Pair Trading Strategy Journal

Quote from bentedges:

Thanks Colonelangus. Even a blind squirrel finds a nut now and then. :p

Nice to have a decent day in a tape that seems to reward momentum players far too much, but hey, maybe that's just me. Glad you made a little, too. I took most of it off because I am famous for exiting winners too soon, and why break the streak now?
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tough not to play with momentum in these momentum friendly, trending markets but if you can also take something out with these relatively stress free, market neutral strategies, tear it up, dude:D

also, good to hear that you held onto some of it. i think to trade some and hold some for the bigger moves if the commish is not cost-prohibitive.

wondering on a pair like MAS-WHR, how much do you (or anyone; Johnny, Total, Saico, trading2) consider the aspect of biz practice correlation or do you just go with the differential correlation and cointegration? do you think that in some cases, it may be just coincidental or do you just work it until it doesn't work anymore? if WY wasn't coming out with earnings tomorrow, what do you think of that with MAS as a better fit or even better, TWP is fundamentally better than WY, though the spread is not as extended on a weekly thus not quite ripe?

thanks much and good luck increasing the probability of stumbling upon more nuts
 
Quote from total_keops:

Most guys here have their fixed pairs I think. I scan all the combinations of about 1400 stocks everyday and make the numbers (now cointegration, not correlation).
Most use Pair Trade Finder dot com. They seem to like it. I and at least another have our own soft. It's a lot of pain to develop your own, unless your are very experienced in coding. But it's flexbile.
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If you are not using intraday data, coding this up is a few hundred lines of python (or another high level language) code AT MOST (getting data from yahoo.) (visualization/charts are also trivial to add.)
 
Quote from ej420:

If you are not using intraday data, coding this up is a few hundred lines of python (or another high level language) code AT MOST (getting data from yahoo.) (visualization/charts are also trivial to add.)
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It maybe ok for a seasoned programer but still a couple of 10 hours.
Just think that there are holes (missing dates in one stock and not another) in the Yahoo data and that you have to account for it otherwise all is shifted. Not that easy. And that is assuming that you know the problems in advance ;-)
You also need an intraday update.
 
a couple of ideas:

long ATI - RTI
short BMS - SEE

SEE got hammered on OK earnings and in line guidance yesterday and barclay's downgrade today.

long term, ATI has been trending up against RTI.

fundies are about neutral on both pairs, if anyone considers them.
 
Quote from total_keops:

It maybe ok for a seasoned programer but still a couple of 10 hours.
Just think that there are holes (missing dates in one stock and not another) in the Yahoo data and that you have to account for it otherwise all is shifted. Not that easy. And that is assuming that you know the problems in advance ;-)
You also need an intraday update.
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Yeah, you need to be a somewhat competent programmer. You should always join timeseries using their date (or timestamp). That would add an extra 2-3 lines of code. Anyway, I'm just saying this (the pair selection part, not the live signal generation) is a really easy task for a lot of people.
 
Quote from ej420:

Yeah, you need to be a somewhat competent programmer. You should always join timeseries using their date (or timestamp). That would add an extra 2-3 lines of code. Anyway, I'm just saying this (the pair selection part, not the live signal generation) is a really easy task for a lot of people.
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I figured it wouldn't be too hard.

Are you using intraday data? Does intraday data help if you are typically holding trades for several days?
 
Just got out of KGC:HMY at a little loss. Was in since july 7.

I use EOD data + an intraday update before scanning at around 15:00. It helps if you place your trades before the close.

Just give us word when you finish your scanner. We will see if it was that easy.
 
Quote from total_keops:


Just give us word when you finish your scanner. We will see if it was that easy.
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I was describing something I had already done. Maybe rudimentary, but very useful for me.
If you use ptfinder, what are the features you find most useful for your trading?
 
Quote from colonelangus:

a couple of ideas:

long ATI - RTI
short BMS - SEE

SEE got hammered on OK earnings and in line guidance yesterday and barclay's downgrade today.

long term, ATI has been trending up against RTI.

fundies are about neutral on both pairs, if anyone considers them.
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My bias has been opposite, short ATI, long RTI 160x200, got flat today around 5 in the spread. It does look about ready to flip the other way. I would have additional capital ready to layer this one though as it has the potential to continue moving against you. I use distribution levels of around 2 dollars.
 
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