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Pair Trading Strategy Journal
- Thread starter jonnysharp
- Start date
Quote from academic:
How could you use a service from people who don't know how to spell?
"our twitter channel, your inbox or you mobile phone" -> your mobile phone
"Your not dependent on market direction" -> You're not dependent
Because I'm paying for their trading signals and analysis, not their grammar.
Walt, you can use the IB Excel API. I made a sample for you.Quote from waltbx:
The new Alerts feature in PTF - what does it do?
I've set it up but I don't know what it does. The test email works.
What I'd like is to select the pairs I'm holding, choose ratios to trigger an alert, and when those ratios are reached have PTF give an audible alert and send me an email, but only on the pairs I've chosen. I can then exit and take my profits.
...
Walt B
1- Install the API component from IB website.
http://www.interactivebrokers.com/en/p.php?f=programInterface&ib_entity=llc
2- Enable API in TWS: DDE for Excel/Configure the Application to Support API Components
http://www.interactivebrokers.com/php/apiUsersGuide/apiguide.htm
3- In Excel, change Tools/Macro/Security to medium.
4- Start TWS.
5- Open the spreadsheet and follow the instructions.
In the same folder as the spreadsheet, put an sound file called "Chime Down.wav" or PM me your email so I send it to you cuz I dont think I can attach it here.
This can only give you an audible alert, no emails. From what I look in Google it seems doable but I dont have this feat.
If you fail and have questions ask here so I dont repeat 50 times and other can benefit also.
Attachments
You could even automate the orders.
Quote from total_keops:
If I get this right, thoses are index. So you would want to backtest or analyse with tradable assets like SPY:IWM. Understand the fundamentals. One is large cap, the other small cap. So there can be a drift from time to time because of fondamental changes in the supply/demand for those sectors. A real deviation can occur. So you need an extensive deviation from the mean and watch out for trends.
Also, index are MUCH more efficient than stock pairs so you may not find very good tradable opportunities. Over time I really think this one thing applies almost to every strategy, there is no free lunch, more risk, more reward. If your running away from the risk of stocks you may get less reward in the safe world of index. Just my opinion.
Thanks......
Good analysis, i have manage to trade this pair for roughly 3 months. i used a model i built based on the instrument available to me (spreadbetting) .
At the moment the divergence has gone hay wire considering the 1 year data i have (over 2 sd at the moment).
The volatility is actually quite high.
Dont forget that over the last 3 months we have been under the same market conditions. Also, the advantage in pairs trading come from diversification. Spread the risk over many pairs and your overall risk decreasses (assuming trades are uncorrelated).Quote from xty:
Thanks......
Good analysis, i have manage to trade this pair for roughly 3 months. i used a model i built based on the instrument available to me (spreadbetting) .
At the moment the divergence has gone hay wire considering the 1 year data i have (over 2 sd at the moment).
The volatility is actually quite high.
Quote from total_keops:
Dont forget that over the last 3 months we have been under the same market conditions. Also, the advantage in pairs trading come from diversification. Spread the risk over many pairs and your overall risk decreasses (assuming trades are uncorrelated).
Totally agree with u.........
I do other pairs like SPX/dax, DAX/FTSE
Quote from PCanyon:
I see Pairtrade Alerts hasn't updated their trade performance since July 6th.
Combine that with spelling mistakes and I think they should be a bit more buttoned up if they're looking for subscribers at $39 a month.
Quote from academic: I'm sure they are just brilliant in their trading signals and analysis. Is it written in crayon?
Rubbish comments like these simply degrade the thread...
Your whinging about $39 when win % is 85+ and av win is 25% higher than av loss.....get a life mate....clearly better than 99% of junk out there and if anything should congratulate him on transparency of results.....
I'll take the trades and buy him some more crayon's, just to ensure he keeps doing what he is doing...