alerts Configuration'. Then you can set up Email, Twitter and CSV alerts (whatever they are).

If you dont have the latest version just email support and they'll send you a link.
Personally I think they should build in automated updating into the app and hopefully that will come eventually.
 
One thing I've noticed which varies across pairs, is how the pairs behave for the few days after an indication to enter from PTF.
Some consistently widen in their spread for a couple of days before reverting to their mean. Then again, some consistently don't.
So it may be prudent to see how your pair has behaved in the past to maximise the return.
Its certainly working for me as a couple of pairs always widen for at least two days after an enter signal and I've been able to get much better prices by hanging fire for a couple of days.
 
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