Pair Trading Strategy Journal

Dr Who....

I've just loaded some LSE stocks into my PTF as LSE opens about the time I finish work. However, on my first triggers I noted the prices went from 400 quid to 4 quid in a day or 4 quid to 4p in a day or I was missing a week or more of data.

Are you using Yahoo data for your analysis? If so have you experienced these problems?

Thanks,
oby
 
A few people here have mentioned running PTF on more than one PCs - e.g. one copy for pairs research/backtesting and the other for signals. Personally, I'd like to have a copy on my home PC running 24/7 and a copy on my notebook which I'm taking with me everywhere.

Are you doing this with trial or paid copies? Is it allowed/tolerated by PTF?

Many thanks for your input!
 
Quote from jonnysharp:

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
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Interesting idea. But you've got a bond spread versus an FX pair - wouldn't transaction costs eat into any gains? How long would each of these positions last?
What kind of Z-Score would you be looking at? 20 day? 200day?
 
Quote from PCanyon:

Jonny--What happened with that OSIP/CELG trade from June 1? Did I miss that result?
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Unless he got out, this is currently a huge loser.

CELG Sell 42.60 (current 47.32)
OSIP Buy 30.31 (current 27.71)

Hopefully he managed to get out quickly, although it immediately went into negative territory after it was indicated as a trade.

Shame that because this pair had a 100% record prior. Thankfully I didn't do it as I only do UK stocks and for some reason UK stocks don't seem to have the same volatility.
 
Quote from Dr Who:

Unless he got out, this is currently a huge loser.

CELG Sell 42.60 (current 47.32)
OSIP Buy 30.31 (current 27.71)

Hopefully he managed to get out quickly, although it immediately went into negative territory after it was indicated as a trade.

Shame that because this pair had a 100% record prior. Thankfully I didn't do it as I only do UK stocks and for some reason UK stocks don't seem to have the same volatility.
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Biotech is a tough sector for pairs, too news driven. Pairs are better with business as usual type companies, the boring ones.
 
Yes I exited that pair at a loss, ive been light on trading lately, and have spent some time re-doing my radar, fresh backtests, removing old pairs and adding new ones

Sold OSIP @ 27.71
Covered CELG @ 47.32

Sold SPG @ 50.05
Covered TCO @ 25.24

Sold AHL @ 23.41
Covered MXGL @ 18.20
 
Quote from sysre:

Interesting idea. But you've got a bond spread versus an FX pair - wouldn't transaction costs eat into any gains? How long would each of these positions last?
What kind of Z-Score would you be looking at? 20 day? 200day?
More...

I haven't studied this pair extensively, more of a floating idea, yes there would be transactional costs, but I imagine the avg profit per trade would more than cover them.
 
Jonny,

Quote from jonnysharp:

Yes I exited that pair at a loss, ive been light on trading lately, and have spent some time re-doing my radar, fresh backtests, removing old pairs and adding new ones

Sold OSIP @ 27.71
Covered CELG @ 47.32

Sold SPG @ 50.05
Covered TCO @ 25.24

Sold AHL @ 23.41
Covered MXGL @ 18.20
More...

Have you exited them today?

And while we're cleaning up the records...

Quote from jonnysharp:

Wednesdays trade

Long WWW @ 14.49
Short NKE @ 42.55
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The above trade reported on March 5th is not mentioned in the pdf you posted later, neither there's any report on the exit.

Many thanks! Look like you don't have any open pairs right now...
 
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