DOV/IEX in play
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Pair Trading Strategy Journal
- Thread starter jonnysharp
- Start date
Thanks to those posting potential pairs.
I found that some of these work very well.
I have my own code to test for cointegration.
Does anyone know of a large list of potential pairs (with hundreds or thousands of potential pairs) for investigation.
I know that I can look within industry groups etc. but thought that someone might know of a list.
Also does anyone trade the same pair in multiple time periods simultaneously (e.g. intraday but also weekly or whatever)?
Thanks....
I found that some of these work very well.
I have my own code to test for cointegration.
Does anyone know of a large list of potential pairs (with hundreds or thousands of potential pairs) for investigation.
I know that I can look within industry groups etc. but thought that someone might know of a list.
Also does anyone trade the same pair in multiple time periods simultaneously (e.g. intraday but also weekly or whatever)?
Thanks....
tradingtrading,
DOV:IEX Looks great on the ratio chart but if you look at the individual stocks are not on a well define support/resistance level.
DOV just hit the resistance at ~40 and is coming down it will find support at ~36, IEX has the next resistance at 32. but if you look at one year chart they move so closely correlated, on 1 year range only on the last 2 weeks is when they have been acting crazy and I think they will come back in sync shortly and be a winner pair.
Good luck.
DOV:IEX Looks great on the ratio chart but if you look at the individual stocks are not on a well define support/resistance level.
DOV just hit the resistance at ~40 and is coming down it will find support at ~36, IEX has the next resistance at 32. but if you look at one year chart they move so closely correlated, on 1 year range only on the last 2 weeks is when they have been acting crazy and I think they will come back in sync shortly and be a winner pair.
Good luck.
Attachments
Comintel,
On Market-topology.com you can find the strongest correlated pairs on the market (with or without ETFs).
Look on "Top/Bottom Pairs"
http://www.market-topology.com/index.php?option=com_impactopia&view=toplist&Itemid=6
The site if free but it requires registration.
It can be also used to find the inverse correlated if you click on "Bottom"
On Market-topology.com you can find the strongest correlated pairs on the market (with or without ETFs).
Look on "Top/Bottom Pairs"
http://www.market-topology.com/index.php?option=com_impactopia&view=toplist&Itemid=6
The site if free but it requires registration.
It can be also used to find the inverse correlated if you click on "Bottom"
Attachments
If anyone is interested in seeing some of our daily pair picks (some of our pair trades which are listed on the blog each day) some free pair trading tools (such as Henry Carsten's Pair Trading Tool) or just additional information on Pair Trading please visit our blog at:
http://blog.bampairtrading.com
We also have our strategy available for Tradestation or MultiCharts traders. If interested please visit our store at:
www.bampairtrading.com
Enjoy!
http://blog.bampairtrading.com
We also have our strategy available for Tradestation or MultiCharts traders. If interested please visit our store at:
www.bampairtrading.com
Enjoy!
magon,
thanks for the link and the research. It would nice if we could get some discussion going on potential pairs, and in the course of looking at them garner some insight into trades/techniques we are all using.
I also think FAST/MSM is in play too.
thanks for the link and the research. It would nice if we could get some discussion going on potential pairs, and in the course of looking at them garner some insight into trades/techniques we are all using.
I also think FAST/MSM is in play too.
tradingtrading,
FAST:MSM LOOKS PRITY GOOD!!.
BY THE WAY DOV:IEX WORKED VERY NICE TODAY. THE RATIO WENT UP +1.79% AND THE NEUTRAL POSSITION +0.89% TODAY.
What software are you using?
I bought a program named "PAIR TRADE GOLD EDITION", it is very rudimentary and it looks for variation on the ratio of correlated pairs over a year period and if the ratio goes above 80% or below 20% of the range it is expected that come back to the 20-80 range. I made a portfolio to see how does it performs.
Also, I created on WealthLab (http://www.wealth-lab.com/Community/VirtualTrading/Rankings.aspx)
a market neutral portfolio under "FoolsCaps" name base on the insiders and the "Motleyfool" CAPS stars Rating. the portfolio will change every month (3 long and 3 short) according the new valuations.
Let's see.
Mark
FAST:MSM LOOKS PRITY GOOD!!.
BY THE WAY DOV:IEX WORKED VERY NICE TODAY. THE RATIO WENT UP +1.79% AND THE NEUTRAL POSSITION +0.89% TODAY.
What software are you using?
I bought a program named "PAIR TRADE GOLD EDITION", it is very rudimentary and it looks for variation on the ratio of correlated pairs over a year period and if the ratio goes above 80% or below 20% of the range it is expected that come back to the 20-80 range. I made a portfolio to see how does it performs.
Also, I created on WealthLab (http://www.wealth-lab.com/Community/VirtualTrading/Rankings.aspx)
a market neutral portfolio under "FoolsCaps" name base on the insiders and the "Motleyfool" CAPS stars Rating. the portfolio will change every month (3 long and 3 short) according the new valuations.
Let's see.
Mark
Quote from magon:
Comintel,
On Market-topology.com you can find the strongest correlated pairs on the market (with or without ETFs).
Look on "Top/Bottom Pairs"
http://www.market-topology.com/index.php?option=com_impactopia&view=toplist&Itemid=6
The site if free but it requires registration.
It can be also used to find the inverse correlated if you click on "Bottom"
Thaks - interestingly I find that some stocks that are highly correlated do not have good cointegration values. But some certainly do so that site is a great source of value.
Lets see how buying 6 months call and put works with pair CGV:HAL. So I'm buying 3 CGVDX (APR20C) and 4 HZLPF (APR30P) for a debit of $2290.00, which is most of it, time value only. At least you know that the max amount you can loose. and it does not take a lot of margin in your account.
After a strong swing the volatility and premiun increases a lot, so maybe it is a good idea to wait a couple of days for the premiun to decreases a little bit to buy the options. like with tradingtrading's pick FAST:MSM that is cooling down.
The closing creteria will be the same, ratio meeting moving average, and the sooner the better.
After a strong swing the volatility and premiun increases a lot, so maybe it is a good idea to wait a couple of days for the premiun to decreases a little bit to buy the options. like with tradingtrading's pick FAST:MSM that is cooling down.
The closing creteria will be the same, ratio meeting moving average, and the sooner the better.