Pair Trading Strategy Journal

Quote from henderson:

Not quite a pair trade but close.....have you ever tried index replication by baskets? Its very similar to what you are doing.
More...
It's in the backlog. That and a couple things similar but less obvious.
I think the meat is in ideas like that. "Hidden" relationships.
 
Thats far from hidden in the industry; most i-banks and prop shops have quite large dispersion desks that do that and similar things in the options market. Pretty much any system that bets on implied and realized correlation aka dispersion has been done to death but there are some unique replication strategies that you can get edge on in more illiquid ETF markets that have to settle near the main indices which may help you against baskets.
 
Pairtrade Finder requires MS SQL to be installed. Is anyone else getting unexpected shutdowns with XP SP2? I've had PTF and SQL running ok since March, and now my computer has been out of service for a week. I think I've traced it to SQL. (Perhaps a recent MS update is causing a conflict?). Sorry for this being off topic.

Walt B
 
Quote from waltbx:

Pairtrade Finder requires MS SQL to be installed. Is anyone else getting unexpected shutdowns with XP SP2? I've had PTF and SQL running ok since March, and now my computer has been out of service for a week. I think I've traced it to SQL. (Perhaps a recent MS update is causing a conflict?). Sorry for this being off topic.

Walt B
More...

Hi Walt,

I have all the recent updates, and no issues to speak of here....sorry.
 
Damn!

After last nights surge, the SP500 is beating me since I started pair trading - We are both over 11% since the 4th May, and it's beating me by a whisker.

Can the index continue at this pace? Be interesting to see how long it lasts.

Adrian
 
I'm recovering from computer technical problems. I've purchased a computer to use only for PTF.

I need some help. How do I move the data base of pairs to a new computer? I want the pairs I've been using.

Thanks!

Walt B
 
Quote from waltbx:

I'm recovering from computer technical problems. I've purchased a computer to use only for PTF.

I need some help. How do I move the data base of pairs to a new computer? I want the pairs I've been using.

Thanks!

Walt B
More...

Walt,

I have done this a few times. You need to move the directory where the pairtradefinder database exists.

I generally install PTF on the new computer, then copy the directory over the newly created one.

Because this is a DB, you will get an 'in use' error when trying to read or write to the files, so a reboot before attempting to copy or paste generally allows you to perform these functions.

If you get an error, with PTF arguing that it cannot find the database after the copy and paste actions, reinstall SQL express. That should fix this issue.

These sorts of q's should be on the PTF forum, but there's not alot of ppl looking there....

Hope this helps and is not too confusing. PM me if you like.

Adrian
 
You must log in or register to reply here.
Back
Top