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Pair Trading Strategy Journal
- Thread starter jonnysharp
- Start date
Quote from Don87109:
I use the combo order everyday with good success.
Best way to create a combo is to drag each stock from the main screen to the combo window.
You can create ratio orders although you must use whole numbers. You cannot say buy 1.5 of stock A and sell 1 of stock B. You must say buy 3 stock A and 2 stock B.
Don
Thanks, that helps in figuring out how to get into the trade.
IB 's combo order uses share quantity ratio for entering the pair, not price ratio for exit, as I understand it.
I'm still looking for a way to set a system that will automatically (unattended) close out a pair at a price ratio, and not at a specified value for each leg of the pair. Say that I go into a trade with a Ratio = 1.5. Dollar neutral. I want to set an order to close out both sides when the price Ratio = 2.00. (Or better, set trailing stops) That could happen with many different prices/leg. I'm interested only in when the price ratio hits 2.00, not individual leg prices.
How to do that automatically?
Walt B
paper trade, testing Deutsche Bank SHORT against European equity index, Siemens, or oil
rationale: above-average spike in DB price
source of idea: finviz visualization maps. looking at DB volatility, and peer group performance.
DB DEUTSCHE BANK AKTIENGESELLSCHA -163@$61.52
against either of:
a) IEV ISHARES S&P EUROPE 350 INDEX F +330@$30.32
b) SI SIEMENS AKTIENGESELLSCHAFT +151@$66.24
c) USO UNITED STATES OIL FUND LP +307@$32.69
rationale: above-average spike in DB price
source of idea: finviz visualization maps. looking at DB volatility, and peer group performance.
DB DEUTSCHE BANK AKTIENGESELLSCHA -163@$61.52
against either of:
a) IEV ISHARES S&P EUROPE 350 INDEX F +330@$30.32
b) SI SIEMENS AKTIENGESELLSCHAFT +151@$66.24
c) USO UNITED STATES OIL FUND LP +307@$32.69
about the new version:
Yes we have just released an updated version. Please un-install your current version then download from www.pairtradefinder.com/PairTradeFinderSetup.msi then refresh all your pairs in the console. You will see a new trigger window for recent trading signals, custom exits based on the +/- in the preferences, also time based stop, you can backtest different settings and use the column tallies to see the sum/average, also we have email/CSV/twitter alerts, enabling you to send trading signals instead of watching the program. We have found using a 12-15 day time stop to significantly improve performance, especially reducing the size of big losing trades.
email notification doesn't work for me though - still waiting for the reply from Jared
Yes we have just released an updated version. Please un-install your current version then download from www.pairtradefinder.com/PairTradeFinderSetup.msi then refresh all your pairs in the console. You will see a new trigger window for recent trading signals, custom exits based on the +/- in the preferences, also time based stop, you can backtest different settings and use the column tallies to see the sum/average, also we have email/CSV/twitter alerts, enabling you to send trading signals instead of watching the program. We have found using a 12-15 day time stop to significantly improve performance, especially reducing the size of big losing trades.
email notification doesn't work for me though - still waiting for the reply from Jared
Maybe I don't understand you, but the combo order does let you set a price for the combo, not for each leg as you stated.Quote from waltbx:
Thanks, that helps in figuring out how to get into the trade.
IB 's combo order uses share quantity ratio for entering the pair, not price ratio for exit, as I understand it.
I'm still looking for a way to set a system that will automatically (unattended) close out a pair at a price ratio, and not at a specified value for each leg of the pair. Say that I go into a trade with a Ratio = 1.5. Dollar neutral. I want to set an order to close out both sides when the price Ratio = 2.00. (Or better, set trailing stops) That could happen with many different prices/leg. I'm interested only in when the price ratio hits 2.00, not individual leg prices.
How to do that automatically?
Walt B
Of course you need to do the math to convert your ratio price to the equivalent combo price. I don't setup my sell orders by using a projected sell ratio, but I would not think that is hard to calculate.
Don
And, youu need the TWS openned all day on the computer, therefore, you can't access the account from somewhere else
--------------------------------------------------------------------------------
yes you can
One acc.can have have two different user names and have them
running from different siteswith IB
cheers john
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yes you can
One acc.can have have two different user names and have them
running from different siteswith IB
cheers john
Quote from Midas:
Correct me if I am wrong, but anyone can file a "rip off" report on that site including anyone with an ax to grind or sour grapes.....
Your right Midas, anyone can file a ripoff report.
The person who wrote the ripoff report claims that they are spying on peoples trading methods, can it get anymore ridicules. And I own my copy so what ponzi is he talking about.
I think the writer is upset that the automated version isnt out yet.....So what, the automated version isn't out yet, big deal... they need to get all the kinks out of the one we are all using and we all know it takes time.
Seems like there's an ax to grind here. I have no problems with Jared, well, besides doing away with the portfolio manager which nobody uses but me..lol But he always replies to all my emails within 24 hours.... And he even helped me move my database to another machine....Seems stand up to me...
Nick
Quote from ascheer7:
Does anyone have alink for the latest version of PTF. The one on their website does nto have the time based exit and the other features mentioned here recently.
Try this, but just know that the portfolio manager is gone on the newest software in case you use it.
www.pairtradefinder.com/PairTradeFinderSetup.msi
Hey, does anyone have version 2.2g. I took off the latest version because I use the portfolio manager, got used to it I guess..lol but I went down to version 2.50727 and really want 2.2g which has the portfolio manager and the triggers....
Nick