Pair Trading Strategy Journal

Quote from magon:

Based on yesterday's price at aprox. 3:45 I have all the pairs I'm watching on Quotetracker and you can see the realtime ratio.
You're right the ratio still have touched the moving average. The fundamentals are no in your favor, PE=1.22 meaning the PE of the short is smaller that the long and EPS=0.55 meaning earnings per share of the short are higher than the long, so do not wait too long to close it.
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Out of the MR/RMD trade today at BE.
 
Quote from cipherscribe:

Out of the MR/RMD trade today at BE.
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cipherscribe, you didn't get out on the OCT 22 when the ratio intercepted the moving average, and you had some profit.

That happen to me alot ! no sticking to the game rules.
 

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Quote from samueldoernte:

why wouldn't a pair have a fundamental reasoning for entry? You have P/B, P/E, ROE, P/S, tons of reasons why you would want to be long one stock and short the other, some have a better fundamental bias than others. You are trading a relationship between two companies. I think if you are pairstrading without fundamentals you are doing yourself a disservice. If you are just daytrading pairs, then I guess you can gamble however you wish, in my experience, if trading pairs with fundamentals in mind, you will have to be much more patient, weeks, maybe months, but the opportunities for quick gains intraday working your position is also important.
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re-read the questions,

this completely missed the point
 
Quote from NKNY:

Magon, thats not the program with the charts that you attach here on et is it ?


Nick
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No Nick, the attachment is a from stockcharts

http://stockcharts.com/h-sc/ui?s=MR:RMD&p=D&yr=0&mn=2&dy=0&id=p15397019185

I used 11 days moving average for the RSI and Bollinger Bands, I think this what Pairtrading Finder uses.

I picked a bad pair (CGV:HAL), but today it turned around a little bit, it when up 1.44% but still down 1.68% with real money, however the options I bought are showing a little bit of profit because of the deltas, if you buy options a little bit out of the money if the stock move in your favor delta increases and viceversa, what is a good thing but this need to happen fast or even with a 6 month away options the time decay will kill you, volatility also can go in favor o against you.

PAIRS-ARB and FoolsCaps are geting closer !
http://www.wealth-lab.com/Community/VirtualTrading/Rankings.aspx
 
Quote from magon:

No Nick, the attachment is a from stockcharts

http://stockcharts.com/h-sc/ui?s=MR:RMD&p=D&yr=0&mn=2&dy=0&id=p15397019185

I used 11 days moving average for the RSI and Bollinger Bands, I think this what Pairtrading Finder uses.

I picked a bad pair (CGV:HAL), but today it turned around a little bit, it when up 1.44% but still down 1.68% with real money, however the options I bought are showing a little bit of profit because of the deltas, if you buy options a little bit out of the money if the stock move in your favor delta increases and viceversa, what is a good thing but this need to happen fast or even with a 6 month away options the time decay will kill you, volatility also can go in favor o against you.

PAIRS-ARB and FoolsCaps are geting closer !
http://www.wealth-lab.com/Community/VirtualTrading/Rankings.aspx
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Ahhh, thanks Magon....

EDIT: although I think pair trade finder uses 14 if im not mistaken...



Nick
 
I've not been able to see how RSI can be used.

RSI for the pair is one of the graphs I watch in PTF. But I don't know how to apply it. When RSI for the pair is above 70 or below 30, or rising above 30 and dropping below 70. When the first stock of the pair is to go long, what should I look for in RSI? And if it is to go short?

And RSI for the individual stocks. Same problem, but I can get some advice by Googling that.

Thanks.

Walt B
 
Quote from waltbx:

I've not been able to see how RSI can be used.

RSI for the pair is one of the graphs I watch in PTF. But I don't know how to apply it. When RSI for the pair is above 70 or below 30, or rising above 30 and dropping below 70. When the first stock of the pair is to go long, what should I look for in RSI? And if it is to go short?

And RSI for the individual stocks. Same problem, but I can get some advice by Googling that.

Thanks.

Walt B
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Hi Walt...

If the first stock of the pair is a buy IE: ko/pep ...if KO is a buy , rsi for the pair should be under 30. in other words the ratio is oversold... ko has been weak lately in relation to pep...


Nick
 
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