Thanks Don. I tried their Demo TWS, but it seems I can combo trade only option/stock or option/option (and more combinations of futures etc) but not stock/stock. any insight? dig deeper?
TIA
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Pair Trading Strategy Journal
- Thread starter jonnysharp
- Start date
Thanks Don. I tried their Demo TWS, but it seems I can combo trade only option/stock or option/option (and more combinations of futures etc) but not stock/stock. any insight? dig deeper?
TIA
I use stock/stock combos all the time. Try dragging the stocks from the trading window into the Combo window.Quote from daniel5198:
Thanks Don. I tried their Demo TWS, but it seems I can combo trade only option/stock or option/option (and more combinations of futures etc) but not stock/stock. any insight? dig deeper?
TIA
Don
Yeah, IB does support stock combos, but using limit orders on them for day trading does not work well in my experience as IB waits for the limit to be crossed quite a bit to ensure both legs are filled (they don't want any execution risk.) In my experience, trading pairs on shorter time scales requires you to assume some of the legging risk yourself. I use my own spreader which quote all legs of the spread in order to achieve the limit price.
I agree that IB waits until the limit price is slightly exceeded before it executes. Although in fast moving markets, like at the open, the price must be exceeded by a considerable amount before the order executes.Quote from ej420:
Yeah, IB does support stock combos, but using limit orders on them for day trading does not work well in my experience as IB waits for the limit to be crossed quite a bit to ensure both legs are filled (they don't want any execution risk.) In my experience, trading pairs on shorter time scales requires you to assume some of the legging risk yourself. I use my own spreader which quote all legs of the spread in order to achieve the limit price.
However, the alternative of legging-in in a fast moving market also has pitfalls. I have had one leg or the other hang sometimes for minutes dispite the fact that they are market orders.
I pretty much stick to Combo orders as the least evil method.
Don
gQuote from yobo:
Hey all. Been away from the board for awhile, but I thought I would try to rejuvanate with some new thoughts and trades that are killing it.
These are not mean reversion pairs but negatively correlated and very trendy. Place these trades and just sit back.
I call this base line investing/trading. Really nothing more than tactical asset allocation.
TLT/VTI
TLT/EFA
TLT/EEM
TLT/IYR
TLT/GSG
You are always long both. However by creating a ratio and than graphing the ratio you can see which one to over weight. Use the 100 day moving average and then enter your trades when the ratio crosses through the moving average. Currently, the ratio is downtrending thus you want to be overweighted stock 2 and underweight the treasury. You'll see what I am talking about when you plot the graph. When the ratio trends up you are overweaight 1, underweight 2.
I always use a 80/20% or 20/80% allocation.
Currnetly I am 20% treasury and 80% the other asset classes.
The strategy works and stems from the CAPM model. And you will always be on the right side of the market based on the simple fact that you are trading with the markets perception of risk/reward versus the risk free rate.
Good luck and hope this adds some new life here. Any questions welcome.
yobo
Hi yobo
i,m trying to understand the logic of being long both etf's
take tlt/vti
On march 31 09 the 100 dma had a cross over of the pair.
this entailed ,for this illustration, approx. 21k for TLT (20%/200sh) and$...$31664 (80%..800sh...for VTI) .
From june 12 09 to july 8 there was a huge DD while 100dma
was still keeping the ratio in place.
The pair is still trending down but the gains in one vti are offset
somewhat, by the long bond.
I know i must be miss understanding something about this.
thanks and cheers
john
Quote from magon:
I closed today my pair for a ~4% return (TIN:VCP)
http://www.wealth-lab.com/Community/VirtualTrading/Rankings.aspx
PAIRS-ARB
Very nice trade. And very nice annualized return! I'm going to keep an eye on you. And thanks for sharing your trades.
Walt B
Quote from magon:
I closed today my pair for a ~4% return (TIN:VCP)
http://www.wealth-lab.com/Community/VirtualTrading/Rankings.aspx
PAIRS-ARB
Hello Mark,
Nice profit.
A question for you on why you thought this would be profitable. On the 12th, when you entered the trade, the trend was going against you. On the 14th an analyist upgraded TIN. I'm seeing this as a lucky trade, profitable because of the upgraded. I would not have chosen this based on the PTF graph I saw. What made you choose it? I know you are using Wealth-Lab and I don't know how to read the graph you attached. I'll need to learn.
Walt B
Attachments
Quote from magon:
I did a quick search and after some filtering I had just one pick
VGR/LO They are in a support / resistance levels, ratio RSI is at 30, also if you look in different time frames (6,3,2,1 months) they have been crossing each other several times and in all time frames, LO is above VGR in all 4 charts.
HI magan, curious what software you use..?
Thank you
Nick