Pair Trading Strategy Journal
- Thread starter jonnysharp
- Start date
Has anyone thought of comparing historical volatility to filter trades?
Makes sense to avoid pairs where one leg is 3-4x more volatile than the other, I guess one could argue it removes market neutrality which is what we are trying to acheive..
Could even get a little cheeky and compare implied volatilities for ATM options and get an indication of future volatility for each stock.
Makes sense to avoid pairs where one leg is 3-4x more volatile than the other, I guess one could argue it removes market neutrality which is what we are trying to acheive..
Could even get a little cheeky and compare implied volatilities for ATM options and get an indication of future volatility for each stock.
Looking at the trade alerts track record I see about a 15% drawdown on closed trades. I assume intraday drawdown is a bit higher.
Assuming one takes all the advised trades, I think expectations of a minimum of 30% intraday drawdown is reasonable.
The service certainly issues a good amount of trades and if a subscriber doesn't take all trades, I would imagine a 40% drawdown could easily happen.
Assuming one takes all the advised trades, I think expectations of a minimum of 30% intraday drawdown is reasonable.
The service certainly issues a good amount of trades and if a subscriber doesn't take all trades, I would imagine a 40% drawdown could easily happen.
Quote from LEAPup:
My questions:
FOR SUBSCRIBERS:
(1) About how many trade recommendations are you getting each week via e-mail, text, etc.,? $35/mo is baby stuff if their w/l ratio is as good as advertised.
(2) How are the recommendations performing for you? 75-85%win/loss ratio is amazing. I'm not saying too good to be true. Just amazing!
(3) Are any of you running a portfolio $1M or more using the alerts? I'd hate to get into the alert service, things go great, and all of a sudden, the service stops sending trades 6mos later leaving me "holding the bag." Is this a concern with any of you subscribers? If so, would buying the S/W be a better bet for me?
FOR S/W BUYERS:
(1) I know ZERO about programming. Is PTF good about walking new buyers through the setup via phone, or at least e-mail?
(2) With IQfeed, are you getting better results?
(3) Any problems with the program crashing? Again, as above, I know zero about programming, and even -0 about fixing a crashed program that I'll probably be 100% dependant on.
Almost forgot. Which of the top six books listed on their site are what you guys would recommend? I have Market Wizards, and reminiscences already. "Statistical Arbitrage" looks interesting.http://www.pairtradefinder.com/books.php
Great thread, btw! Thanks for your replies!
Shameless bump. Anyone care to reply? Thanks in advance!
Great thread, btw!